"A Non-Random Walk Down Wall Street."

Lo, Andrew W. In The Legacy of Norbert Wiener: A Centennial Symposium, Providence, RI: American Mathematical Society, 1997.

Market Efficiency: Stock Market Behaviour In Theory and Practice, Volumes I and II.

Lo, Andrew W. (ed.). Cheltenham, UK: Edward Elgar Publishing Company, 1997.

"Fat Tails, Long Memory, and the Stock Market Since the 1960’s."

Lo, Andrew W. Economic Notes Vol. 26, (1997): 219-252.

"Maximizing Predictability in the Stock and Bond Markets."

Lo, Andrew W. and A. Craig MacKinlay. Macroeconomic Dynamics Vol. 1, No. 1 (1997): 102–134.

The Econometrics of Financial Markets.

Campbell, John Y., Andrew W. Lo and A. Craig MacKinlay. Princeton, NJ: Princeton University Press, 1996.

The Industrial Organization and Regulation of the Securities Industry.

Lo, Andrew W. (ed.). Chicago, IL: University of Chicago Press, 1995.