NBER Working Papers by Andrew W. Lo

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Working Papers

July 2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
with Monica Billio, Mila Getmansky, Loriana Pelizzon: w16223
September 2009Systemic Risk and the Refinancing Ratchet Effect
with Amir E. Khandani, Robert C. Merton: w15362
December 2008Impossible Frontiers
with Thomas J. Brennan: w14525
November 2008What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
with Amir E. Khandani: w14465
April 2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
with Dmitry V. Repin, Brett N. Steenbarger: w11243
March 2005Systemic Risk and Hedge Funds
with Nicholas Chan, Mila Getmansky, Shane M. Haas: w11200
March 2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
with Mila Getmansky, Igor Makarov: w9571
October 2001The Psychophysiology of Real-Time Financial Risk Processing
with Dmitry V. Repin: w8508
Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
with Jiang Wang: w8565
May 2001Asset Prices and Trading Volume Under Fixed Transactions Costs
with Harry Mamaysky, Jiang Wang: w8311
March 2000Nonparametric Risk Management and Implied Risk Aversion
with Yacine Ait-Sahalia: w6130
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
with Harry Mamaysky, Jiang Wang: w7613
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
with Jiang W. Wang: w7625
November 1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
with Dimitris Bertsimas, Leonid Kogan: w6250
Econometric Models of Limit-Order Executions
with A. Craig MacKinlay, June Zhang: w6257
November 1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
with Yacine Ait-Sahalia: w5351
February 1995Maximizing Predictability in the Stock and Bond Markets
with A. Craig MacKinlay: w5027
April 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
with James M. Hutchinson, Tomaso Poggio: w4718
Implementing Option Pricing Models When Asset Returns Are Predictable
with Jiang Wang: w4720
October 1991An Ordered Probit Analysis of Transaction Stock Prices
with Jerry A. Hausman, A. Craig MacKinlay: w3888
February 1991An Econometric Analysis of Nonsynchronous Trading
with A. Craig MacKinlay: w2960
June 1989Data-Snooping Biases in Tests of Financial Asset Pricing Models
with A. Craig MacKinlay: w3001
May 1989When are Contrarian Profits Due to Stock Market Overreaction?
with A. Craig MacKinlay: w2977
Long-term Memory in Stock Market Prices
April 1989The Sources and Nature of Long-term Memory in the Business Cycle
with Joseph G. Haubrich: w2951
June 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
with A. Craig MacKinlay: t0066
February 1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
with A. Craig MacKinlay: w2168
August 1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info


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