Charles E. and Susan T. Harris Professor
Professor of Finance
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.
"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.
"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)
"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)
"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)
"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)
"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)
"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.
"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.
"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)
"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)
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)
"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)
"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)
"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)
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.
"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.
"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
Hedge Funds: An Analytic Perspective. Lo, Andrew W. Princeton, NJ: Princeton University Press, 2008.
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.
"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)
"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)
"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)
"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)
"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)
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)
"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: 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.
"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)
"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.
"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.
"Empirical Issues in the Pricing of Options and Other Derivative Securities." Lo, Andrew W. Cuadernos Economicos de ICE Vol. 50 (1992): 129–155. (1992)
"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)
"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)View complete list of publications (PDF) >>
Analyst forecasts; Angel investing; Applied economics; Applied mathematics; Applied probability; Arbitrage pricing theory; Artificial intelligence; Asset management; Asset pricing; Banking; Banking management; Banking operations and policy; Banking regulation; Bankruptcy; Bayesian networks; Bayesian statistics; Bayesian statistics; Big data; Biopharmaceutical; Biotechnology; Bond markets; Bond negotiations; Bond pricing; Business intelligence; Business plans; Cancer; Capital budgeting; Capital controls; Capital market; CEO compensation; Clinical trials; Consumer behavior; Contagion; Corporate diversification; Corporate finance; Corporate governance; Corporate strategy and policy; Currency; Cyber security; Data acquisition; Data analysis; Data mining; Decision making; Deflation; Derivatives; Disaster recovery; Distance learning; Dividend policy; Dot-com; Drug models; eCommerce; Econometrics; Economic crisis; Economics; Education; Emerging businesses; Entrepreneurial finance; Entrepreneurial management; Equities; Euro; Exchange rates; Executive compensation; Federal Reserve; Financial econometrics; Financial engineering; Financial information technology; Financial information technology; Financial markets; Financial reporting; Financial services; Financial statement analysis; Foreign investment; Futures; Government; Healthcare; Healthcare industry; Hedge funds; Hurdle rates; Inflation; Intellectual property; Intellectual property law; Interest rates; International finance; Internet privacy issues; Intertemporal choice; Investment analysis; Investment banking; Investment risk; Investment strategies; Knowledge sharing; Macroeconomics; Mathematical programming; MBA; Medical decision making; Medicine; Mergers and acquisitions; Mobile banking; MOOCs; Mortgage funds; Mutual funds; Neural networks; New venture development; New ventures; Non-linear dynamics; Online banking; Online education; Online feedback mechanisms; Operations research; Optimal control; Optimization; Options; Patents; Pensions; Personal finance; Pharmaceuticals; Portfolio choice; Portfolio design and management; Private equity; Research and development; Retirement planning; Revenue management; Risk capital; Risk management; Sampling; Securities and Exchange Commission (SEC); Security prices; Simulation; Software agents; Startups / Start-ups; Statistics; Stochastic modeling; Stock exchange; Stock exchange consolidation; Stock market; Stock options; Stock trading; Subprime lending; Trading decisions; Treasuries; Venture capital; Wall Street; Web-based marketing