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Research


Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices

with Yacine Ait-Sahalia, Journal of Finance 52 (1998), 499–548.

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Systemic Risk and the Refinancing Ratchet Effect

with Amir E. Khandani and Robert C. Merton., Journal of Financial Economics 108 (2013), 29-45.

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The Psychophysiology of Real-Time Financial Risk Processing

with Dmitry V. Repin, Journal of Cognitive Neuroscience 14 (2002), 323–339.

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Econometric Models of Limit-Order Executions

with Craig MacKinlay and June Zhang, Journal of Financial Economics 65 (2002), 31–71.

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The Sources and Nature of Long-Term Dependence in the Business Cycle

with Joseph Haubrich, Federal Reserve Bank of Cleveland Economic Review 37 (2001), 15–30.

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Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach

with Dimitris Bertsimas and Leonid Kogan, Operations Research 49 (2001), 372–397.

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Computational Challenges in Portfolio Management

with Martin Haugh, Computing in Science & Engineering 3 (2001), 54–59.

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Asset Allocation and Derivatives

with Martin Haugh, Quantitative Finance 1 (2001), 45–72.

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

with Harry Mamaysky and Jiang Wang, Journal of Finance 55 (2000), 1705–1765.

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Finance: A Selective Survey

Journal of the American Statistical Association 95 (2000), 629-635.

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