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Research


Moore’s Law versus Murphy’s Law: Algorithmic Trading and Its Discontents

Kirilenko, Andrei A., and Andrew W. Lo (2013), Moore’s Law versus Murphy’s Law: Algorithmic Trading and Its Discontents, Journal of Economic Perspectives 27 (2), 51–72.

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Using Algorithmic Attribution Techniques To Determine Authorship In Unsigned Judicial Opinions

Li, William, Pablo D. Azar, David Larochelle, Phil Hill, James Cox, Robert C. Berwick, and Andrew W. Lo (2013), Using Algorithmic Attribution Techniques to Determine Authorship in Unsigned Judicial Opinions, Stanford Technology Law Review 16 (3), 503–534.

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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.

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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.

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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.

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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.

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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.

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Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies

Lo, Andrew W. (1986), Logit versus Discriminant Analysis. A Specification Test and Application to Corporate Bankruptcies, Journal of Econometrics 31 (2), 151–178.

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Optimal Control of Execution Costs

Bertsimas, Dimitris, and Andrew W. Lo (1998), Optimal Control of Execution Costs, Journal of Financial Markets 1 (1), 1–50.

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A Large-Sample Chow Test for the Single Linear Simultaneous Equation

Lo, Andrew W., and Whitney K. Newey (1985), A Large-Sample Chow Test for the Linear Simultaneous Equation, Economics Letters 18 (4), 351–353.

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© 2020 Andrew W. Lo, MIT Sloan School of Management. All rights reserved.