Andrew W. Lo : Citation Profile

Are you Andrew W. Lo?

Massachusetts Institute of Technology (MIT)

30

H index

43

i10 index

5847

Citations

RESEARCH PRODUCTION:

49

Articles

80

Papers

2

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   33 years (1984 - 2017). See details.
   Cites by year: 177
   Journals where Andrew W. Lo has often published
   Relations with other researchers
   Recent citing documents: 765.    Total self citations: 44 (0.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo171
   Updated: 2019-03-23    RAS profile: 2015-10-20    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Cao, Charles (2)

liang, bing (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew W. Lo.

Is cited by:

Gil-Alana, Luis (49)

Kim, Jae (35)

Darné, Olivier (35)

Bollerslev, Tim (33)

Wong, Wing-Keung (32)

Härdle, Wolfgang (30)

Caporale, Guglielmo Maria (28)

Tabak, Benjamin (26)

Ghysels, Eric (24)

Chiarella, Carl (21)

Phillips, Peter (21)

Cites to:

merton, robert (33)

Duffie, Darrell (22)

Campbell, John (19)

Grossman, Sanford (18)

Brennan, Michael (18)

Brown, Stephen (18)

Jarrow, Robert (16)

liang, bing (15)

Longstaff, Francis (15)

Reinhart, Carmen (15)

Goetzmann, William (14)

Main data

Where Andrew W. Lo has published?

Journals with more than one article published# docs
Journal of Financial Economics9
Journal of Finance5
Review of Financial Studies4
Journal of Econometrics4
American Economic Review3
Annual Review of Financial Economics3
Quantitative Finance3
Journal of Financial Markets3
Macroeconomic Dynamics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Andrew W. Lo (2018 and 2017)

YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

Full description at Econpapers || Download paper

2018How Much Does it Cost to Induce R&D in Animal Health?. (2018). Sneeringer, Stacy ; Clancy, Matthew S. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273865.

Full description at Econpapers || Download paper

2018Concentration and Liquidity Costs in Emerging Commodity Exchanges. (2018). Trujillo-Barrera, Andres ; Costa, Geraldo. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:276504.

Full description at Econpapers || Download paper

2017Wave after Wave: Contagion Risk from Commodity Markets. (2017). Algieri, Bernardina ; Leccadito, Arturo. In: Discussion Papers. RePEc:ags:ubzefd:257801.

Full description at Econpapers || Download paper

2017Retail credit scoring using fine-grained payment data. (2017). Tobback, Ellen ; Martens, David. In: Working Papers. RePEc:ant:wpaper:2017011.

Full description at Econpapers || Download paper

2018Stock Market Efficiency and Price Limits: Evidence from Korea’s Recent Expansion of Price Limits. (2018). Seddighi, H R ; Yoon, Il-Hyun. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2018:p:191-200.

Full description at Econpapers || Download paper

2017A market impact game under transient price impact. (2017). Schied, Alexander ; Zhang, Tao. In: Papers. RePEc:arx:papers:1305.4013.

Full description at Econpapers || Download paper

2017Hedging in L\evy Models and the Time Step Equivalent of Jumps. (2017). Cerny, Ales ; Denkl, Stephan ; Kallsen, Jan. In: Papers. RePEc:arx:papers:1309.7833.

Full description at Econpapers || Download paper

2017Rebalancing with Linear and Quadratic Costs. (2017). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko. In: Papers. RePEc:arx:papers:1402.5306.

Full description at Econpapers || Download paper

2018Is It Possible to OD on Alpha?. (2018). Liew, Jim Kyung-Soo ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1404.0746.

Full description at Econpapers || Download paper

2017VWAP Execution as an Optimal Strategy. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1408.6118.

Full description at Econpapers || Download paper

2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

Full description at Econpapers || Download paper

2017Optimal Asset Liquidation with Multiplicative Transient Price Impact. (2017). Becherer, Dirk ; Bilarev, Todor ; Frentrup, Peter . In: Papers. RePEc:arx:papers:1501.01892.

