Publications


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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

2000
Lo, Andrew W., and Jiang Wang (2000), Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, Review of Financial Studies 13 (2), 257–300.

When Is Time Continuous?

2000
Bertsimas, Dimitris, Leonid Kogan, and Andrew W. Lo (2000), When Is Time Continuous?, Journal of Financial Economics 55 (2), 173–204.

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.

Optimal Control of Execution Costs

1998
Bertsimas, Dimitris, and Andrew W. Lo (1998), Optimal Control of Execution Costs, Journal of Financial Markets 1 (1), 1–50.

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.

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.

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.

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

1994
Hutchinson, James M., Andrew W. Lo, and Tomaso Poggio (1994), A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks, Journal of Finance 49 (3), 851–889.

Non-Trading Effect

1992
Lo, Andrew W., and A. Craig MacKinley (1992), Non-trading Effect, In New Palgrave Dictionary of Money and Finance, edited by Peter Newman, Murray Milgate, and John Eatwell.

Empirical Issues in the Pricing of Options and Other Derivative Securities

1992
Lo, Andrew W. (1992), Empirical Issues in the Pricing of Options and Other Derivative Securities, Cuadernos Economicos de ICE 50, 129–155.

An Ordered Probit Analysis of Transaction Stock Prices

1992
Hausman, Jerry A., Andrew W. Lo, and A. Craig MacKinlay (1992), An Ordered Probit Analysis of Transaction Stock Prices, Journal of Financial Economics 31 (3), 319–379.

Long-Term Memory in Stock Market Prices

1991
Lo, Andrew W. (1991), Long-Term Memory in Stock Market Prices, Econometrica 59 (5), 1279–1313.