Andrew Lo

Charles E. and Susan T. Harris Professor
Professor of Finance
Director, Laboratory for Financial Engineering

Biography | Selected Publications

Biological Economics. Lo, Andrew W. and Ruixun Zhang. Cheltenham, UK: Edward Elgar Publishers. Forthcoming

"Portfolio Theory." Brennan, Thomas J., Andrew W. Lo and Tri-Dung Nguyen. In The Princeton Companion to Applied Mathematics, edited by N. J. Higham. Princeton, NJ: Princeton University Press, 2016.

Survival of the Richest: Market Efficiency from an Evolutionary Perspective. Lo, Andrew W. Princeton, NJ: Princeton University Press. Forthcoming

The Adaptive Markets Hypothesis, Clarendon Lectures in Finance. Lo, Andrew W. New York, NY: Oxford University Press. Forthcoming

"The Wisdom of Crowds vs. the Madness of Mobs." Lo, Andrew W. Collective Intelligence, edited by Thomas Malone and Michael S. Bernstein. Cambridge, MA: MIT Press.

"Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry." Thakor, Richard T. and Andrew W. Lo, MIT Sloan Working Paper 5140-15. Cambridge, MA: MIT Sloan School of Management, June 2015.

"Funding Translational Medicine via Public Markets: The Business Development Company." Forman, Sandra M., Andrew W. Lo, Monica J. Shilling and Grace Sweeney, MIT Lab for Financial Engineering Working Paper. Cambridge, MA: MIT Lab for Financial Engineering, August 2015.

"Is the FDA Too Conservative or Too Aggressive? A Bayesian Decision Analysis of Clinical Trial Design." Montazerhodjat, Vahid and Andrew W. Lo, NBER Working Paper w21499. August 2015.

"Reply to '(Im)possible Frontiers: A Comment.'" Brennan, Thomas J. and Andrew W. Lo. Critical Finance Review Vol. 4, No. 1 (2015): 157-171. (2015)

"Risk and Risk Management in the Credit Card Industry." Butaru, Florentin, Qingqing Chen, Brian J. Clark, Sanmay Das, Andrew W. Lo and Akhtar R. Siddique, NBER Working Paper 21305. Cambridge, MA: Nationa Bureau of Economic Research, June 2015.

"Macroeconomic Models for Conventional and Unconventional Monetary Policies: A Critical Review from a Finance Perspective." Wei Dou, Winston, Lars Hansen, Andrew W. Lo, Ameya Muley and Harald Uhlig, Working Paper. March 2015.

"Law Is Code: A Software Engineering Approach to Analyzing the United States Code." Li, William, Pablo Azar, David Larochelle, Phil Hill and Andrew W. Lo. Journal of Business and Technology Law Vol. 10, No. 2 (2015): 297-374. (2015)

"Financing Translational Medicine: A Portfolio Analysis of the NCATS Rare Disease Portfolio." Fagnan, David E., N. Nora Yang, John C. McKew and Andrew W. Lo. Science Translational Medicine, February 2015.

"The Origin of Risk Aversion." Zhang, Ruixun, Thomas J. Brennan and Andrew W. Lo. Proceedings of the National Academy of Sciences Vol. 111, No. 50 (2014): 17777-17782. (2014)

"Dealing with Femtorisks in International Relations." Frank, Aaaron Benjamin, Margaret Goud Collins, Simon A. Levin, Andrew W. Lo, Joshua Ramo, Ulf Dieckmann, Victor Kremenyuk, Arkady Kryazhimskiy, JoAnne Linnerooth-Bayer, Ben Ramalingam, J. Stapleton Roy, Donald G. Saari, Stefan Thurner and Detlof von Winterfeldt. Proceedings of the National Academy of Sciences Vol. 111, No. 49 (2014): 17356-17362. (2014)

Annual Review of Financial Economics, Volume 6. Lo, Andrew W. and Robert C. Merton. Palo Alto, CA: Annual Reviews, 2014.

​"Macroeconomic Modeling and Financial Stability: Lessons from the Crisis." Lo, Andrew W. Banking Perspective, 2014.