Full description at Econpapers || Download paper

2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Marinelli, Carlo . In: Papers. RePEc:arx:papers:1506.06568.

Full description at Econpapers || Download paper

2018Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2018). Pirino, Davide ; di Gangi, Domenico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1509.00607.

Full description at Econpapers || Download paper

2017Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

Full description at Econpapers || Download paper

2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

Full description at Econpapers || Download paper

2018David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1603.00984.

Full description at Econpapers || Download paper

2018Extracting Predictive Information from Heterogeneous Data Streams using Gaussian Processes. (2018). Ghoshal, Sid ; Roberts, Stephen. In: Papers. RePEc:arx:papers:1603.06202.

Full description at Econpapers || Download paper

2017Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets. (2017). Hendricks, Dieter. In: Papers. RePEc:arx:papers:1603.06805.

Full description at Econpapers || Download paper

2017Evidence of Self-Organization in Time Series of Capital Markets. (2017). , Leopoldo ; Garc, Alba Lucero ; Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo . In: Papers. RePEc:arx:papers:1604.03996.

Full description at Econpapers || Download paper

2019Optimal Liquidation under Partial Information with Price Impact. (2019). Frey, Rudiger ; Eksi, Zehra ; Colaneri, Katia ; Szolgyenyi, Michaela. In: Papers. RePEc:arx:papers:1606.05079.

Full description at Econpapers || Download paper

2018Deep Learning for Mortgage Risk. (2018). Sadhwani, Apaar ; Giesecke, Kay ; Sirignano, Justin. In: Papers. RePEc:arx:papers:1607.02470.

Full description at Econpapers || Download paper

2017Generalized Optimal Liquidation Problems Across Multiple Trading Venues. (2017). Siu, Tak Kuen ; Yang, Qing-Qing ; Gu, Jia-Wen ; Ching, Wai-Ki. In: Papers. RePEc:arx:papers:1607.04553.

Full description at Econpapers || Download paper

2018Bayesian nonparametric sparse VAR models. (2018). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Papers. RePEc:arx:papers:1608.02740.

Full description at Econpapers || Download paper

2018Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

Full description at Econpapers || Download paper

2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:1611.03435.

Full description at Econpapers || Download paper

2018Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki . In: Papers. RePEc:arx:papers:1612.01232.

Full description at Econpapers || Download paper

2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302.

Full description at Econpapers || Download paper

2017An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1701.08972.

Full description at Econpapers || Download paper

2017Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency. (2017). Alam, Md. Mahmudul ; Gazi, MD. In: Papers. RePEc:arx:papers:1702.01354.

Full description at Econpapers || Download paper

2018Existence of a Radner equilibrium in a model with transaction costs. (2018). Weston, Kim . In: Papers. RePEc:arx:papers:1702.01706.

Full description at Econpapers || Download paper

2017A hybrid approach for risk assessment of loan guarantee network. (2017). Niu, Zhibin ; Zha, Hongyuan ; Zhang, Liqing ; Yan, Junchi ; Cheng, Dawei . In: Papers. RePEc:arx:papers:1702.04642.

Full description at Econpapers || Download paper

2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944.

Full description at Econpapers || Download paper

2019A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2018). Donnat, Philippe ; Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier . In: Papers. RePEc:arx:papers:1703.00485.

Full description at Econpapers || Download paper

2018Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1704.00847.

Full description at Econpapers || Download paper

2017Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

Full description at Econpapers || Download paper

2019Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Ekren, Ibrahim ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1705.00672.

Full description at Econpapers || Download paper

2017A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector. (2017). Sen, Jaydip ; Chaudhuri, Tamal Datta. In: Papers. RePEc:arx:papers:1705.01144.

Full description at Econpapers || Download paper

2018Mini-Flash Crashes, Model Risk, and Optimal Execution. (2018). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1705.09827.

Full description at Econpapers || Download paper

2017An Optimal Execution Problem with S-shaped Market Impact Functions. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1706.09224.

