Research


Frontiers of Finance: Evolution and Efficient Markets

with J. Doyne Farmer, Proceedings of the National Academy of Sciences 96 (1999), 9991–9992.

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The Sources and Nature of Long-Term Dependence in the Business Cycle

with Joseph Haubrich, Federal Reserve Bank of Cleveland Economic Review 37 (2001), 15–30.

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The Three P’s of Total Risk Management

Financial Analysts Journal 55 (1999), 13–26.

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Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach

with Dimitris Bertsimas and Leonid Kogan, Operations Research 49 (2001), 372–397.

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Computational Challenges of Financial Engineering

with Martin Haugh, Computing in Science & Engineering 3 (2001), 54–59.

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Asset Allocation and Derivatives

with Martin Haugh, Quantitative Finance 1 (2001), 45–72.

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An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

with Mila Getmansky and Igor Makarov, Journal of Financial Economics 74 (2004), 529–609.

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

with Harry Mamaysky and Jiang Wang, Journal of Finance 55 (2000), 1705–1765.

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Asset Prices and Trading Volume Under Fixed Transactions Costs

with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112 (2004), 1054–1090.

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Finance: A Selective Survey

Journal of the American Statistical Association 95 (2000), 629-635.

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