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 (ed.). To be published by Edward Elgar Publishers, 2016.  

"Portfolio Theory." Brennan, Thomas J., Andrew W. Lo, and Tri-Dung Nguyen. To appear in Higham, N.J. (ed.), The Princeton Companion to Applied Mathematics. Princeton, NJ: Princeton University Press.  

"Reply to '(Im)possible Frontiers: A Comment.'" Brennan, Thomas J., and Andrew W. Lo. To appear in Critical Finance Review.  

Survival of the Richest: Market Efficiency from an Evolutionary Perspective. Lo, Andrew W. To be published by Princeton: Princeton University Press, 2015.

The Adaptive Markets Hypothesis, Clarendon Lectures in Finance. Lo, Andrew W. To be published by Oxford University Press, 2016. 

"The Wisdom of Crowds vs. the Madness of Mobs." Lo, Andrew W. To appear in Malone, T., and M. Bernstein (eds.), Collective Intelligence. Cambridge, MA: MIT Press.  

"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 (2015). Journal of Business and Technology Law, 10(2).   (2015)

"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 Otolaryngol Head Neck Surg, 140(12): 1225-1236.  (2014)

"Parallel Discovery of Alzheimer's Therapeutics." Lo, Andrew W., Carole Ho, Jayna Cummings, and Kenneth S. Kosik (June 2014). Science Translational Medicine, 241(6): 241cm5.

"Financing Drug Discovery for Orphan Diseases." Fagnan, David E., Austin A. Gromatzky, Roger M. Stein, Jose-Maria Fernandez, and Andrew W. Lo (May 2014). Drug Discovery Today, 19(5), 533-538.

"To Cure Cancer, Provide a Profit Motive." Lo, Andrew W., and Roger M. Stein. Scientific American Forum, March 26, 2014. 

"Financial Orphan Therapies Looking For Adoption." Sukhatme, Vikas, Kathy Fang, Andrew Lo, and Vidula Sukhatme. Health Affairs Blog, March 6, 2014

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

"Can Financial Engineering Save Cancer Research?" Benz, Edward, Michael Goldberg, and Andrew W. Lo. MAKING SEN$E, 27 February 2014. 

"Dynamic Loss Probabilities and Implications for Financial Regulation." Brennan, Thomas J., and Andrew W. Lo (2014). Yale Journal on Regulation, 31: 667–694.   (2014)

"Group Selection as Behavioral Adaptation to Systematic Risk." Zhang, Ruixun, Thomas J. Brennan, and Andrew W. Lo (2014). PLoS ONE 9(10): e110848.   (2014)

"Hedge Fund Beta Replication: A Five-Year Retrospective." Lee, Peter A., and Andrew W. Lo (2014). Journal of Investment Management, 12: 5–18.   (2014)

​"Macroeconomic Modeling and Financial Stability: Lessons from the Crisis." Lo, Andrew W. (2014). Banking Perspective, 2: 22–31.  (2014)

"New Financing Methods in the Biopharma Industry: A Case Study of Royalty Pharma, Inc." Lo, Andrew W., and Sourya V. Naraharisetti (2014). Journal of Investment Management, 12(1): 4-19 (2014)

"Security in the Age of Systemic Risk: Strategies, Tactics and Options for Dealing with Femtorisks and Beyond." Frank, A.,  M. Goud Collins, M. Clegg, U. Dieckmann, V. Kremenyuk, A. Kryazhimskiy, S. Levin, J. Linnerooth-Bayer, A. Lo, B. Ramalingam, J. Ramo, S. Roy, D. Saari, Z. Shtauber, K. Sigmund, J. Tepperman, S. Thurner, W. Yiwei, and D. von Winterfeldt (2014). Proceedings of the National Academy of Sciences, 111: 17356–17362.   (2014)

"The Origin of Risk Aversion." Zhang, Ruixun, Thomas J. Brennan, and Andrew W. Lo (2014). Proceedings of the National Academy of Sciences, 111(50): 17777–17782.   (2014)

"The Origin of Bounded Rationality and Intelligence." Lo, Andrew W. (September 2013). Proceedings of the American Philosophical Society, 157(3): 269–280.  