Full description at Econpapers || Download paper

2017A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem. (2017). Jiang, Zhengyao ; Liang, Jinjun ; Xu, Dixing . In: Papers. RePEc:arx:papers:1706.10059.

Full description at Econpapers || Download paper

2018Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2018). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296.

Full description at Econpapers || Download paper

2017Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Gonzalez, Federico ; Schervish, Mark . In: Papers. RePEc:arx:papers:1707.01167.

Full description at Econpapers || Download paper

2017Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach. (2017). Tarnopolski, Mariusz . In: Papers. RePEc:arx:papers:1707.03746.

Full description at Econpapers || Download paper

2017Forecasting the U.S. Real House Price Index. (2017). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis. In: Papers. RePEc:arx:papers:1707.04868.

Full description at Econpapers || Download paper

2018Modeling Technical Analysis. (2018). Maeda, Jun ; Jacka, Saul D. In: Papers. RePEc:arx:papers:1707.05253.

Full description at Econpapers || Download paper

2018Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1708.03992.

Full description at Econpapers || Download paper

2017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532.

Full description at Econpapers || Download paper

2017Random walks and market efficiency in Chinese and Indian equity markets. (2017). Malafeyev, Oleg ; Kambekar, Kaustubh S ; Awasthi, Achal . In: Papers. RePEc:arx:papers:1709.04059.

Full description at Econpapers || Download paper

2018A posteriori multi-stage optimal trading under transaction costs and a diversification constraint. (2018). Plessen, Mogens Graf ; Bemporad, Alberto . In: Papers. RePEc:arx:papers:1709.07527.

Full description at Econpapers || Download paper

2017Computational Analysis of the structural properties of Economic and Financial Networks. (2017). Emmert-Streib, Frank ; Dehmer, Matthias ; Jodlbauer, Herbert ; Yli-Harja, Olli ; Tripathi, Shailesh ; Kanniainen, Juho ; Baltakys, Kestutis ; Musa, Aliyu. In: Papers. RePEc:arx:papers:1710.04455.

Full description at Econpapers || Download paper

2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329.

Full description at Econpapers || Download paper

2017No arbitrage and lead-lag relationships. (2017). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1712.09854.

Full description at Econpapers || Download paper

2018Ranking Causal Influence of Financial Markets via Directed Information Graphs. (2018). Diamandis, Theo ; Goldsmith, Andrea ; Murin, Yonathan. In: Papers. RePEc:arx:papers:1801.06896.

Full description at Econpapers || Download paper

2018Identifying systemically important companies in the entire liability network of a small open economy. (2018). Poledna, Sebastian ; Thurner, Stefan ; Hinteregger, Abraham. In: Papers. RePEc:arx:papers:1801.10487.

Full description at Econpapers || Download paper

2018Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Poledna, Sebastian ; Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In. In: Papers. RePEc:arx:papers:1802.00311.

Full description at Econpapers || Download paper

2018Pricing Options with Exponential Levy Neural Network. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1802.06520.

Full description at Econpapers || Download paper

2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

Full description at Econpapers || Download paper

2018Stock Price Prediction using Principle Components. (2018). Ghorbani, Mahsa. In: Papers. RePEc:arx:papers:1803.05075.

Full description at Econpapers || Download paper

2018Optimal liquidity-based trading tactics. (2018). Lehalle, Charles-Albert ; Rosenbaum, Mathieu ; Mounjid, Othmane. In: Papers. RePEc:arx:papers:1803.05690.

Full description at Econpapers || Download paper

2018Optimal liquidation under stochastic price impact. (2018). Barger, Weston ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1804.04170.

Full description at Econpapers || Download paper

2018Deep Learning for Predicting Asset Returns. (2018). Feng, Guanhao ; Polson, Nicholas G ; He, Jingyu. In: Papers. RePEc:arx:papers:1804.09314.

Full description at Econpapers || Download paper

2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Paulin, James ; Wooldridge, Michael ; Calinescu, Anisoara . In: Papers. RePEc:arx:papers:1805.08454.

