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Information about:
Andrew W. Lo

Personal Details | Affiliation | Works
This is information that was supplied by Andrew Lo in registering through RePEc. If you are Andrew W. Lo , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Andrew
Middle Name: W.
Last Name: Lo
Suffix:

RePEc Short-ID: plo171

Email:
Homepage: http://web.mit.edu/alo/www/
Postal Address:
Phone: 617 253-0920

Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works, Weighted by Simple Impact Factor
  4. Number of Distinct Works, Weighted by Recursive Impact Factor
  5. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  7. Number of Citations
  8. Number of Citations, Discounted by Citation Age
  9. Number of Citations, Weighted by Simple Impact Factor
  10. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Recursive Impact Factor
  12. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors
  14. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  19. h, where author has written h papers that have each been cited at least h times.
  20. Number of Registered Citing Authors
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  22. Number of Journal Pages
  23. Number of Journal Pages, Weighted by Simple Impact Factor
  24. Number of Journal Pages, Weighted by Recursive Impact Factor
  25. Number of Journal Pages, Weighted by Number of Authors
  26. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  27. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  28. Number of Abstract Views in RePEc Services over the past 12 months
  29. Number of Downloads through RePEc Services over the past 12 months
  30. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  31. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  32. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005. "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," NBER Working Papers 11243, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  3. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  4. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," NBER Working Papers 8311, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  5. Andrew W. Lo & Dmitry V. Repin, 2001. "The Psychophysiology of Real-Time Financial Risk Processing," NBER Working Papers 8508, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  6. Andrew W. Lo & Jiang Wang, 2001. "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers 8565, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  7. Andrew W. Lo & Jiang W. Wang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers 7625, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  8. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," NBER Working Papers 7613, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  9. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  10. Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio, 1999. "Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders," Computing in Economics and Finance 1999 653, Society for Computational Economics. [Downloadable!]

  11. J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.

  12. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  13. Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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  14. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]

  15. James M. Hutchinson & Andrew W. Lo & Tomaso Poggio, 1995. "A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks," NBER Working Papers 4718, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  16. Andrew W. Lo & A. Craig MacKinlay, 1995. "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers 5027, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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  17. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Published as:

  18. John Y. Campbell & Andrew W. Lo & A. Craig MacKinlay, 1994. "Models of the term structure of interest rates," Working Papers 94-10, Federal Reserve Bank of Philadelphia.

  19. Andrew W. Lo & A. Craig MacKinlay, 1991. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  20. Andrew W. Lo & A. Craig MacKinlay, 1991. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," NBER Working Papers 3001, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  21. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-, 1990. "An ordered probit analysis of transaction stock prices," Working papers 3234-90., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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    Published as:

  22. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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  23. Andrew W. Lo & A. Craig MacKinlay, 1989. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  24. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989. "When are contrarian profits due to stock market overreaction?," Working papers 3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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  25. Andrew W. Lo & A. Craig MacKinlay, 1988. "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," NBER Technical Working Papers 0066, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  26. Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  27. Andrew W. Lo, . "Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85)," Rodney L. White Center for Financial Research Working Papers 19-84, Wharton School Rodney L. White Center for Financial Research.

  28. Andrew W. Lo, . "Logit Versus Discriminant Analysis: A Specification Test," Rodney L. White Center for Financial Research Working Papers 11-85, Wharton School Rodney L. White Center for Financial Research.

  29. Andrew W. Lo & Craig A. MacKinlay, . "Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002)," Rodney L. White Center for Financial Research Working Papers 21-89, Wharton School Rodney L. White Center for Financial Research.

  30. Andrew W. Lo & Craig A. MacKinlay, . "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87)," Rodney L. White Center for Financial Research Working Papers 05-87, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

  31. Jerry A. Hausman & Andrew W. Lo & Craig A. MacKinlay, . "An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029)," Rodney L. White Center for Financial Research Working Papers 26-91, Wharton School Rodney L. White Center for Financial Research.

  32. Andrew W. Lo & Craig A. MacKinlay, . "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87)," Rodney L. White Center for Financial Research Working Papers 29-87, Wharton School Rodney L. White Center for Financial Research.

  33. Andrew W. Lo, . "Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84)," Rodney L. White Center for Financial Research Working Papers 10-85, Wharton School Rodney L. White Center for Financial Research.

  34. Randolph Bucklin & Richard Caves & Andrew Lo, . "Games of Survival in the Newspaper Industry," Rodney L. White Center for Financial Research Working Papers 22-85, Wharton School Rodney L. White Center for Financial Research.

  35. Yacine Aït-Sahalia & Andrew W. Lo, . "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," CRSP working papers 332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    Other versions:
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  36. Andrew Lo & Craig A. Mackinlay, . "When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001)," Rodney L. White Center for Financial Research Working Papers 4-89, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

  37. Andrew W. Lo, . "A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage," Rodney L. White Center for Financial Research Working Papers 19-85, Wharton School Rodney L. White Center for Financial Research.

