Publications

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

2000
Lo, Andrew W., and Jiang Wang (2000), Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, Review of Financial Studies 13 (2), 257–300.

When Is Time Continuous?

2000
Bertsimas, Dimitris, Leonid Kogan, and Andrew W. Lo (2000), When Is Time Continuous?, Journal of Financial Economics 55 (2), 173–204.

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

2000
Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2000), Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, Journal of Finance 55 (4), 1705–1765.

A Non-Random Walk Down Wall Street

1999
Lo, Andrew W., and A. Craig MacKinlay (1999), A Non-Random Walk Down Wall Street, Princeton University Press.

The Three P’s of Total Risk Management

1999
Lo, Andrew W. (1999), The Three P’s of Total Risk Management, Financial Analysts Journal 55 (1), 13–26.

Frontiers of Finance: Evolution and Efficient Markets

1999
Farmer, J. Doyne, and Andrew W. Lo (1999), Frontiers of Finance: Evolution and Efficient Markets, Proceedings of the National Academy of Sciences 96, 9991–9992.

Optimal Control of Execution Costs

1998
Bertsimas, Dimitris, and Andrew W. Lo (1998), Optimal Control of Execution Costs, Journal of Financial Markets 1 (1), 1–50.

Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices

1998
Aït-Sahalia, Yacine, and Andrew W. Lo (1998), Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, Journal of Finance 53 (2), 499–547.

The Econometrics of Financial Markets

1997
Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press.

Market Efficiency: Stock Market Behaviour In Theory and Practice, Volumes I & II

1997
Lo, Andrew W. (1997), Market Efficiency: Stock Market Behavior in Theory and Practice, Volumes I and II, edited volumes, Edward Elgar Publishing.

A Non-Random Walk Down Wall Street: Recent Advances in Financial Technology

1997
Lo, Andrew W. (1997), A Non-Random Walk Down Wall Street: Recent Advances in Financial Technology, TIAA-CREF Research Dialogues 52.

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

1997
Lo, Andrew W. (1997), Fat Tails, Long Memory, and the Stock Market Since the 1960’s, Economic Notes 26 (2), 213–246.

A Non-Random Walk Down Wall Street

1997
Lo, Andrew W. (1997), A Non-Random Walk Down Wall Street, In The Legacy of Norbert Wiener: A Centennial Symposium, edited by David Jerison, I. M. Singer, and Daniel W. Stroock, 149–184.

Maximizing Predictability in the Stock and Bond Markets

1997
Lo, Andrew W., and A. Craig MacKinlay (1997), Maximizing Predictability in the Stock and Bond Markets, Macroeconomic Dynamics 1 (1), 102–134.

The Industrial Organization and Regulation of the Securities Industry

1996
Lo, Andrew W. (1996), The Industrial Organization and Regulation of the Securities Industry, edited volume, University of Chicago Press.