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Research


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.

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

1995
Heaton, John, and Andrew W. Lo (1995), Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?, In Securities Transaction Taxes: False Hopes and Unintended Consequences, edited by Suzanne Hammond, 58–109.

Implementing Option Pricing Models When Asset Returns Are Predictable

1995
Lo, Andrew W., and Jiang Wang (1995), Implementing Option Pricing Models When Asset Returns Are Predictable, Journal of Finance 50 (1), 87–129.

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