"Group Selection as Behavioral Adaptation to Systematic Risk." Zhang, Ruixun, Thomas J. Brennan and Andrew W. Lo. PLoS ONE Vol. 9, No. 10 (2014): e110848. (2014)

"Hedge Fund Beta Replication: A Five-Year Retrospective." Lee, Peter A. and Andrew W. Lo. Journal of Investment Management Vol. 12, No. 3 (2014): 5-18. (2014)

"Unintended Consequences of Expensive Cancer Therapeutics—The Pursuit of Marginal Indications and a Me-Too Mentality That Stifles Innovation and Creativity." Fojo, Tito, Sham Mailankody and Andrew W. Lo. JAMA Otolaryngology Head Neck Surgery Vol. 140, No. 12 (2014): 1225-1236. (2014)

"Parallel Discovery of Alzheimer's Therapeutics." Lo, Andrew W., Carole Ho, Jayna Cummings and Kenneth S. Kosik. Science Translational Medicine Vol. 241, No. 6 (2014): 241cm5 (2014)

"Financing Drug Discovery for Orphan Diseases." Fagnan, David E., Austin A. Gromatzky, Roger M. Stein, Jose-Maria Fernandez and Andrew W. Lo. Drug Discovery Today Vol. 19, No. 5. (2014): 533-538. (2014)

"To Cure Cancer, Provide a Profit Motive." Lo, Andrew W. and Roger M. Stein. Scientific American Forum, March, 2014.

"Financial Orphan Therapies Looking For Adoption." Sukhatme, Vikas, Kathy Fang, Andrew Lo and Vidula Sukhatme. Health Affairs Blog. March 2014.

"New Financing Methods in the Biopharma Industry: A Case Study of Royalty Pharma, Inc." Lo, Andrew W. and Sourya V. Naraharisetti. Journal of Investment Management Vol. 12, No. 1 (2014): 4-19. (2014)

"When Do Stop-Loss Rules Stop Losses?" Kaminski, Kathryn M. and Andrew W. Lo. Journal of Financial Markets Vol. 18 (2014): 234-254. (2014)

"Can Financial Engineering Save Cancer Research?" Benz, Edward, Michael Goldberg and Andrew W. Lo. In MAKING SEN$E. PBS NEWSHOUR, February 2014.

"Systemic Risk and the Refinancing Ratchet Effect." Khandhani, Amir E., Andrew W. Lo and Robert C. Merton. Finance and Accounting Memos (FAME), January 2014. (2014)

"Dynamic Loss Probabilities and Implications for Financial Regulation." Brennan, Thomas J. and Andrew W. Lo. Yale Journal on Regulation Vol. 31, No. 3 (2014): 667–694. (2014)

Annual Review of Financial Economics, Volume 5. Lo, Andrew W. and Robert C. Merton. Palo Alto, CA: Annual Reviews, 2013.

"The Origin of Bounded Rationality and Intelligence." Andrew W. Lo. In Proceedings of the American Philosophical Society, edited by Samanta Andreacchi. Philadelphia, PA: September 2013.

"Can Hedge Funds Time Market Liquidity?" Cao, Charles, Yong Chen, Bing Liang and Andrew W. Lo. Journal of Financial Economics Vol. 109, No. 2 (2013): 493–516. (2013)

"Fear, Greed, and Financial Crises: A Cognitive Neurosciences Perspective." Lo, Andrew W. In Handbook of Systemic Risk, edited by Jean-Pierre Fouque and Joseph A. Langsam. New York, NY: Cambridge University Press, 2013.

"Using Algorithmic Attribution Techniques To Determine Authorship In Unsigned Judicial Opinions." Li, William, Pablo Azar, David Larochelle, Phil Hill, James Cox, Robert C. Berwick and Andrew W. Lo. Stanford Technology Law Review Vol. 16, No. 3 (2013): 503-534. (2013)

"Learning Connections in Financial Time Series." Gartheeban Ganeshapillai, John Guttag and Andrew W. Lo. In Proceedings of the 30th International Conference on Machine Learning, edited by Sanjoy Dasgupta and David McAllester. Atlanta, GA: 2013.

