Publications

When Do Stop-Loss Rules Stop Losses?

2014
Kaminski, Kathryn M., and Andrew W. Lo (2014), When Do Stop-Loss Rules Stop Losses?, Journal of Financial Markets 18 (1), 234–254.

Quantifying Systemic Risk

2013
Haubrich, Joseph G., and Andrew W. Lo (2013), Quantifying Systemic Risk, edited volume, University of Chicago Press.

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

2013
Lo, Andrew W. (2013), Fear, Greed, and Financial Crises: A Cognitive Neurosciences Perspective, In Handbook of Systemic Risk, edited by Jean-Pierre Fouque and Joseph A. Langsam, 622–662.

Can Hedge Funds Time Market Liquidity?

2013
Cao, Charles, Yong Chen, Bing Liang, and Andrew W. Lo (2013), Can Hedge Funds Time Market Liquidity?, Journal of Financial Economics 109 (2), 493–516.

Learning Connections in Financial Time Series

2013
Ganeshapillai, Gartheeban, John Guttag, and Andrew W. Lo (2013), Learning Connections in Financial Time Series, Proceedings of the 30th International Conference on Machine Learning, in PMLR 28 (2), 109–117.

The Origin of Bounded Rationality and Intelligence

2013
Lo, Andrew W. (2013), The Origin of Bounded Rationality and Intelligence, Proceedings of the American Philosophical Society 157 (3), 269–280.

On a New Approach for Analyzing and Managing Macrofinancial Risks

2013
Merton, Robert C., Monica Billio, Mila Getmansky, Dale Gray, Andrew W. Lo, and Loriana Pelizzon (2013), On a New Approach for Analyzing and Managing Macrofinancial Risks, Financial Analysts Journal 69 (2), 22–33.

Can Financial Engineering Cure Cancer?

2013
Fagnan, David E., Jose-Maria Fernandez, Andrew W. Lo, and Roger M. Stein (2013), Can Financial Engineering Cure Cancer?, American Economic Review 103 (3), 406–411.

Using Algorithmic Attribution Techniques To Determine Authorship In Unsigned Judicial Opinions

2013
Li, William, Pablo D. Azar, David Larochelle, Phil Hill, James Cox, Robert C. Berwick, and Andrew W. Lo (2013), Using Algorithmic Attribution Techniques to Determine Authorship in Unsigned Judicial Opinions, Stanford Technology Law Review 16 (3), 503–534.

Moore’s Law versus Murphy’s Law: Algorithmic Trading and Its Discontents

2013
Kirilenko, Andrei A., and Andrew W. Lo (2013), Moore’s Law versus Murphy’s Law: Algorithmic Trading and Its Discontents, Journal of Economic Perspectives 27 (2), 51–72.

Systemic Risk and the Refinancing Ratchet Effect

2013
Khandani, Amir E., Andrew W. Lo, and Robert C. Merton (2013), Systemic Risk and the Refinancing Ratchet Effect, Journal of Financial Economics 108 (1), 29–45.

What’s the Use of Economics? Teaching the Dismal Science after the Crisis, Chapter 7

2012
Lo, Andrew W. (2012), What Post-Crisis Changes Does the Economics Discipline Need?: Beware of Theory Envy!, In What’s the Use of Economics?: Teaching the Dismal Science After the Crisis, edited by Diane Coyle, 39–48.

Rethinking the Financial Crisis

2012
Blinder, Alan S., Andrew W. Lo, and Robert M. Solow (2012), Rethinking the Financial Crisis, edited volume, Russell Sage Foundation.

Robust Ranking and Portfolio Optimization

2012
Nguyen, Tri-Dung, and Andrew W. Lo (2012), Robust Ranking and Portfolio Optimization, European Journal of Operational Research 221 (2), 407–416.

What Post-Crisis Changes Does the Economics Discipline Need?: Beware of Theory Envy!

2012
Lo, Andrew W. (2012), What Post-Crisis Changes Does the Economics Discipline Need?: Beware of Theory Envy!, In What’s the Use of Economics?: Teaching the Dismal Science After the Crisis, edited by Diane Coyle, 39–48.