Research


When Do Stop-Loss Rules Stop Losses?

Kaminski, Kathryn M., and Andrew W. Lo (2014), When Do Stop-Loss Rules Stop Losses?, Journal of Financial Markets 18 (1), 234–254.

View abstract

Can Financial Engineering Cure Cancer?

Fagnan, David E., Jose-Maria Fernandez, Andrew W. Lo, and Roger M. Stein (2013), Can Financial Engineering Cure Cancer?, American Economic Review 103 (3), 406–411.

View abstract

On a New Approach for Analyzing and Managing Macrofinancial Risks

Merton, Robert C., Monica Billio, Mila Getmansky, Dale Gray, Andrew W. Lo, and Loriana Pelizzon (2013), On a New Approach for Analyzing and Managing Macrofinancial Risks, Financial Analysts Journal 69 (2), 22–33.

View abstract

Reading About the Financial Crisis: A Twenty-One-Book Review

Lo, Andrew W. (2012), Reading about the Financial Crisis: A Twenty-One-Book Review, Journal of Economic Literature 50 (1), 151–178.

View abstract

What Do Humans Perceive in Asset Returns?

with Jasmina Hasanhodzic and Emanuele Viola, Hasanhodzic, Jasmina, Andrew W. Lo, and Emanuele Viola (2019), What Do Humans Perceive in Asset Returns?, Journal of Portfolio Management 45 (4), 49–60.

View abstract

Privacy-Preserving Methods for Sharing Financial Risk Exposures

Abbe, Emmanuel A., Amir E. Khandani, and Andrew W. Lo (2012), Privacy-Preserving Methods for Sharing Financial Risk Exposures, American Economic Review 102 (3), 65–70.

View abstract

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

Billio, Monica, Mila Getmansky, Andrew W. Lo, and Loriana Pelizzon (2012), Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Journal of Financial Economics 104 (3), 535–559.

View abstract

An Ordered Probit Analysis of Transaction Stock Prices

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.

View abstract

Long-Term Memory in Stock Market Prices

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

View abstract

Data Snooping Biases in Tests of Financial Asset Pricing Models

Lo, Andrew W., and A. Craig MacKinlay (1990), Data-Snooping Biases in Tests of Financial Asset Pricing Models, Review of Financial Studies 3 (3), 431–467.

View abstract