"Can Financial Engineering Cure Cancer?" Fagnan, David E., Jose Maria Fernandez, Andrew W. Lo and Roger M. Stein. American Economic Review Vol. 103, No. 3 (2013): 406-411. (2013)

"Systemic Risk and the Refinancing Ratchet Effect." Khandani, Amir E., Andrew W. Lo and Robert C. Merton. Journal of Financial Economics Vol. 108, No. 1 (2013): 29-45. (2013)

"On a New Approach for Analyzing and Managing Macrofinancial Risks." Merton, Robert C., Monica Billio, Mila Getmansky, Dale Gray, Andrew W. Lo and Loriana Pelizzon. Financial Analysts Journal Vol. 69, No. 2 (2013): 22-33. (2013)

"Moore's Law vs. Murphy's Law: Algorithmic Trading and Its Discontents." Kirilenko, Andrei A. and Andrew W. Lo. Journal of Economic Perspectives Vol. 27, No. 2 (2013): 51–72. (2013)

Quantifying Systemic Risk. Haubrich, Joseph G. and Andrew W. Lo. Chicago, IL: The University of Chicago Press, 2013.

Rethinking the Financial Crisis. Blinder, Alan S., Andrew W. Lo and Robert M. Solow. New York, NY: Russell Sage Foundation, 2012

"An Evolutionary Model of Bounded Rationality and Intelligence." Brennan, Thomas J. and Andrew W. Lo. PLoS ONE Vol. 7, No. 11 (2012): 1-8. (2012)

"A Survey of Systemic Risk Analytics." Bisias, Dimitrios, Mark Flood, Andrew W. Lo and Stavros Valavanis. Annual Review of Financial Economics Vol. 4, No. 1 (2012): 255–296. (2012)

Annual Review of Financial Economics, Volume 4. Lo, Andrew W. and Robert C. Merton. Palo Alto, CA: Annual Reviews, 2012.

"What Post-Crisis Changes Does the Economics Discipline Need? Beware of Theory Envy!" Lo, Andrew W. In What's the Use of Economics: Teaching the Dismal Science After the Crisis., edited by Diane Coyle, 39-48. London, UK: London Publishing Partnership, 2012.

"Commercializing Biomedical Research Through Securitization Techniques." Fernandez, Jose-Maria, Roger M. Stein and Andrew W. Lo. Nature Biotechnology Vol. 30, No. 10 (2012): 964-975. (2012)

"Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors." Billio, Monica, Mila Getmansky, Andrew W. Lo and Loriana Pelizzon. Journal of Financial Economics Vol. 104, No. 3 (2012): 535-559. (2012)

"Estimating the NIH Efficient Frontier." Bisias, Dimitrios, Andrew W. Lo and Jamie Watkins. PLoS ONE Vol. 7, No. 5 (2012): 1-10. (2012)

"Adaptive Markets and the New World Order." Lo, Andrew W. Financial Analysts Journal Vol. 68, No. 2 (2012): 18-29 (2012)

"Do Labyrinthine Legal Limits on Leverage Lessen the Likelihood of Losses?" Lo, Andrew W. and Thomas J. Brennan. Texas Law Review Vol. 90, No. 7 (2012): 1775-1810. (2012)

"Privacy-Preserving Methods for Sharing Financial Risk Exposures." Abbe, Emmanuel A., Amir E. Khandani and Andrew W. Lo. American Economic Review: Papers and Proceedings Vol. 102, No. 3 (2012): 65–70. (2012)

"Reading About the Financial Crisis: A 21-Book Review." Lo, Andrew W. Journal of Economic Literature Vol. 50, No. 1 (2012): 151–178. (2012)

Annual Review of Financial Economics, Volume 3. Lo, Andrew W. and Robert C. Merton. Palo Alto, CA: Annual Reviews, 2011.