Full description at Econpapers || Download paper

2018Financial asset bubbles in banking networks. (2018). Biagini, Francesca ; Meyer-Brandis, Thilo ; Mazzon, Andrea. In: Papers. RePEc:arx:papers:1806.01728.

Full description at Econpapers || Download paper

2018Thresholded ConvNet Ensembles: Neural Networks for Technical Forecasting. (2018). Ghoshal, Sid ; Roberts, Stephen J. In: Papers. RePEc:arx:papers:1807.03192.

Full description at Econpapers || Download paper

2018Nash equilibrium for risk-averse investors in a market impact game with transient price impact. (2018). Luo, Xiangge ; Schied, Alexander. In: Papers. RePEc:arx:papers:1807.03813.

Full description at Econpapers || Download paper

2018Liquidity in Competitive Dealer Markets. (2018). Bank, Peter ; Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1807.08278.

Full description at Econpapers || Download paper

2018Optimal Trading with General Signals and Liquidation in Target Zone Models. (2018). Belak, Christoph ; Ou, Kevin ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1808.00515.

Full description at Econpapers || Download paper

2018Switching Cost Models as Hypothesis Tests. (2018). Zizzo, Daniel ; Menzies, Gordon ; Henckel, Timo ; Muhle-Karbe, Johannes ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:1808.09686.

Full description at Econpapers || Download paper

2018Deeply Learning Derivatives. (2018). Ferguson, Ryan ; Green, Andrew. In: Papers. RePEc:arx:papers:1809.02233.

Full description at Econpapers || Download paper

2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness. (2018). Milunovich, George. In: Papers. RePEc:arx:papers:1809.03072.

Full description at Econpapers || Download paper

2018Systemic Risk and the Dependence Structures. (2018). Chang, Yu-Sin. In: Papers. RePEc:arx:papers:1809.03425.

Full description at Econpapers || Download paper

2019Optimal Execution Strategy Under Price and Volume Uncertainty. (2019). Vaes, Julien ; Hauser, Raphael . In: Papers. RePEc:arx:papers:1810.11454.

Full description at Econpapers || Download paper

2018Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022.

Full description at Econpapers || Download paper

2018Systemic risk assessment through high order clustering coefficient. (2018). Cerqueti, Roy ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.13250.

Full description at Econpapers || Download paper

2018Optimal trading using signals. (2018). de March, Hadrien ; Lehalle, Charles-Albert. In: Papers. RePEc:arx:papers:1811.03718.

Full description at Econpapers || Download paper

2018Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution. (2018). Min, Seungki ; Moallemi, Ciamac C ; Maglaras, Costis . In: Papers. RePEc:arx:papers:1811.05524.

Full description at Econpapers || Download paper

2019Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case. (2019). Bayraktar, Erhan ; Ekren, Ibrahim ; Caye, Thomas. In: Papers. RePEc:arx:papers:1811.06650.

Full description at Econpapers || Download paper

2018Static vs Adaptive Strategies for Optimal Execution with Signals. (2018). Bellani, Claudio ; Neuman, Eyal ; Done, Alex ; Brigo, Damiano. In: Papers. RePEc:arx:papers:1811.11265.

Full description at Econpapers || Download paper

2018Lagged correlation-based deep learning for directional trend change prediction in financial time series. (2018). Moews, Ben ; Ibikunle, Gbenga ; Herrmann, Michael J. In: Papers. RePEc:arx:papers:1811.11287.

Full description at Econpapers || Download paper

2018Systemic risk governance in a dynamical model of a banking system. (2018). Fatone, Lorella ; Mariani, Francesca. In: Papers. RePEc:arx:papers:1812.06973.

Full description at Econpapers || Download paper

2019Optimal execution with dynamic risk adjustment. (2019). Cheng, Xue ; Wang, Tai-Ho ; di Giacinto, Marina. In: Papers. RePEc:arx:papers:1901.00617.

