Andrew W. Lo : Citation Profile


Are you Andrew W. Lo?

Massachusetts Institute of Technology (MIT)

32

H index

44

i10 index

6785

Citations

RESEARCH PRODUCTION:

47

Articles

84

Papers

2

Books

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   36 years (1984 - 2020). See details.
   Cites by year: 188
   Journals where Andrew W. Lo has often published
   Relations with other researchers
   Recent citing documents: 496.    Total self citations: 46 (0.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo171
   Updated: 2021-03-07    RAS profile: 2015-10-20    
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Relations with other researchers


Works with:

Thakor, Richard (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)

Darné, Olivier (37)

Tabak, Benjamin (36)

Kim, Jae (35)

Bollerslev, Tim (30)

faff, robert (27)

Caporale, Guglielmo Maria (27)

Wong, Wing-Keung (27)

Phillips, Peter (24)

Giudici, Paolo (22)

GUPTA, RANGAN (22)

Cites to:

merton, robert (33)

Duffie, Darrell (22)

Campbell, John (19)

Grossman, Sanford (18)

Brennan, Michael (18)

Jarrow, Robert (17)

Brown, Stephen (16)

Goetzmann, William (16)

liang, bing (15)

Longstaff, Francis (15)

Reinhart, Carmen (15)

Main data


Where Andrew W. Lo has published?


Journals with more than one article published# docs
Journal of Financial Economics9
Journal of Econometrics4
Review of Financial Studies4
Annual Review of Financial Economics3
American Economic Review3
Quantitative Finance3
Journal of Financial Markets3
Journal of Finance3
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 (2021 and 2020)


YearTitle of citing document
2020Risk Analysis of a Hedge Fund Oriented on Sustainable and Responsible Investments for Emerging Markets. (2020). Prelipcean, Gabriela ; Boscoianu, Mircea . In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:22:y:2020:i:55:p:653.

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2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2021David 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.

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2020A hybrid approach for risk assessment of loan guarantee network. (2017). Zha, Hongyuan ; Zhang, Liqing ; Yan, Junchi ; Cheng, Dawei ; Niu, Zhibin . In: Papers. RePEc:arx:papers:1702.04642.

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2020A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485.

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2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2020Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1705.00672.

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2020Modeling Technical Analysis. (2018). Jacka, Saul D ; Maeda, Jun . In: Papers. RePEc:arx:papers:1707.05253.

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2020Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

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2020Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278.

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2020Optimal Execution Strategy Under Price and Volume Uncertainty. (2019). Hauser, Raphael ; Vaes, Julien. In: Papers. RePEc:arx:papers:1810.11454.

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2020Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022.

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2020Systemic risk assessment through high order clustering coefficient. (2018). Cerqueti, Roy ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.13250.

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2020Asymptotics 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.

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2020Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989.

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2020Asset Pricing with General Transaction Costs: Theory and Numerics. (2019). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Gonon, Lukas. In: Papers. RePEc:arx:papers:1905.05027.

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2020Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730.

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2020Mechanics of good trade execution in the framework of linear temporary market impact. (2019). Brigo, Damiano ; Bellani, Claudio. In: Papers. RePEc:arx:papers:1909.10464.

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2020Asset Prices with Investor Protection in Approximate Fractional Economy. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yang, Ben-Zhang ; Yue, Jia. In: Papers. RePEc:arx:papers:1911.00281.

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2020Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2020Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes. (2020). Xu, Junwei ; Lokka, Arne. In: Papers. RePEc:arx:papers:2002.03376.

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2020Price impact equilibrium with transaction costs and TWAP trading. (2020). Weston, Kim ; Noh, Eunjung. In: Papers. RePEc:arx:papers:2002.08286.

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2020Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning. (2020). Ibikunle, Gbenga ; Moews, Ben. In: Papers. RePEc:arx:papers:2002.10385.

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2020Convex Optimization Over Risk-Neutral Probabilities. (2020). Boyd, Stephen ; Tuck, Jonathan ; Barratt, Shane. In: Papers. RePEc:arx:papers:2003.02878.

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2020Deep Deterministic Portfolio Optimization. (2020). de Lataillade, Joachim ; Emmanuel, ; Schmidt, Christian ; Hardiman, Stephen ; Chaouki, Ayman. In: Papers. RePEc:arx:papers:2003.06497.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020Market Efficient Portfolios in a Systemic Economy. (2020). Weber, Stefan ; Capponi, Agostino ; Awiszus, Kerstin. In: Papers. RePEc:arx:papers:2003.10121.

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2021Finite population games of optimal execution. (2020). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2004.00790.

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2020Comprehensive Review of Deep Reinforcement Learning Methods and Applications in Economics. (2020). Duan, Puhong ; Faghan, Yaser ; Ghamisi, Pedram ; Mosavi, Amir. In: Papers. RePEc:arx:papers:2004.01509.