"The FTSE StableRisk Indices." Chafkin, Jeremiah, Andrew W. Lo and Robert Sinnott. Journal of Index Investing Vol. 2, No. 2 (2011): 12–35. (2011)

"Complexity, Concentration, and Contagion: A Comment." Lo, Andrew W. Journal of Monetary Economic Vol. 58, No. 5 (2011): 471-479. (2011)

"A Computational View of Market Efficiency." Hasanhodzic, Jasmina, Andrew W. Lo and Emanuele Viola. Quantitative Finance Vol. 11, No. 7 (2011): 1043–1050. (2011)

"Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios." Khandani, Amir and Andrew W. Lo. Quarterly Journal of Finance Vol. 1, No. 2: 205–264. (2011)

"STOC: Securities Trading of Concepts."  Dahan, Ely, Adlar Kim, Andrew W. Lo, Tomaso Poggio and Nicholas Chan. Journal of Marketing Research Vol. 48, No. 3 (2011): 497–517. (2011)

"Managing Real-Time Risks and Returns: The Thomson Reuters NewsScope Event Indices." Healy, Alexander and Andrew W. Lo. In The Handbook of News Analytics in Finance, edited by Gautam Mitra and Leela Mitra. Chichester, West Sussex, UK: John Wiley & Sons Ltd, 2011.

"The National Transportation Safety Board: A Model for Systemic Risk Management." Fielding, Eric, Andrew W. Lo and Jian Helen Yang. Journal of Investment Management Vol. 9, No. 1 (2011): 18–50. (2011)

"The Origin of Behavior." Brennan, Thomas J. and Andrew W. Lo. Quarterly Journal of Finance Vol. 1, No. 1 (2011): 55–108. (2011)

"What Happened To The Quants In August 2007? Evidence from Factors and Transactions Data." Khandani, Amir and Andrew W. Lo. Journal of Financial Markets Vol. 14, No. 1 (2011): 1–46. (2011)

Annual Review of Financial Economics, Volume 2. Lo, Andrew W. and Robert C. Merton. Palo Alto, CA: Annual Reviews, 2010.

"Consumer Credit Risk Models via Machine-Learning Algorithms." Khandani, Amir, Adlar J. Kim and Andrew W. Lo. Journal of Banking & Finance Vol. 34, No. 11 (2010): 2767–2787. (2010)

The Evolution of Technical Analysis: Financial Prediction from Babylonian Tablets to Bloomberg Terminals. Lo, Andrew W. and Jasmina Hasanhodzic. Hoboken, NJ: John Wiley & Sons, Inc., 2010.

"Impossible Frontiers." Brennan, Thomas J. and Andrew W. Lo. Management Science Vol. 56, No. 6 (2010): 905– 923. (2010)

"WARNING: Physics Envy May Be Hazardous To Your Wealth." Lo, Andrew W. and Mark Mueller. Journal of Investment Management Vol. 8, No. 1 (2010): 13–63. (2010)

Annual Review of Financial Economics, Volume 1.  Lo, Andrew W. and Robert C. Merton. Palo Alto, CA: Annual Reviews, 2009.

"Preface to the Annual Review of Financial Economics, Volume 1."  Lo, Andrew W. and Robert C. Merton. Annual Review of Financial Economics, Volume 1, edited by Andrew W. Lo and Robert C. Merton, 1-17. Palo Alto, CA: Annual Reviews, 2009.

"Stock Market Trading Volume." Lo, Andrew W. and Jiang Wang. In Handbook of Financial Econometrics,Volume 2, edited by Yasmine Aït-Sahalia and Lars Peter Hansen, 242-341. Atlanta, GA: Elsevier, 2009.

"Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints." Healy, Alexander D. and Andrew W. Lo. Journal of Investment Management Vol. 7, No. 3 (2009): 1–20. (2009)

"Regulatory Reform in the Wake of the Financial Crisis of 2007–2008." Lo, Andrew W. Journal of Financial Economic Policy Vol. 1, No. 1 (2009): 4–43. (2009)

The Heretics of Finance. Lo, Andrew W. and Jasmina Hasanhodzic. New York, NY: Bloomberg Press. 2009

"MIT Roundtable on Corporate Risk Management." Merton, Robert C. and Andrew W. Lo. Journal of Applied Corporate Finance Vol. 20, No. 4 (2008): 20-38. (2008)

"130/30: The New Long-Only." Lo, Andrew W. and Pankaj N. Patel. Journal of Portfolio Management Vol. 34, No. 2 (2008): 12–38. (2008)

"Where Do Alphas Come From? A New Measure of the Value of Active Investment Management." Lo, Andrew W. Journal of Investment Management Vol. 6, No. 2 (2008): 1–29. (2008)

Hedge Funds: An Analytic Perspective. Lo, Andrew W. Princeton, NJ: Princeton University Press, 2008.

