Research


Long-Term Memory in Stock Market Prices

Econometrica 59 (1991), 1279–1313.

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A Large-Sample Chow Test for the Single Linear Simultaneous Equation

with Whitney Newey, Economics Letters 19 (1986), 351-353.

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Optimal Control of Execution Costs for Portfolios

with Dimitris Bertsimas and Paul Hummel, Computing in Science & Engineering 1 (2000), 40–53.

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The Psychophysiology of Real-Time Financial Risk Processing

with Dmitry V. Repin, Journal of Cognitive Neuroscience 14 (2002), 323–339.

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Nonparametric Risk Management and Implied Risk Aversion

with Yacine Ait-Sahalia, Journal of Econometrics 94 (2000), 9–51.

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Econometric Models of Limit-Order Executions

with Craig MacKinlay and June Zhang, Journal of Financial Economics 65 (2002), 31–71.

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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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