Research


Personal Indexes

Journal of Indexes Q3 (2001), 26–35.

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Fat Tails, Long Memory, and the Stock Market Since the 1960’s

Economic Notes 26 (1997), 219–252.

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A Non-Random Walk Down Wall Street

The Proceedings of the 1994 Wiener Centennial Symposium, edited by D. Jerison, I. Singer, and D. Stroock. Providence, RI: American Mathematical Society.

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Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?

with John Heaton, False Hopes and Unintended Consequences, edited by Suzanne Hammond, 1995. Chicago, IL: Catalyst Institute

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Data-Snooping Biases in Financial Analysis

Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 1994. Charlottesville, VA: Association for Investment Management and Research

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Neural Networks and Other Nonparametric Techniques in Economics and Finance

Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 1994. Charlottesville, VA: Association for Investment Management and Research.

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Nontrading Effect

with Craig MacKinlay, New Palgrave Dictionary of Money and Finance, 1992, London: Stockton Press

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Empirical Issues in the Pricing of Options and Other Derivative Securities

Cuadernos Economicos de ICE 50 (1992), 129–155.

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Reading About the Financial Crisis: A Twenty-One-Book Review

Journal of Economic Literature 50 (2012), 151-178.

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Stock Market Trading Volume

with Jiang Wang, Handbook of Financial Econometrics, Volume 2, 2010, North-Holland

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