  38. Andrew W. Lo & Whitney K. Newey, . "A Residuals-Based Wald Test for the Linear Simultaneous Equation," Rodney L. White Center for Financial Research Working Papers 1-85, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

  39. Andrew W. Lo & Craig A. MacKinlay, . "A Simple Specification Test of the Random Walk Hypothesis," Rodney L. White Center for Financial Research Working Papers 13-87, Wharton School Rodney L. White Center for Financial Research.

  40. Joseph G. Haubrich & Andrew W. Lo, . "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 5-89, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

Articles

  1. Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December. [Downloadable!] (restricted)
    Other versions:

  2. Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005. "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," American Economic Review, American Economic Association, vol. 95(2), pages 352-359, May. [Downloadable!] (restricted)
    Other versions:

  3. Lo, Andrew W. & Mackinlay, A. Craig, 2005. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 102-134, March. [Downloadable!]
    Other versions:

  4. Andrew W. Lo, Harry Mamaysky, and Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
    Other versions:

  5. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December. [Downloadable!] (restricted)
    Other versions:

  6. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July. [Downloadable!] (restricted)
    Other versions:

  7. Joseph G. Haubrich & Andrew W. Lo, 2001. "The sources and nature of long-term memory in aggregate output," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 15-30. [Downloadable!]

  8. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(2), pages 257-300.
    Other versions:

  9. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1770, 08. [Downloadable!] (restricted)
    Other versions:

  10. Bertsimas, Dimitris & Kogan, Leonid & Lo, Andrew W., 2000. "When is time continuous?," Journal of Financial Economics, Elsevier, vol. 55(2), pages 173-204, February. [Downloadable!] (restricted)

  11. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51. [Downloadable!] (restricted)
    Other versions:

  12. Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, vol. 53(2), pages 499-547, 04. [Downloadable!] (restricted)
    Other versions:

  13. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April. [Downloadable!] (restricted)

  14. Lo, Andrew W & Wang, Jiang, 1995. " Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, vol. 50(1), pages 87-129, March. [Downloadable!] (restricted)
    Other versions:

  15. Hutchinson, James M & Lo, Andrew W & Poggio, Tomaso, 1994. " A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks," Journal of Finance, American Finance Association, vol. 49(3), pages 851-89, July. [Downloadable!] (restricted)
    Other versions:

  16. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June. [Downloadable!] (restricted)
    Other versions:

  17. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September. [Downloadable!] (restricted)
    Other versions:

  18. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(3), pages 431-67. [Downloadable!] (restricted)
    Other versions:

  19. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 175-205. [Downloadable!] (restricted)
    Other versions:

  20. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211. [Downloadable!] (restricted)
    Other versions:

  21. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February. [Downloadable!] (restricted)
    Other versions:

  22. Bucklin, Randolph E & Caves, Richard E & Lo, Andrew W, 1989. "Games of Survival in the U.S. Newspaper Industry," Applied Economics, Taylor and Francis Journals, vol. 21(5), pages 631-49, May.

  23. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
    Other versions:

  24. Lo, Andrew W., 1987. "Semi-parametric upper bounds for option prices and expected payoffs," Journal of Financial Economics, Elsevier, vol. 19(2), pages 373-387, December. [Downloadable!] (restricted)

  25. Lo, Andrew W., 1986. "Statistical tests of contingent-claims asset-pricing models : A new methodology," Journal of Financial Economics, Elsevier, vol. 17(1), pages 143-173, September. [Downloadable!] (restricted)

  26. Lo, Andrew W., 1986. "Logit versus discriminant analysis : A specification test and application to corporate bankruptcies," Journal of Econometrics, Elsevier, vol. 31(2), pages 151-178, March. [Downloadable!] (restricted)

  27. Lo, Andrew W. & Newey, Whitney K., 1985. "A large-sample chow test for the linear simultaneous equation," Economics Letters, Elsevier, vol. 18(4), pages 351-353. [Downloadable!] (restricted)

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (2) 2005-04-03 2005-04-09
  2. NEP-CMP: Computational Economics (1) 1999-10-04
  3. NEP-ECM: Econometrics (2) 2000-05-16 2000-08-02
  4. NEP-ETS: Econometric Time Series (2) 2000-08-02 2003-03-19
  5. NEP-EVO: Evolutionary Economics (1) 1999-07-12
  6. NEP-EXP: Experimental Economics (1) 1999-07-12
  7. NEP-FIN: Finance (8) 1999-07-12 1999-09-21 2000-05-16 2000-05-16 2000-08-02 2001-06-08 2001-10-29 2005-04-03 Author is listed
  8. NEP-FMK: Financial Markets (8) 2000-05-16 2000-05-16 2000-08-02 2001-06-08 2001-10-01 2001-10-29 2003-03-19 2005-04-03 Author is listed
  9. NEP-HIS: Business, Economic & Financial History (1) 2000-05-16
  10. NEP-IFN: International Finance (1) 1999-09-21
  11. NEP-MIC: Microeconomics (1) 1999-09-21
  12. NEP-PKE: Post Keynesian Economics (1) 1999-09-21
  13. NEP-RMG: Risk Management (3) 2003-03-19 2005-04-03 2005-04-09 Author is listed
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This page was last updated on 2008-9-2.

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