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2021An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870.

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2020Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420.

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2020Long memory in select stock returns using an alternative wavelet log-scale alignment approach. (2020). Kamaiah, Bandi ; Bhandari, Avishek. In: Papers. RePEc:arx:papers:2004.08550.

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2020Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891.

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2020Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161.

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2020Optimal execution with liquidity risk in a diffusive order book market. (2020). Lee, Kiseop. In: Papers. RePEc:arx:papers:2004.10951.

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2020A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models. (2020). Sen, Jaydip ; Mehtab, Sidra. In: Papers. RePEc:arx:papers:2004.11697.

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2020A Stochastic LQR Model for Child Order Placement in Algorithmic Trading. (2020). Shen, Jackie Jianhong . In: Papers. RePEc:arx:papers:2004.13797.

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2020Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686.

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2020Differential Machine Learning. (2020). Savine, Antoine ; Huge, Brian . In: Papers. RePEc:arx:papers:2005.02347.

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2020Multivariate non-Gaussian models for financial applications. (2020). Tassinari, Gian Luca ; Hitaj, Asmerilda ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2005.06390.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020An overall view of key problems in algorithmic trading and recent progress. (2020). Karpe, Michael. In: Papers. RePEc:arx:papers:2006.05515.

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2020C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05863.

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2020Evidence of Crowding on Russell 3000 Reconstitution Events. (2020). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2006.07456.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2021Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura. In: Papers. RePEc:arx:papers:2006.09611.

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2020Deeply Equal-Weighted Subset Portfolios. (2020). Il, Sang. In: Papers. RePEc:arx:papers:2006.14402.

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2020A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383.

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2020Dynamic Hedging using Generated Genetic Programming Implied Volatility Models. (2020). Abdelmalek, Wafa ; Abid, Fathi ; ben Hamida, Sana. In: Papers. RePEc:arx:papers:2006.16407.

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2020Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks. (2020). Roche, Jules ; Lezmi, Edmond ; Xu, Jiali ; Roncalli, Thierry. In: Papers. RePEc:arx:papers:2007.04838.

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2020Intelligent Credit Limit Management in Consumer Loans Based on Causal Inference. (2020). Fang, Yanming ; Yu, Quan ; Jiang, Linbo ; Miao, Hang ; Zhao, Kui ; Wang, Zhun. In: Papers. RePEc:arx:papers:2007.05188.

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2020A comparative study of forecasting Corporate Credit Ratings using Neural Networks, Support Vector Machines, and Decision Trees. (2020). Florescu, Ionuct ; Golbayani, Parisa ; Chatterjee, Rupak. In: Papers. RePEc:arx:papers:2007.06617.

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2020Transaction Costs in Execution Trading. (2020). Marcos, David. In: Papers. RePEc:arx:papers:2007.07998.

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2020Deep Local Volatility. (2020). Dixon, Matthew ; Cr, St'Ephane ; Chataigner, Marc. In: Papers. RePEc:arx:papers:2007.10462.

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2020Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning. (2020). Tanksale, Atharva ; Rajani, Sharan ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2008.00462.

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2020Crowd, Lending, Machine, and Bias. (2020). Singh, Paramvir ; Huang, Yan ; Fu, Runshan. In: Papers. RePEc:arx:papers:2008.04068.

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2020Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Volatility Forecasting with 1-dimensional CNNs via transfer learning. (2020). , J'Ozsef ; Petneh, G'Abor ; Aradi, Bernadett. In: Papers. RePEc:arx:papers:2009.05508.

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2020Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories. (2020). Ziel, Florian ; Kath, Christopher. In: Papers. RePEc:arx:papers:2009.07892.

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2020CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764.

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2020The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data. (2020). , Weinan ; Huang, Guanhua ; Pang, Yue ; Yang, Yucheng. In: Papers. RePEc:arx:papers:2010.05172.

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2020Tight Bounds for a Class of Data-Driven Distributionally Robust Risk Measures. (2020). Zhang, Shuzhong ; Singh, Derek. In: Papers. RePEc:arx:papers:2010.05398.

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2020Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2020). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2020Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Horst, Ulrich ; Fu, Guanxing ; Xia, Xiaonyu. In: Papers. RePEc:arx:papers:2011.05589.

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2020Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2011.10113.

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2020An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625.

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2020The Deep Parametric PDE Method: Application to Option Pricing. (2020). Wunderlich, Linus ; Glau, Kathrin. In: Papers. RePEc:arx:papers:2012.06211.

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2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2020The Causal Learning of Retail Delinquency. (2020). Leung, Cheuk Hang ; Huang, Yiyan ; Wang, Dongdong ; Peng, Nanbo ; Wu, QI ; Yan, Xing. In: Papers. RePEc:arx:papers:2012.09448.

