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Research


What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

2011
Khandani, Amir E., and Andrew W. Lo (2011), What Happened to the Quants in August 2007? Evidence from Factors and Transactions Data, Journal of Financial Markets 14 (1), 1–46.

The National Transportation Safety Board A Model for Systemic Risk Management

2011
Fielding, Eric, Andrew W. Lo, and Jian Helen Yang (2011), The National Transportation Safety Board: A Model for Systemic Risk Management, Journal of Investment Management 9 (1), 17–49.

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.

© 2020 Andrew W. Lo, MIT Sloan School of Management. All rights reserved.