"Can Hedge Funds Time Market Liquidity?" Cao, Charles, Yong Chen, Bing Liang, and Andrew W. Lo (August 2013). Journal of Financial Economics 109(2): 493–516.

"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 (June 2013). Stanford Technology Law Review 16(3): 503-534

"Systemic Risk and the Refinancing Ratchet Effect." Khandani, Amir E., Andrew W. Lo, and Robert C. Merton (April 2013). Journal of Financial Economics 108(1), 29-45.

"Systemic Risk and the Refinancing Ratchet Effect." Khandhani, Amir E., Andrew W. Lo, and Robert C. Merton (April 2013). Finance & Accounting Memos (FAME), 108(1): 20–22.  

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

"Can Financial Engineering Cure Cancer?" Fagnan, David E., Jose Maria Fernandez, Andrew W. Lo, and Roger M. Stein (2013). American Economic Review 103(3): 406-411. (2013)

"Fear, Greed, and Financial Crises: A Cognitive Neurosciences Perspective." Lo, Andrew W. In Fouque, Jean-Pierre, and Joseph A. Langsam (eds.), Handbook of Systemic Risk. Cambridge University Press, 2013. 

"Learning Connections in Financial Time Series." Gartheeban Ganeshapillai, John Guttag, and Andrew W. Lo (2013). Proceedings of the 30th International Conference on Machine Learning (ICML-13) 30, 109-117. (2013)

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

"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 (2013). Financial Analysts Journal, 69(2): 22-33. (2013)

"An Evolutionary Model of Bounded Rationality and Intelligence." Brennan, Thomas J., and Andrew W. Lo (November 2012). PLoS ONE, 7(11): e50310

"A Survey of Systemic Risk Analytics." Bisias, Dimitrios, Mark Flood, Andrew W. Lo and Stavros Valavanis (October 2012). Annual Review of Financial Economics, 4(1): 255–296.  

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

"Commercializing Biomedical Research Through Securitization Techniques." Fernandez, Jose-Maria, Roger M. Stein, and Andrew W. Lo (September 2012). Nature Biotechnology, 30(10): 964-975.

"Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors." Billio, Monica, Mila Getmansky, Andrew W. Lo, and Loriana Pelizzon (June 2012). Journal of Financial Economics 104(3), 535-559.

"Estimating the NIH Efficient Frontier." Bisias, Dimitrios, Andrew W. Lo, and Jamie Watkins (May 2012). PLoS ONE, 7(5).

"Adaptive Markets and the New World Order." Lo, Andrew W. (May 2012). Financial Analysts Journal, 68(2): 18-29

"Do Labyrinthine Legal Limits on Leverage Lessen the Likelihood of Losses?" Lo, Andrew W., and Thomas J. Brennan (May 2012). Texas Law Review 90(7): 1775-1810.

"Reading About the Financial Crisis: A 21-Book Review." Lo, Andrew W. (March 2012). Journal of Economic Literature, 50(1): 151–178.  

Annual Reviews of Financial Economics, Volume 3. Merton, Robert C., and Andrew W. Lo (eds.). 2012. 

"Privacy-Preserving Methods for Sharing Financial Risk Exposures." Abbe, Emmanuel A., Amir E. Khandani, and Andrew W. Lo (2012). American Economic Review: Papers and Proceedings, 102(3): 65–70.   (2012)

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

"STOC: Securities Trading of Concepts."  Dahan, Ely, Adlar Kim, Andrew W. Lo, Tomaso Poggio, and Nicholas Chan (June 2011). Journal of Marketing Research, 48(3): 497–517.  