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2021COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422.

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2021On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731.

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2021Diagnosis of systemic risk and contagion across financial sectors. (2021). Zhu, Richard Licheng ; Choudhari, Sayuj. In: Papers. RePEc:arx:papers:2101.06585.

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2021Extensive networks would eliminate the demand for pricing formulas. (2021). Huh, Jeonggyu ; Park, Kyunghyun ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:2101.09064.

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2021Black-box model risk in finance. (2021). Cohen, Samuel N ; Snow, Derek ; Szpruch, Lukasz. In: Papers. RePEc:arx:papers:2102.04757.

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2020Testing Weak-Form Market Efficiency: The Case of Saudi Arabia. (2020). Akeel, H ; Khoj, H. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:644-653.

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2020Triggers and Barriers of Financial Inclusion: A Country-Wise Analysis. (2020). Sood, Keshav ; Mukherjee, Shrabani. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:970-988.

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2020Moderating Factors and Customer Loyalty of Selected Hotels in Lagos State, Nigeria. (2020). Ighomereho, Salome O ; Agada, Solomon A ; Patrick, . In: Journal of Asian Business Strategy. RePEc:asi:joabsj:2020:p:1-12.

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2020On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42.

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2021Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation. (2021). Carbo, Jose Manuel ; Alonso, Andres. In: Working Papers. RePEc:bde:wpaper:2105.

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2020FinTech credit: a critical review of empirical research. (2020). Branzoli, Nicola ; Supino, Ilaria. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_549_20.

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2020What can we learn about mortgage supply from online data?. (2020). Ciocchetta, Federica ; Carella, Agnese ; Signoretti, Federico Maria ; Michelangeli, Valentina. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_583_20.

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2020Economic Activity and the Value of Medical Innovation during a Pandemic. (2020). Mulligan, Casey B. In: Working Papers. RePEc:bfi:wpaper:2020-48.

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2020Market segmentation and supply‐chain predictability: evidence from China. (2020). Wu, Chongfeng ; Diao, Xundi ; Li, Rui. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1531-1562.

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2020Economic crisis and determinants of solvency in the insurance sector: new evidence from Spain. (2020). Trujilloponce, Antonio ; Parradomartinez, Purificacion ; Moreno, Ignacio . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2965-2994.

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2020Do ETF flows increase market efficiency? Evidence from China. (2020). Xu, Liao ; Chen, Jilong ; Zhao, Yang. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:5:p:4795-4819.

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2020Shocks to food market systems: A network approach. (2020). Kshirsagar, Varun ; Baffes, John. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:1:p:111-129.

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2020Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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2020Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.

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2020Glamour among value: P/E ratios and value investor attention. (2020). Moore, Jordan. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:673-706.

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2020How much should portfolios shrink?. (2020). Han, Chulwoo. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:707-740.

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2020Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs. (2020). Li, Yongjia ; Duanmu, Jun ; Malakhov, Alexey. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:405-431.

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2020Commonality in liquidity and multilateral trading facilities. (2020). Mekhaimer, Mohamed ; Jain, Pankaj K ; Mortal, Sandra. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:481-502.

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2020The Pricing Kernel Puzzle: A Real Phenomenon or a Statistical Artifact?. (2020). Anwar, Sajid ; Siddiqi, Hammad. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:485-491.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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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]
article7
2011Privacy-Preserving Methods for Sharing Financial Risk Exposures.(2011) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2013Can Financial Engineering Cure Cancer? In: American Economic Review.
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article5
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review.
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article51
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: 51
paper
2012Reading about the Financial Crisis: A Twenty-One-Book Review In: Journal of Economic Literature.
[Full Text][Citation analysis]
article54
2013Moores Law versus Murphys Law: Algorithmic Trading and Its Discontents In: Journal of Economic Perspectives.
[Full Text][Citation analysis]
article31
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.
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article241
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.
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paper4
2011A computational view of market efficiency.(2011) In: Quantitative Finance.
[Full Text][Citation analysis]
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1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.(1988) In: NBER Technical Working Papers.
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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.
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1989When are Contrarian Profits Due to Stock Market Overreaction?.(1989) In: NBER Working Papers.
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1990When Are Contrarian Profits Due to Stock Market Overreaction?.(1990) In: Review of Financial Studies.
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2015Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry In: NBER Working Papers.
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2017Sharing R&D Risk in Healthcare via FDA Hedges In: NBER Working Papers.
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1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model In: NBER Working Papers.
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2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory In: NBER Working Papers.
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2001Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers.
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2004Asset Prices and Trading Volume under Fixed Transactions Costs.(2004) In: Journal of Political Economy.
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2001The Psychophysiology of Real-Time Financial Risk Processing In: NBER Working Papers.
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