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Research


Computational Finance 1999

2000
Abu-Mostafa, Yaser S., Blake LeBaron, Andrew W. Lo, and Andreas S. Wiegand (2000), Computational Finance 1999, edited volume, MIT Press.

Optimal Control of Execution Costs for Portfolios

2000
Bertsimas, Dimitris, Andrew W. Lo, and Paul Hummel (2000), Optimal Control of Execution Costs for Portfolios, Computing in Science & Engineering 1, 40–53.

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.

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