Full description at Econpapers || Download paper

2018Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance. (2018). Michel, Lok Man ; Marcato, Gianluca. In: ERES. RePEc:arz:wpaper:eres2018_300.

Full description at Econpapers || Download paper

2017Market Efficiency of ASEAN Stock Markets. (2017). Shaik, Muneer ; Maheswaran, S. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:109-122.

Full description at Econpapers || Download paper

2017Momentum Decomposition: Evidence from Emerging Markets. (2017). Wei, Xianhua ; Guo, Hongbo . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:123-132.

Full description at Econpapers || Download paper

2017The Volatility Structure of Global Financial Markets: A Comparative Analysis. (2017). Maheswaran, S ; Viswanathan, Lakshmi . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:295-306.

Full description at Econpapers || Download paper

2017Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products. (2017). Mabrouk, Samir. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:63-80.

Full description at Econpapers || Download paper

2018An Empirical Evidence of Over Reaction Hypothesis on Karachi Stock Exchange (KSE). (2018). Chhapra, Imran ; Ahmed, Farhan ; Saad, Sanyah ; Kashif, Muhammad. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:449-465.

Full description at Econpapers || Download paper

2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1887.

Full description at Econpapers || Download paper

2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

Full description at Econpapers || Download paper

2017Systemic Financial Sector and Sovereign Risks. (2017). Nadal De Simone, Francisco ; Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

Full description at Econpapers || Download paper

2017What drives gross flows in equity and investment fund shares in Luxembourg?. (2017). di Filippo, Gabriele. In: BCL working papers. RePEc:bcl:bclwop:bclwp112.

Full description at Econpapers || Download paper

2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

Full description at Econpapers || Download paper

2018A Survey of Systemic Risk Indicators. (2018). Di Cesare, Antonio ; Picco, Anna Rogantini . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18.

Full description at Econpapers || Download paper

2017The interbank network across the global financial crisis: evidence from Italy. (2017). Pozzolo, Alberto ; Affinito, Massimiliano. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1118_17.

Full description at Econpapers || Download paper

2017Systemic risk and systemic importance measures during the crisis. (2017). Zaghini, Andrea ; Masciantonio, Sergio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1153_17.

Full description at Econpapers || Download paper

2017Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks.. (2017). Idier, J ; Piquard, T. In: Working papers. RePEc:bfr:banfra:621.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Andrew W. Lo has edited the books:

YearTitleTypeCited

Works by Andrew W. Lo:

