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Research


Maximizing Predictability in the Stock and Bond Markets

1997
Macroeconomic Dynamics 1 (1997), 118–158.
Craig MacKinlay

Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?

1995
False Hopes and Unintended Consequences, edited by Suzanne Hammond, 1995. Chicago, IL: Catalyst Institute
John Heaton

Implementing Option Pricing Models When Asset Returns Are Predictable

1995
Journal of Finance 50 (1995), 87–129.
Jiang Wang

Data-Snooping Biases in Financial Analysis

1994

Neural Networks and Other Nonparametric Techniques in Economics and Finance

1994

A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

1994
Journal of Finance 49 (1994), 851-889.
James Hutchinson and Tomaso Poggio

Nontrading Effect

1992
New Palgrave Dictionary of Money and Finance, 1992, London: Stockton Press
Craig MacKinlay

Empirical Issues in the Pricing of Options and Other Derivative Securities

1992

An Ordered Probit Analysis of Transaction Stock Prices

1992
Journal of Financial Economics 31 (1992), 319–379.
Craig MacKinlay and Jerry Hausman

Long-Term Memory in Stock Market Prices

1991

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