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    
   Missing citations? Add them    Incorrect content? Let us know

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Asymmetric 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

2020Systemic 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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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]		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.
[Full Text][Citation analysis]		article5
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper4
2011A computational view of market efficiency.(2011) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		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]		article156
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: 156		paper
1995 Implementing Option Pricing Models When Asset Returns Are Predictable. In: Journal of Finance.
[Full Text][Citation analysis]		article62
1993Implementing option pricing models when asset returns are predictable.(1993) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 62		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: 62		paper
2006Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model In: Journal of Finance.
[Full Text][Citation analysis]		article31
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: 31		paper
1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data In: Econometric Theory.
[Full Text][Citation analysis]		article129
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: 129		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: 129		paper
1997MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article31
1992Maximizing predictability in the stock and bond markets.(1992) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		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: 31		paper
1998THE ECONOMETRICS OF FINANCIAL MARKETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article20
1991Long-Term Memory in Stock Market Prices. In: Econometrica.
[Full Text][Citation analysis]		article673
1989Long-term memory in stock market prices.(1989) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 673		paper
1989Long-term Memory in Stock Market Prices.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 673		paper
1985A large-sample chow test for the linear simultaneous equation In: Economics Letters.
[Full Text][Citation analysis]		article5
1986Logit versus discriminant analysis : A specification test and application to corporate bankruptcies In: Journal of Econometrics.
[Full Text][Citation analysis]		article52
1989The size and power of the variance ratio test in finite samples : A Monte Carlo investigation In: Journal of Econometrics.
[Full Text][Citation analysis]		article238
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: 238		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: 238		paper
1990An econometric analysis of nonsynchronous trading In: Journal of Econometrics.
[Full Text][Citation analysis]		article280
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: 280		paper
1989An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 280		paper
2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
[Full Text][Citation analysis]		article316
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 316		paper
2012Robust ranking and portfolio optimization In: European Journal of Operational Research.
[Full Text][Citation analysis]		article8
2011What happened to the quants in August 2007? Evidence from factors and transactions data In: Journal of Financial Markets.
[Full Text][Citation analysis]		article38
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: 38		paper
2014When do stop-loss rules stop losses? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article8
2008When Do Stop-Loss Rules Stop Losses?.(2008) In: SIFR Research Report Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
1998Optimal control of execution costs In: Journal of Financial Markets.
[Full Text][Citation analysis]		article245
2010Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article67
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article638
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: 638		paper
2013Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics.
[Full Text][Citation analysis]		article34
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: 34		paper
2009Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2013Can hedge funds time market liquidity? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article63
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]		article34
1992An ordered probit analysis of transaction stock prices In: Journal of Financial Economics.
[Full Text][Citation analysis]		article192
1991An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 192		paper
1990An ordered probit analysis of transaction stock prices.(1990) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 192		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: 192		paper
2000When is time continuous? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article38
2002Econometric models of limit-order executions In: Journal of Financial Economics.
[Full Text][Citation analysis]		article71
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: 71		paper
1997Econometric Models of Limit-Order Executions.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71		paper
2004An econometric model of serial correlation and illiquidity in hedge fund returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article242
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: 242		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: 242		paper
2009Regulatory reform in the wake of the financial crisis of 2007-2008 In: Journal of Financial Economic Policy.
[Full Text][Citation analysis]		article11
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]		article7
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: 7		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]		paper3
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]		paper1
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]		paper6
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]		article5
2008Impossible Frontiers.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
1989When are contrarian profits due to stock market overreaction? In: Working papers.
[Full Text][Citation analysis]		paper471
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: 471		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: 471		article
1989Data-snooping biases in tests of financial asset pricing models In: Working papers.
[Full Text][Citation analysis]		paper340
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: 340		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: 340		article
1997Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach In: Working papers.
[Full Text][Citation analysis]		paper2
2013Quantifying Systemic Risk In: NBER Books.
[Citation analysis]		book15
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]		chapter4
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Chapters.
[Citation analysis]		chapter61
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: 61		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]		chapter39
2005Systemic Risk and Hedge Funds.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2015Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
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]		paper11
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]		paper1068
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: 1068		article
2017Sharing R&D Risk in Healthcare via FDA Hedges In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2017Optimal Financing for R&D-Intensive Firms In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2020Bayesian Adaptive Clinical Trials for Anti?Infective Therapeutics during Epidemic Outbreaks In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020Financing Vaccines for Global Health Security In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper44
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers.
[Citation analysis]
This paper has another version. Agregated cites: 44		paper
1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation In: NBER Working Papers.
[Full Text][Citation analysis]		paper194
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: 194		paper
2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory In: NBER Working Papers.
[Full Text][Citation analysis]		paper162
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: 162		article
2001Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers.
[Full Text][Citation analysis]		paper105
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: 105		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: 105		paper
2001The Psychophysiology of Real-Time Financial Risk Processing In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
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]		article20
2003Innovation at MIT In: Quantitative Finance.
[Full Text][Citation analysis]		article1
1999Frontiers of Finance: Evolution and Efficient Markets In: Working Papers.
[Citation analysis]		paper39

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team