YearTitleTypeCited
2012Privacy-Preserving Methods for Sharing Financial Risk Exposures In: American Economic Review.
[Full Text][Citation analysis]		article6
2011Privacy-Preserving Methods for Sharing Financial Risk Exposures.(2011) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2013Can Financial Engineering Cure Cancer? In: American Economic Review.
[Full Text][Citation analysis]		article4
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review.
[Full Text][Citation analysis]		article34
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2012Reading about the Financial Crisis: A Twenty-One-Book Review In: Journal of Economic Literature.
[Full Text][Citation analysis]		article44
2013Moores Law versus Murphys Law: Algorithmic Trading and Its Discontents In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article22
2009Preface to the Annual Review of Financial Economics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article1
2012A Survey of Systemic Risk Analytics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article184
2013Introduction to Volume 5 of the Annual Review of Financial Economics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article1
2009A Computational View of Market Efficiency In: Papers.
[Full Text][Citation analysis]		paper3
2011A computational view of market efficiency.(2011) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2010Is It Real, or Is It Randomized?: A Financial Turing Test In: Papers.
[Full Text][Citation analysis]		paper0
2010WARNING: Physics Envy May Be Hazardous To Your Wealth! In: Papers.
[Full Text][Citation analysis]		paper11
1994 A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks. In: Journal of Finance.
[Full Text][Citation analysis]		article109
1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 109		paper
1995 Implementing Option Pricing Models When Asset Returns Are Predictable. In: Journal of Finance.
[Full Text][Citation analysis]		article55
1993Implementing option pricing models when asset returns are predictable.(1993) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
1994Implementing Option Pricing Models When Asset Returns Are Predictable.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
1998Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: Journal of Finance.
[Full Text][Citation analysis]		article299
1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 299		paper
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers.
[Citation analysis]
This paper has another version. Agregated cites: 299		paper
2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation In: Journal of Finance.
[Full Text][Citation analysis]		article169
2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 169		paper
1999Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.(1999) In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 169		paper
2006Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model In: Journal of Finance.
[Full Text][Citation analysis]		article28
2001Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data In: Econometric Theory.
[Full Text][Citation analysis]		article116
1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.(1986) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 116		paper
1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.(1986) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 116		paper
1997MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article29
1992Maximizing predictability in the stock and bond markets.(1992) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
1995Maximizing Predictability in the Stock and Bond Markets.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
1998THE ECONOMETRICS OF FINANCIAL MARKETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article17
1991Long-Term Memory in Stock Market Prices. In: Econometrica.
[Full Text][Citation analysis]		article594
1989Long-term memory in stock market prices.(1989) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 594		paper
1989Long-term Memory in Stock Market Prices.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 594		paper
1985A large-sample chow test for the linear simultaneous equation In: Economics Letters.
[Full Text][Citation analysis]		article4
1986Logit versus discriminant analysis : A specification test and application to corporate bankruptcies In: Journal of Econometrics.
[Full Text][Citation analysis]		article46
1989The size and power of the variance ratio test in finite samples : A Monte Carlo investigation In: Journal of Econometrics.
[Full Text][Citation analysis]		article214
1987The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.(1987) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 214		paper
1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.(1988) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 214		paper
1990An econometric analysis of nonsynchronous trading In: Journal of Econometrics.
[Full Text][Citation analysis]		article254
1989An Econometric Analysis of Nonsyschronous-Trading.(1989) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 254		paper
1989An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 254		paper
2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
[Full Text][Citation analysis]		article281
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 281		paper
2012Robust ranking and portfolio optimization In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2011What happened to the quants in August 2007? Evidence from factors and transactions data In: Journal of Financial Markets.
[Full Text][Citation analysis]		article21
2008What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2014When do stop-loss rules stop losses? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article6
2008When Do Stop-Loss Rules Stop Losses?.(2008) In: SIFR Research Report Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
1998Optimal control of execution costs In: Journal of Financial Markets.
[Full Text][Citation analysis]		article200
2010Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article31
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article404
2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 404		paper
2013Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics.
[Full Text][Citation analysis]		article24
2010Systemic Risk and the Refinancing Ratchet Effect.(2010) In: Harvard Business School Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2009Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2013Can hedge funds time market liquidity? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article44
1986Statistical tests of contingent-claims asset-pricing models : A new methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article14
1987Semi-parametric upper bounds for option prices and expected payoffs In: Journal of Financial Economics.
[Full Text][Citation analysis]		article33
1992An ordered probit analysis of transaction stock prices In: Journal of Financial Economics.
[Full Text][Citation analysis]		article166
1991An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 166		paper
1990An ordered probit analysis of transaction stock prices.(1990) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 166		paper
1991An Ordered Probit Analysis of Transaction Stock Prices.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 166		paper