"A Computational View of Market Efficiency." Hasanhodzic, Jasmina, Andrew W. Lo, and Emanuele Viola (2011). Quantitative Finance, 11(7): 1043–1050.   (2011)

"Complexity, Concentration, and Contagion: A Comment." Lo, Andrew W. Journal of Monetary Economics, 58(5): 471-479. (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 (2011). Quarterly Journal of Finance, 2: 205–264.   (2011)

"Managing Real-Time Risks and Returns: The Thomson Reuters NewsScope Event Indices." Healy, Alexander, and Andrew W. Lo. In Mitra, Gautam, and Leela Mitra (eds.), The Handbook of News Analytics in Finance. John Wiley & Sons, 2011.

Measuring Systemic Risk in the Finance and Insurance Sectors. Monica Billio, Mila Getmansky, Andrew W. Lo, and Loriana Pelizzon, Working Paper (2011)

"The FTSE StableRisk Indices." Chafkin, Jeremiah, Andrew W. Lo, and Robert Sinnott (Fall 2011). Journal of Index Investing, 2(2): 12–35.  

"The National Transportation Safety Board: A Model for Systemic Risk Management." Fielding, Eric, Andrew W. Lo, and Jian Helen Yang (2011). Journal of Investment Management, 9: 18–50.   (2011)

"The Origin of Behavior." Brennan, Thomas J., and Andrew W. Lo (2011). Quarterly Journal of Finance, 1(1): 55–108.   (2011)

"What Happened To The Quants In August 2007? Evidence from Factors and Transactions Data." Khandani, Amir, and Andrew W. Lo (2011). Journal of Financial Markets, 14(1): 1–46.   (2011)

"Consumer Credit Risk Models via Machine-Learning Algorithms." Khandani, Amir, Adlar J. Kim, and Andrew W. Lo (November 2010). Journal of Banking & Finance, 34(11): 2767–2787.  

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.

Annual Reviews of Financial Economics, Volume 2. Merton, Robert C., and Andrew W. Lo (eds.). 2010. 

"Impossible Frontiers." Brennan, Thomas J., and Andrew W. Lo (2010). Management Science, 56(6): 905– 923.   (2010)

"Stock Market Trading Volume." Lo, Andrew W., and Jiang Wang. Aït-Sahalia, Yasmine and Lars Peter Hansen (eds.), Handbook of Financial Econometrics,Volume 2, North-Holland, 2010.

The National Transportation Safety Board: A Model for Systemic Risk Management (2010)

"WARNING: Physics Envy May Be Hazardous To Your Wealth." Lo, Andrew W., and Mark Mueller (2010). Journal of Investment Management, 8: 13–63.   (2010)

Annual Reviews of Financial Economics, Volume 1. Merton, Robert C., and Andrew W. Lo (eds.). 2009. 

"Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints." Healy, Alexander D., and Andrew W. Lo (2009). Journal of Investment Management, 7(3): 1–20.   (2009)

"Regulatory Reform in the Wake of the Financial Crisis of 2007–2008." Lo, Andrew W. (2009). Journal of Financial Economic Policy, 1(1): 4–43.   (2009)

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

"130/30: The New Long-Only." Lo, Andrew W., and Pankaj N. Patel (Winter 2008). Journal of Portfolio Management, 34: 12–38.  

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

"MIT Roundtable on Corporate Risk Management." Merton, Robert C., and Andrew W. Lo (Fall 2008). Journal of Applied Corporate Finance, 20(4): 20-38.  

"Where Do Alphas Come From? A New Measure of the Value of Active Investment Management." Lo, Andrew W. (2008). Journal of Investment Management, 6(2): 1–29.   (2008)

"What Happened To The Quants In August 2007?" Khandani, Amir, and Andrew W. Lo (November 2007). Journal of Financial Markets, 14(1): 1-46. 

