"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.

"Implementing Option Pricing Models When Asset Returns Are Predictable."

Lo, Andrew W. and Jiang Wang. Journal of Finance Vol. 50, No. 1 (1995): 87–129.

"Data-Snooping Biases in Financial Analysis."

Lo, Andrew W. In Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 59-66. 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, 25-36. 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.

"Nontrading Effect."

Lo, Andrew W. and A. Craig MacKinlay. In The New Palgrave Dictionary of Money and Finance, London, UK: Palgrave Macmillan, 1992.