"Efficient Markets Hypothesis." Lo, Andrew W. In The New Palgrave: A Dictionary of Economics, edited by Steven N. Durlauf and Lawrence E. Blume. London, UK, 2008.

"What Happened To The Quants In August 2007?" Khandani, Amir and Andrew W. Lo. Journal of Financial Markets Vol. 14, No. 1: (2007): 1-46.

The International Library of Financial Econometrics Series, Volumes 1–5. Edited by Lo, Andrew W., Charles E. Harris and Susan T. Harris. Cheltenham, UK: Edward Elgar Publishing., 2007.

"Can Hedge-Fund Returns Be Replicated? The Linear Case." Hasanhodzic, Jasmina  and Andrew W. Lo. Journal of Investment Management Vol. 5, No. 2 (2007): 5–45. (2007)

"Systemic Risk and Hedge Funds." Chan, Nicholas, Mila Getmansky, Shane M. Haas and Andrew W. Lo. In The Risks of Financial Institutions and the Financial Sector, edited by Mark Carey and René M. Stulz. Chicago, IL: University of Chicago Press, 2007.

"Do Hedge Funds Increase Systemic Risk?" Chan, Nicholas, Mila Getmansky, Shane M. Haas and Andrew W. Lo. Federal Reserve Bank of Atlanta Economic Review Vol. 91, No. 4 (2006): 49–80. (2006)

"Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model." Lo, Andrew W. and Jiang Wang. Journal of Finance Vol. 61, No. 6 (2006): 2805–2840. (2006)

"Attack of the Clones." Hasanhodzic, Jasmina and Andrew W. Lo. Institutional Investor's Alpha, June 2006.

The Derivatives Sourcebook. Lim, Terence, Andrew W. Lo, Robert C. Merton and Myron S. Scholes. Hanover, MA: Now Publishers Inc., 2006. 

"Survival of the Richest." Lo, Andrew W. Harvard Business Review, March 2006.

"Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis." Lo, Andrew W. Journal of Investment Consulting Vol. 7, No. 2 (2005): 21–44. (2005)

"Fear and Greed in Financial Markets: An Online Clinical Study of Day-Traders." Lo, Andrew W., Dmitry Repin and Brett Steenbarger. American Economic Review Vol. 95, No. 2 (2005): 352–359. (2005)

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

"Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations." Getmansky, Mila, Andrew W. Lo and Shauna X. Mei. Journal of Investment Management Vol. 2, No. 4 (2004): 6–38. (2004)

"Asset Prices and Trading Volume Under Fixed Transaction Costs." Lo, Andrew W., Harry Mamaysky and Jiang Wang. Journal of Political Economy Vol. 112,  No. 5 (2004): 1054–1090. (2004)

"The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective." Lo, Andrew W. Journal of Portfolio Management Vol. 30, No. 5 (2004): 15–29. (2004)

"It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier." Lo, Andrew W., Constantin Petrov and Martin Wierzbicki. Journal of Investment Management Vol. 1, No. 1 (2003): 55–93. (2003)

"Trading Volume." Lo, Andrew W. and Jiang Wang. In Advances in Economic Theory: Eighth World Congress Volume 2, edited by Mathias Dewatripont, Lars Peter Hansen and Stephen J. Turnovsky. Cambridge, UK: Cambridge University Press, January 2003. (2003)

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

"The Statistics of Sharpe Ratios." Lo, Andrew W. Financial Analysts Journal Vol. 58, No. 4 (2002): 36–52. (2002)

"Bubble, Rubble, Finance In Trouble?" Lo, Andrew W. Journal of Psychology and Financial Markets Vol. 3, No. 2 (2002): 76–86. (2002)

"The Sources and Nature of Long-Term Dependence in the Business Cycle." Haubrich, Joseph and Andrew W. Lo. Economic Review Vol. 37, No. 2 (2002): 15–30. (2002)