"Can Hedge-Fund Returns Be Replicated? The Linear Case." Hasanhodzic, Jasmina, and Andrew W. Lo (2007). Journal of Investment Management, 5(2): 5–45.  (2007)

"Efficient Markets Hypothesis." Lo, Andrew W. In The New Palgrave: A Dictionary of Economics, 2nd Edition, 2007.  

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

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

"Attack of the Clones." Hasanhodzic, Jasmina, and Andrew W. Lo. Alpha Magazine, June 2006.  

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

"Do Hedge Funds Increase Systemic Risk?" Chan, Nicholas, Mila Getmansky, Shane M. Haas, and Andrew W. Lo (2006). Federal Reserve Bank of Atlanta Economic Review, 91(4): 49–80.   (2006)

The Derivatives Sourcebook. Lim, Terence, Andrew W. Lo, and Robert C. Merton. Foundations and Trends in Finance, Now Publishers Inc., 2006. 

"Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model." Lo, Andrew W., and Jiang Wang (2006). Journal of Finance, 61(6): 2805–2840.   (2006)

"Fear and Greed in Financial Markets: An Online Clinical Study." Lo, Andrew W., Dmitry Repin, and Brett Steenbarger (May 2005). American Economic Review, 95(2): 352–359.  

"Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis." Lo, Andrew W. (2005). Journal of Investment Consulting, 7: 21–44.   (2005)

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

"Asset Prices and Trading Volume Under Fixed Transaction Costs." Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2004). Journal of Political Economy, 112(5): 1054–1090.   (2004)

"Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations." Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei (2004). Journal of Investment Management, 2(4): 6–38.   (2004)

"The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective." Lo, Andrew W. (2004). Journal of Portfolio Management, 30: 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 (2003). Journal of Investment Management, 1(1): 55–93.   (2003)

"Trading Volume." Lo, Andrew W., and Jiang Wang. In Dewatripont, M., Hansen, L. and S. Turnovsky (eds.), Advances in Economic Theory: Eighth World Congress (Econometric Society Monograph), 2003.  

"The Statistics of Sharpe Ratios." Lo, Andrew W. (July/August 2002). Financial Analysts Journal, 58(4): 36–52.  

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

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

"Marketable Alternatives." Lo, Andrew W. Commonfund Quarterly, Fall 2002.  

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

"The Sources and Nature of Long-Term Dependence in the Business Cycle." Haubrich, Joseph, and Andrew W. Lo (2002). Economic Review, 37: 15–30.   (2002)

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

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

"Computational Challenges of Financial Engineering." Haugh, Martin B., and Andrew W. Lo (2001). Computing in Science and Engineering, 3: 54–59.   (2001)

"Personal Indexes." Lo, Andrew W. (2001). Journal of Indexes, 3rd Quarter: 26–35.   (2001)

"Risk Management For Hedge Funds: Introduction and Overview." Lo, Andrew W. (2001). Financial Analysts Journal, 57: 16–33.   (2001)

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

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

"Finance: A Selective Survey." Lo, Andrew W. (2000). Journal of the American Statistical Association, 95: 629–635.   (2000)

"Nonparametric Risk Management and Implied Risk Aversion." Aït-Sahalia, Yacine, and Andrew W. Lo (2000). Journal of Econometrics, 94: 9–51.   (2000)

"Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory." Lo, Andrew W., and Jiang Wang (Summer 2000). Review of Financial Studies, 13(2): 257–300.  

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

"Optimal Control of Execution Costs for Portfolios." Bertsimas, Dimitris, Andrew W. Lo, and Paul Hummel (November 1999). Computing in Science & Engineering, 1(6): 40–53.  

"Frontiers of Finance: Evolution and Efficient Markets." Farmer, J. Doyne, and Andrew W. Lo (August 1999). Proceedings of the National Academcy of Science, USA, 96: 9991-9992

"The Three P’s of Total Risk Management." Lo, Andrew W. (January/February 1999). Financial Analysts Journal, 55(1): 13–26.  

