Research


The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Lo, Andrew W. (2004), The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective, Journal of Portfolio Management 30 (5), 15–29.

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It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier

Lo, Andrew W., Constantin Petrov, and Martin Wierzbicki (2003), It’s 11 PM—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier, Journal of Investment Management 1 (1), 55–93.

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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 (2), 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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