"The Psychophysiology of Real-Time Financial Risk Processing." Lo, Andrew W. and Dmitry V. Repin. Journal of Cognitive Neuroscience Vol.14, No. 3 (2002): 323–339. (2002)

"Risk Management For Hedge Funds: Introduction and Overview." Lo, Andrew W. Financial Analysts Journal Vol. 57, No. 6 (2001): 16-33. (2001)

"Personal Indexes." Lo, Andrew W. Journal of Indexes Vol. Q3 (2001): 26–35. (2001)

"Computational Challenges of Financial Engineering." Haugh, Martin B. and Andrew W. Lo. Computing in Science and Engineering Vol. 3, No. 3 (2001) 54–59. (2001)

"Hedging Derivative Securities and Incomplete Markets: An e-Arbitrage Approach." Bertsimas, Dimitris, Leonid Kogan and Andrew W. Lo. Operations Research Vol. 49, No. 3 (2001): 372–397. (2001)

"Asset Allocation and Derivatives." Haugh, Martin B., and Andrew W. Lo. Quantitative Finance Vol. 1, No. 1 (2001): 45–72. (2001)

"Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation." Lo, Andrew W., Harry Mamaysky and Jiang Wang. Journal of Finance Vol. 55, No. 4 (2000): 1705–1765. (2000)

"Finance: A Selective Survey." Lo, Andrew W. Journal of the American Statistical Association Vol. 95, No. 450 (2000): 629–635. (2000)

Computational Finance 1999. Edited by Abu-Mostafa, Yaser S., Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend. Cambridge, MA: MIT Press, 2000.

"Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory." Lo, Andrew W. and Jiang Wang. Review of Financial Studies Vol. 13, No. 2 (2000): 257–300. (2000)

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

"Nonparametric Risk Management and Implied Risk Aversion." Aït-Sahalia, Yacine and Andrew W. Lo. Journal of Econometrics Vol. 94, No. 1-2 (2000): 9-51. (2000)

"Optimal Control of Execution Costs for Portfolios." Bertsimas, Dimitris, Andrew W. Lo and Paul Hummel. Computing in Science & Engineering Vol. 1, No. 6 (1999): 40–53. (1999)

"Frontiers of Finance: Evolution and Efficient Markets." Farmer, J. Doyne and Andrew W. Lo. Proceedings of the National Academcy of Science Vol. 96, No. 18 (1999): 9991-9992. (1999)

"A Non-Random Walk Down Wall Street." Lo, Andrew W. and A. Craig MacKinlay. Princeton, NJ: Princeton University Press, 1999.

"The Three P’s of Total Risk Management." Lo, Andrew W. Financial Analysts Journal Vol. 55, No. 1 (1999): 13–26. (1999)

"Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices." Aït-Sahalia, Yacine and Andrew W. Lo. Journal of Finance Vol. 53, No. 2 (1998): 499–548. (1998)

"Optimal Control of Execution Costs." Bertsimas, Dimitris and Andrew W. Lo. Journal of Financial Markets Vol. 1, No. 1 (1998): 1–50. (1998)

"A Non-Random Walk Down Wall Street: Recent Advances in Financial Technology." Andrew W. Lo. In Research Dialogues, edited by Frank King, 1-7. New York, NY: September 1997.

"A Non-Random Walk Down Wall Street." Lo, Andrew W. In The Legacy of Norbert Wiener: A Centennial Symposium, edited by David Jerison, I. M. Singer and Danield W. Stroock. Providence, RI: American Mathematical Society, 1997.

Market Efficiency: Stock Market Behaviour In Theory and Practice, Volumes I and II. Edited by Lo, Andrew W. Cheltenham, UK: Edward Elgar Publishing Company, June 1997.

