Research


An Econometric Analysis of Nonsynchronous Trading

with Craig MacKinlay, Journal of Econometrics 45 (1990), 181–212.

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Games of Survival in the Newspaper Industry

with Randolph Bucklin and Richard Caves, Applied Economics 21 (1989), 631–650.

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The Size and Power of the Variance Ration Test in Finite Samples: A Monte Carlo Investigation

with Craig MacKinlay, Journal of Econometrics 40 (1989), 203-238.

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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

with Craig MacKinlay, Review of Financial Studies 1 (1988), 41-66.

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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Econometric Theory 4 (1988), 231-247.

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Semiparametric Upper Bounds for Option Prices and Expected Payoffs

Journal of Financial Economics 19 (1987), 373-388.

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The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management 30 (2004), 15–29.

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The Three P’s of Total Risk Management

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

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It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier

with Constantin Petrov and Martin Wierzbicki, Journal of Investment Management 1 (2003), 55–93.

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Bubble, Rubble, Finance In Trouble?

Journal of Psychology and Financial Markets 3 (2002), 76–86.

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