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

"Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices." Aït-Sahalia, Yacine, and Andrew W. Lo (April 1998). Journal of Finance, 52(2): 499–548.  

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

"A Non-Random Walk Down Wall Street: Recent Advances in Financial Technology." Lo, Andrew W. (September 1997). Research Dialogues 52, TIAA-CREF. 

Market Efficiency: Stock Market Behaviour In Theory and Practice, Volumes I and II. Lo, Andrew W. (ed.). Edward Elgar Publishing Company, June 1997.  

"Maximizing Predictability in the Stock and Bond Markets." Lo, Andrew W., and A. Craig MacKinlay (January 1997). Macroeconomic Dynamics, 1(1): 102–134.  

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

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

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

"Implementing Option Pricing Models When Asset Returns Are Predictable." Lo, Andrew W., and Jiang Wang (March 1995). Journal of Finance, 50(1): 87–129.  

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

The Industrial Organization and Regulation of the Securities Industry (National Bureau of Economic Research Conference Report). Lo, Andrew W. (ed.). Chicago, IL: University of Chicago Press, 1995.

"A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks." Hutchinson, James M., Andrew W. Lo, and Tomaso Poggio (July 1994). Journal of Finance, 49(3): 851–889.  

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

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

"An Ordered Probit Analysis of Transaction Stock Prices." Hausman, Jerry, Andrew W. Lo, and A. Craig MacKinlay (1992). Journal of Financial Economics, 31(2): 319–379.   (1992)

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

"Nontrading Effect." Lo, Andrew W., and A. Craig MacKinlay. In Newman, Peter, Murray Milgate, and John Eatwell (eds.), New Palgrave Dictionary of Money and Finance. London: Stockton Press, 1992.  

"Long-Term Memory in Stock Market Prices." Lo, Andrew W. (September 1991). Econometrica, 59(5): 1279–1313.  

"An Econometric Analysis of Nonsynchronous Trading." Lo, Andrew W., and A. Craig MacKinlay (July/August 1990). Journal of Econometrics, 45(1-2): 181–212.  

"Data Snooping Biases in Tests of Financial Asset Pricing Models." Lo, Andrew W., and A. Craig MacKinlay (1990). Review of Financial Studies, 3(3): 431–468.   (1990)

"When Are Contrarian Profits Due To Stock Market Overreaction?" Lo, Andrew W., and A. Craig MacKinlay (1990). Review of Financial Studies, 3(2): 175–206.   (1990)

"The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation." Lo, Andrew W., and A. Craig MacKinlay (February 1989). Journal of Econometrics, 40(2): 203–238.  

"Games of Survival in the Newspaper Industry." Bucklin, Randolph, Richard Caves, and Andrew W. Lo (1989). Applied Economics 21(5), 631–650.   (1989)

"Maximum Likelihood Estimation of Generalized Itˆo Processes with Discretely-Sampled Data." Lo, Andrew W. (August 1988). Econometric Theory, 4(2): 231–247.  

"Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test." Lo, Andrew W., and A. Craig MacKinlay (Spring 1988). Review of Financial Studies, 1(1): 41–66.  

"Semiparametric Upper Bounds for Option Prices and Expected Payoffs." Lo, Andrew W. (December 1987). Journal of Financial Economics, 19(2): 373–388. 

"Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology." Lo, Andrew W. (September 1986). Journal of Financial Economics, 17(1): 143–173.  

"Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies." Lo, Andrew W. (March 1986). Journal of Econometrics, 31(2): 151–178. ​ 

"A Large-Sample Chow Test for the Single Linear Simultaneous Equation." Lo, Andrew W., and Whitney Newey (1986). Economics Letters, 18(4): 351–353. ​

(1986)

"Do Stock Prices Follow Random Walks?" Lo, Andrew W., and A. Craig MacKinlay. Financial Times.  

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