"Maximizing Predictability in the Stock and Bond Markets." Lo, Andrew W. and A. Craig MacKinlay. Macroeconomic Dynamics, Vol. 1, No. 1 (1997): 102–134. (1997)

"Fat Tails, Long Memory, and the Stock Market Since the 1960’s." Lo, Andrew W. Economic Notes Vol. 26 (1997): 219–252. (1997)

The Econometrics of Financial Markets. Campbell, John Y., Andrew W. Lo and A. Craig MacKinlay. Princeton, NJ: Princeton University Press, 1997. (1996)

The Industrial Organization and Regulation of the Securities Industry. Edited by Lo, Andrew W. Chicago, IL: University of Chicago Press, 1995.

"Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?" Lo, Andrew W. and John Heaton. In Securities Transaction Taxes: False Hopes and Unintended Consequences, edited by Suzanne Hammond. Chicago, IL: Catalyst Institute 1995.

"Implementing Option Pricing Models When Asset Returns Are Predictable." Lo, Andrew W. and Jiang Wang. Journal of Finance Vol. 50, No. 1 (1995): 87–129. (1995)

"Data-Snooping Biases in Financial Analysis." Lo, Andrew W. In Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler. Charlottesville, VA: Association for Investment Management and Research, 1994.

"Neural Networks and Other Nonparametric Techniques in Economics and Finance." Lo, Andrew W. In Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler. Charlottesville, VA: Association for Investment Management and Research, 1994.

"A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks." Hutchinson, James M., Andrew W. Lo and Tomaso Poggio. Journal of Finance Vol. 49, No. 3 (1994): 851–889. (1994)

"Nontrading Effect." Lo, Andrew W. and A. Craig MacKinlay. In New Palgrave Dictionary of Money and Finance, edited by Peter Newman, Murray Milgate and John Eatwell. London, UK: Palgrave Macmillan, 1992.

"An Ordered Probit Analysis of Transaction Stock Prices." Hausman, Jerry A., Andrew W. Lo and A. Craig MacKinlay. Journal of Financial Economics Vol. 31, No. 3 (1992): 319–379. (1992)

"Empirical Issues in the Pricing of Options and Other Derivative Securities." Lo, Andrew W. Cuadernos Economicos de ICE Vol. 50 (1992): 129–155. (1992)

"Long-Term Memory in Stock Market Prices." Lo, Andrew W. Econometrica Vol. 59, No. 5 (1991): 1279–1313. (1991)

"An Econometric Analysis of Nonsynchronous Trading." Lo, Andrew W. and A. Craig MacKinlay. Journal of Econometrics Vol. 45, No.1-2 (1990): 181–212. (1990)

"Data Snooping Biases in Tests of Financial Asset Pricing Models." Lo, Andrew W. and A. Craig MacKinlay. Review of Financial Studies Vol. 3, No. 3 (1990): 431–468. (1990)

"When Are Contrarian Profits Due To Stock Market Overreaction?" Lo, Andrew W. and A. Craig MacKinlay. Review of Financial Studies Vol. 3 No. 2 (1990): 175–206. (1990)

"Games of Survival in the Newspaper Industry." Bucklin, Randolph, Richard Caves, and Andrew W. Lo. Applied Economics Vol. 21, No. 5 (1989): 631–650. (1989)

"The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation." Lo, Andrew W. and A. Craig MacKinlay. Journal of Econometrics Vol. 40, No. 2 (1989): 203–238. (1989)

"Maximum Likelihood Estimation of Generalized Itˆo Processes with Discretely-Sampled Data." Lo, Andrew W. Econometric Theory Vol. 4, No. 2 (1988): 231–247. (1988)

"Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test." Lo, Andrew W. and A. Craig MacKinlay. Review of Financial Studies Vol. 1, No. 1 (1988): 41–66. (1988)

"Semiparametric Upper Bounds for Option Prices and Expected Payoffs." Lo, Andrew W. Journal of Financial Economics Vol. 19, No. 2 (1987): 373–388.

(1987)

"Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology." Lo, Andrew W. Journal of Financial Economics Vol. 17, No. 1 (1986): 143–173. (1986)

"Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies." Lo, Andrew W. Journal of Econometrics Vol. 31, No. 2 (1986): 151–178. ​ (1986)

"A Large-Sample Chow Test for the Single Linear Simultaneous Equation." Lo, Andrew W. and Whitney Newey. Economics Letters Vol. 18, No. 4 (1985): 351–353. ​

(1985)

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