2000When is time continuous? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article35
2002Econometric models of limit-order executions In: Journal of Financial Economics.
[Full Text][Citation analysis]		article63
1999Econometric Models of Limit-Order Executions.(1999) In: Rodney L. White Center for Financial Research Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		paper
1997Econometric Models of Limit-Order Executions.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		paper
2004An econometric model of serial correlation and illiquidity in hedge fund returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article202
2003An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns.(2003) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 202		paper
2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 202		paper
2009Regulatory reform in the wake of the financial crisis of 2007-2008 In: Journal of Financial Economic Policy.
[Full Text][Citation analysis]		article10
2001The sources and nature of long-term memory in aggregate output In: Economic Review.
[Full Text][Citation analysis]		article20
1991The sources and nature of long-term memory in the business cycle In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper21
1989The Sources and Nature of Long-Term Memory in the Business Cycle.(1989) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 21		paper
1989The Sources and Nature of Long-Term Memory in the Business Cycle.(1989) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 21		paper
1989The Sources and Nature of Long-term Memory in the Business Cycle.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2014Hedge fund holdings and stock market efficiency In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2016The Gordon Gekko effect: the role of culture in the financial industry In: Economic Policy Review.
[Full Text][Citation analysis]		article1
2015The Gordon Gekko Effect: The Role of Culture in the Financial Industry.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
1994Models of the term structure of interest rates In: Working Papers.
[Citation analysis]		paper5
2001A Residuals-Based Wald Test for the Linear Simultaneous Equation In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1985A Residuals-Based Wald Test for the Linear Simultaneous Equation.(1985) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
1989When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper1
1989When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001).(1989) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
1987Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper5
1987Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87).(1987) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 5		paper
1985Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1985Logit Versus Discriminant Analysis: A Specification Test In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper2
1987A Simple Specification Test of the Random Walk Hypothesis In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1984Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1985A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1989Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1985Games of Survival in the Newspaper Industry In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1991An Ordered Probit Analysis of Transaction Stock Prices. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper4
1987Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper3
2010Impossible Frontiers In: Management Science.
[Full Text][Citation analysis]		article4
2008Impossible Frontiers.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
1989When are contrarian profits due to stock market overreaction? In: Working papers.
[Full Text][Citation analysis]		paper397
1989When are Contrarian Profits Due to Stock Market Overreaction?.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 397		paper
1990When Are Contrarian Profits Due to Stock Market Overreaction?.(1990) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 397		article
1989Data-snooping biases in tests of financial asset pricing models In: Working papers.
[Full Text][Citation analysis]		paper295
1989Data-Snooping Biases in Tests of Financial Asset Pricing Models.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 295		paper
1990Data-Snooping Biases in Tests of Financial Asset Pricing Models..(1990) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 295		article
1997Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach In: Working papers.
[Full Text][Citation analysis]		paper1
2013Quantifying Systemic Risk In: NBER Books.
[Citation analysis]		book14
1996The Industrial Organization and Regulation of the Securities Industry In: NBER Books.
[Citation analysis]		book1
2012Introduction to Quantifying Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]		chapter3
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Chapters.
[Citation analysis]		chapter55
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
1996Introduction to The Industrial Organization and Regulation of the Securities Industry In: NBER Chapters.
[Full Text][Citation analysis]		chapter2
2007Systemic Risk and Hedge Funds In: NBER Chapters.
[Full Text][Citation analysis]		chapter35
2005Systemic Risk and Hedge Funds.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2015Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2015Risk and Risk Management in the Credit Card Industry In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2015Hedge Funds: A Dynamic Industry In Transition In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2015Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test In: NBER Working Papers.
[Full Text][Citation analysis]		paper904
1988Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test.(1988) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 904		article
2017Sharing R&D Risk in Healthcare via FDA Hedges In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2017Optimal Financing for R&D-Intensive Firms In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory In: NBER Working Papers.
[Full Text][Citation analysis]		paper128
2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory..(2000) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 128		article
2001Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers.
[Full Text][Citation analysis]		paper86
2004Asset Prices and Trading Volume under Fixed Transactions Costs.(2004) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86		article
2009Asset Prices and Trading Volume Under Fixed Transactions Costs.(2009) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86		paper
2001The Psychophysiology of Real-Time Financial Risk Processing In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2006The Derivatives Sourcebook In: Foundations and Trends(R) in Finance.
[Full Text][Citation analysis]		article0
1999Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]		paper2
2001Asset allocation and derivatives In: Quantitative Finance.
[Full Text][Citation analysis]		article18
2003Innovation at MIT In: Quantitative Finance.
[Full Text][Citation analysis]		article1
1999Frontiers of Finance: Evolution and Efficient Markets In: Working Papers.
[Citation analysis]		paper33

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team