Research


Privacy-Preserving Methods for Sharing Financial Risk Exposures

with Emmanuel A. Abbe and Amir E. Khandani, American Economic Review: Papers & Proceedings 102 (2012), 65-70.

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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

with Monica Billio, Mila Getmansky, and Loriana Pelizzon, Journal of Financial Economics 104 (2012), 535-559.

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Reading About the Financial Crisis: A Twenty-One-Book Review

Journal of Economic Literature 50 (2012), 151-178.

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Maximizing Predictability in the Stock and Bond Markets

with Craig MacKinlay, Macroeconomic Dynamics 1 (1997), 118–158.

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Implementing Option Pricing Models When Asset Returns Are Predictable

with Jiang Wang, Journal of Finance 50 (1995), 87–129.

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A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

with James Hutchinson and Tomaso Poggio, Journal of Finance 49 (1994), 851-889.

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An Ordered Probit Analysis of Transaction Stock Prices

with Craig MacKinlay and Jerry Hausman, Journal of Financial Economics 31 (1992), 319–379.

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Long-Term Memory in Stock Market Prices

Econometrica 59 (1991), 1279–1313.

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Data Snooping Biases in Tests of Financial Asset Pricing Models

with Craig MacKinlay, Review of Financial Studies 3 (1990), 431–468.

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When Are Contrarian Profits Due To Stock Market Overreaction?

with Craig MacKinlay, Review of Financial Studies 3 (1990), 175–205.

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