Research


Bubble, Rubble, Finance In Trouble?

Lo, Andrew W. (2002), Bubble, Rubble, Finance in Trouble?, Journal of Psychology and Financial Markets 3 (2), 76–86.

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The Psychophysiology of Real-Time Financial Risk Processing

Lo, Andrew W., and Dmitry V. Repin (2002), The Psychophysiology of Real-Time Financial Risk Processing, Journal of Cognitive Neuroscience 14 (3), 323–339.

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Econometric Models of Limit-Order Executions

Lo, Andrew W., A. Craig MacKinlay, and June Zhang (2002), Econometric Models of Limit-Order Executions, Journal of Financial Economics 65 (1), 31–71.

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

Haubrich, Joseph G., and Andrew W. Lo (2001), The Sources and Nature of Long-Term Dependence in the Business Cycle, Federal Reserve Bank of Cleveland Economic Review 37, 15–30.

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

Bertsimas, Dimitris, Leonid Kogan, and Andrew W. Lo (2001), Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach, Operations Research 49 (3), 372–397.

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Computational Challenges in Portfolio Management

Haugh, Martin B., and Andrew W. Lo (2001), Computational Challenges in Portfolio Management, Computing in Science & Engineering 3 (3), 54–59.

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Asset Allocation and Derivatives

Haugh, Martin B., and Andrew W. Lo (2001), Asset Allocation and Derivatives, Quantitative Finance 1 (1), 45–72.

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

Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2000), Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, Journal of Finance 55 (4), 1705–1765.

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Finance: A Selective Survey

Lo, Andrew W. (2001), Finance: A Selective Survey, In Statistics in the 21st Century, edited by Adrian E. Raftery, Martin A. Tanner, and Martin T. Wells, 102–114.

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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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