Publications


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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.

Bubble, Rubble, Finance In Trouble?

2002
Lo, Andrew W. (2002), Bubble, Rubble, Finance in Trouble?, Journal of Psychology and Financial Markets 3 (2), 76–86.

Personal Indexes

2001
Lo, Andrew W. (2001), Personal Indexes, Journal of Indexes, 2nd Quarter, 26–35.

Agent-Based Models of Financial Markets: A Comparison with Experimental Markets

2001
Poggio, Tomaso, Andrew W. Lo, Blake LeBaron, and Nicholas T. Chan (2001), Agent-Based Models of Financial Markets: A Comparison with Experimental Markets.

Finance: A Selective Survey

2001
Lo, Andrew W. (2001), Finance: A Selective Survey, In Statistics in the 21st Century, edited by Adrian E. Raftery, Martin A. Tanner, and Martin T. Wells, 102–114.

A Non-Random Walk Down Wall Street

1999
Lo, Andrew W., and A. Craig MacKinlay (1999), A Non-Random Walk Down Wall Street, Princeton University Press.

Frontiers of Finance: Evolution and Efficient Markets

1999
Farmer, J. Doyne, and Andrew W. Lo (1999), Frontiers of Finance: Evolution and Efficient Markets, Proceedings of the National Academy of Sciences 96, 9991–9992.

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.

Neural Networks and Other Nonparametric Techniques in Economics and Finance

1994
Lo, Andrew W. (1994), Neural Networks and Other Nonparametric Techniques in Economics and Finance, In Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 25–36.

An Econometric Analysis of Nonsynchronous Trading

1990
Lo, Andrew W., and A. Craig MacKinlay (1990), An Econometric Analysis of Nonsynchronous Trading, Journal of Econometrics 45 (1–2), 181–211.

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988
Lo, Andrew W., and A. Craig MacKinlay (1988), Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test, Review of Financial Studies 1 (1), 41–66.