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Andrew W Lo
Andrew W Lo
MIT
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Cited by
Cited by
Year
The econometrics of financial markets
JY Campbell, AW Lo, AC MacKinlay, RF Whitelaw
Macroeconomic Dynamics 2 (4), 559-562, 1998
139801998
Stock market prices do not follow random walks: Evidence from a simple specification test
AW Lo, AC MacKinlay
The review of financial studies 1 (1), 41-66, 1988
62981988
Long-term memory in stock market prices
AW Lo
Econometrica: Journal of the Econometric Society, 1279-1313, 1991
31821991
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
M Billio, M Getmansky, AW Lo, L Pelizzon
Journal of financial economics 104 (3), 535-559, 2012
30412012
When are contrarian profits due to stock market overreaction?
AW Lo, AC MacKinlay
The review of financial studies 3 (2), 175-205, 1990
27511990
The adaptive markets hypothesis: Market efficiency from an evolutionary perspective
AW Lo
Journal of Portfolio Management, Forthcoming, 2004
26472004
Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation
AW Lo, H Mamaysky, J Wang
The journal of finance 55 (4), 1705-1765, 2000
19222000
Data-snooping biases in tests of financial asset pricing models
AW Lo, AC MacKinlay
The Review of Financial Studies 3 (3), 431-467, 1990
18661990
A non-random walk down Wall Street
AW Lo, AC MacKinlay
Princeton University Press, 2011
17432011
Estimation of clinical trial success rates and related parameters
CH Wong, KW Siah, AW Lo
Biostatistics 20 (2), 273-286, 2019
16762019
Nonparametric estimation of state‐price densities implicit in financial asset prices
Y Aït‐Sahalia, AW Lo
The journal of finance 53 (2), 499-547, 1998
15421998
Optimal control of execution costs
D Bertsimas, AW Lo
Journal of financial markets 1 (1), 1-50, 1998
14071998
An econometric model of serial correlation and illiquidity in hedge fund returns
M Getmansky, AW Lo, I Makarov
Journal of financial economics 74 (3), 529-609, 2004
12752004
A survey of systemic risk analytics
D Bisias, M Flood, AW Lo, S Valavanis
Annu. Rev. Financ. Econ. 4 (1), 255-296, 2012
12202012
An econometric analysis of nonsynchronous trading
AW Lo, AC MacKinlay
Journal of Econometrics 45 (1-2), 181-211, 1990
12111990
A nonparametric approach to pricing and hedging derivative securities via learning networks
JM Hutchinson, AW Lo, T Poggio
The journal of Finance 49 (3), 851-889, 1994
11591994
Trading volume: definitions, data analysis, and implications of portfolio theory
AW Lo, J Wang
The Review of Financial Studies 13 (2), 257-300, 2000
11072000
Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis
AW Lo
Journal of investment consulting 7 (2), 21-44, 2005
11032005
The statistics of Sharpe ratios
AW Lo
Financial analysts journal 58 (4), 36-52, 2002
10862002
Consumer credit-risk models via machine-learning algorithms
AE Khandani, AJ Kim, AW Lo
Journal of Banking & Finance 34 (11), 2767-2787, 2010
10572010
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