"Trading Volume."

Lo, Andrew W. and Jiang Wang. In Advances in Economic Theory: Eighth World Congress Volume 2, 206-277. Cambridge, UK: Cambridge University Press, 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.

"The Statistics of Sharpe Ratios."

Lo, Andrew W. Financial Analysts Journal Vol. 58, No. 4 (2002): 36–52.

"Bubble, Rubble, Finance In Trouble?"

Lo, Andrew W. Journal of Psychology and Financial Markets Vol. 3, No. 2 (2002): 76–86.

"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.

"The Psychophysiology of Real-Time Financial Risk Processing."

Lo, Andrew W. and Dmitry Repin. Journal of Cognitive Neuroscience Vol. 14, No. 3 (2002): 323–339.