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Research


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.

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Long-Term Memory in Stock Market Prices

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

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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.

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When Are Contrarian Profits Due To Stock Market Overreaction?

Lo, Andrew W., and A. Craig MacKinlay (1990), When Are Contrarian Profits Due to Stock Market Overreaction?, Review of Financial Studies 3 (2), 175–205.

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An Econometric Analysis of Nonsynchronous Trading

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

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When Is Time Continuous?

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

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

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.

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Optimal Control of Execution Costs for Portfolios

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

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An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

Getmansky, Mila, Andrew W. Lo, and Igor Makarov (2004), An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74 (3), 529–609.

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Nonparametric Risk Management and Implied Risk Aversion

Aït-Sahalia, Yacine, and Andrew W. Lo (2000), Nonparametric Risk Management and Implied Risk Aversion, Journal of Econometrics 94 (1–2), 9–51.

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