Publications

Securities Trading of Concepts (STOC)

2011
Dahan, Ely, Adlar J. Kim, Andrew W. Lo, Tomaso Poggio, and Nicholas Chan (2011), Securities Trading of Concepts (STOC), Journal of Marketing Research 48 (3), 497–517.

The Origin of Behavior

2011
Brennan, Thomas J., and Andrew W. Lo (2011), The Origin of Behavior, Quarterly Journal of Finance 1 (1), 55–108.

Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios

2011
Khandani, Amir E., and Andrew W. Lo (2011), Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios, Quarterly Journal of Finance 1 (2), 205–264.

Complexity, Concentration and Contagion: A Comment

2011
Lo, Andrew W. (2011), Complexity, Concentration and Contagion: A Comment, Journal of Monetary Economics 58 (5), 471–479.

Hedge Funds: An Analytic Perspective

2010 Revised Edition
Lo, Andrew W. (2008), Hedge Funds: An Analytic Perspective, Princeton University Press (revised and expanded edition, 2010).

The Evolution of Technical Analysis

2010
Lo, Andrew W., and Jasmina Hasanhodzic (2010), The Evolution of Technical Analysis: Financial Prediction from Babylonian Tables to Bloomberg Terminals, John Wiley & Sons.

Stock Market Trading Volume

2010
Lo, Andrew W., and Jiang Wang (2010), Stock Market Trading Volume, In Handbook of Financial Econometrics, Volume 2, edited by Yacine Äit-Sahalia and Lars Peter Hansen, 241–337.

The Financial Industry Needs its Own Crash Safety Board

2010
Lo, Andrew W. (2010), The Financial Industry Needs Its Own Crash Safety Board, Financial Times, March 2.

Lo: The Best Econ Book I’ve Read Recently

2010
Lo, Andrew W. (2010), Lo: The Best Econ Book I’ve Read Recently, PBS Newshour Blog, March 11.

WARNING: Physics Envy May Be Hazardous To Your Wealth

2010
Lo, Andrew W., and Mark T. Mueller (2010), WARNING: Physics Envy May Be Hazardous to Your Wealth!, Journal of Investment Management 8 (2), 13–63.

Consumer Credit Risk Models via Machine-Learning Algorithms

2010
Khandani, Amir E., Adlar J. Kim, and Andrew W. Lo (2010), Consumer Credit-Risk Models via Machine-Learning Algorithms, Journal of Banking & Finance 34 (11), 2767–2787.

Impossible Frontiers

2010
Brennan, Thomas J., and Andrew W. Lo (2010), Impossible Frontiers, Management Science 56 (6), 905–923.

The Heretics of Finance

2009
Lo, Andrew W., and Jasmina Hasanhodzic (2009), The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis, Bloomberg Press.

Mind the GAAP—and Find Out About Your Risks

2009
Lo, Andrew W., and David E. Runkle (2009), Mind the GAAP—and Find Out About Your Risks, Financial Times, April 2.

Everything Tomorrow’s Leaders Should Know

2009
Lo, Andrew W. (2009), Everything Tomorrow’s Leaders Should Know, Financial Times, April 20.