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Research


The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

2004
Lo, Andrew W. (2004), The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective, Journal of Portfolio Management 30 (5), 15–29.

Asset Prices and Trading Volume Under Fixed Transactions Costs

2004
Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2004), Asset Prices and Trading Volume under Fixed Transactions Costs, Journal of Political Economy 112 (5), 1054–1090.

An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

2004
Getmansky, Mila, Andrew W. Lo, and Igor Makarov (2004), An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74 (3), 529–609.

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

2004
Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei (2004), Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations, Journal of Investment Management 2 (4), 6–38.

Trading Volume

2003
Lo, Andrew W., and Jiang Wang (2003), Trading Volume, In Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Volume II, edited by Mathias Dewatripont, Lars Peter Hansen, and Stephen J. Turnovsky, 206–277.

It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier

2003
Lo, Andrew W., Constantin Petrov, and Martin Wierzbicki (2003), It’s 11 PM—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier, Journal of Investment Management 1 (1), 55–93.

The Statistics of Sharpe Ratios

2002
Lo, Andrew W. (2002), The Statistics of Sharpe Ratios, Financial Analysts Journal 58 (4), 36–52.

Marketable Alternatives

2002
Lo, Andrew W. (2002), Marketable Alternatives, Commonfund Quarterly, Fall.

Econometric Models of Limit-Order Executions

2002
Lo, Andrew W., A. Craig MacKinlay, and June Zhang (2002), Econometric Models of Limit-Order Executions, Journal of Financial Economics 65 (1), 31–71.

The Psychophysiology of Real-Time Financial Risk Processing

2002
Lo, Andrew W., and Dmitry V. Repin (2002), The Psychophysiology of Real-Time Financial Risk Processing, Journal of Cognitive Neuroscience 14 (3), 323–339.

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