"Finance: A Selective Survey."

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

Computational Finance 1999.

Abu-Mostafa, Yaser S., Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend (Eds.). 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.

"When Is Time Continuous?"

Bertsimas, Dimitris, Leonid Kogan and Andrew W. Lo. Journal of Financial Economics Vol. 55, No. 2 (2000): 173–204.

"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.

"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.