Research


Fear, Greed, and Financial Crises: A Cognitive Neurosciences Perspective

Handbook of Systemic Risk, edited by J.P. Fouque and J. Langsam

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Stock Market Trading Volume

with Jiang Wang, Handbook of Financial Econometrics, Volume 2, 2010, North-Holland

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Nontrading Effect

with Craig MacKinlay, New Palgrave Dictionary of Money and Finance, 1992, London: Stockton Press

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Efficient Markets Hypothesis

The New Palgrave: A Dictionary of Economics, edited by L. Blume and S. Durlauf, Second Edition, 2007. New York: Palgrave McMillan.

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Empirical Issues in the Pricing of Options and Other Derivative Securities

Cuadernos Economicos de ICE 50 (1992), 129–155.

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Systemic Risk and Hedge Funds

with Nicholas Chan, Mila Getmansky, Shane M. Haas, The Risks of Financial Institutions and the Financial Sector, edited by M. Carey and R. Stulz, 2007. Chicago, IL: University of Chicago Press.

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Do Hedge Funds Increase Systemic Risks?

with Nicholas Chan, Mila Getmansky, and Shane M. Haas, Federal Reserve Bank of Atlanta Economic Review 2006:Q4, 49–80.

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Marketable Alternatives

Commonfund Quarterly Fall 2002.

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Personal Indexes

Journal of Indexes Q3 (2001), 26–35.

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Fat Tails, Long Memory, and the Stock Market Since the 1960’s

Economic Notes 26 (1997), 219–252.

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