Andrew W. Lo : Citation Profile


Are you Andrew W. Lo?

Massachusetts Institute of Technology (MIT)

35

H index

51

i10 index

8679

Citations

RESEARCH PRODUCTION:

68

Articles

89

Papers

3

Books

10

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   37 years (1984 - 2021). See details.
   Cites by year: 234
   Journals where Andrew W. Lo has often published
   Relations with other researchers
   Recent citing documents: 1163.    Total self citations: 61 (0.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo171
   Updated: 2022-07-02    RAS profile: 2021-08-29    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Thakor, Richard (3)

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 (60)

Darné, Olivier (43)

Tabak, Benjamin (40)

Kim, Jae (36)

Wong, Wing-Keung (34)

Giudici, Paolo (33)

Bollerslev, Tim (30)

Caporale, Guglielmo Maria (30)

faff, robert (29)

Phillips, Peter (26)

Subrahmanyam, Avanidhar (26)

Cites to:

merton, robert (44)

Duffie, Darrell (28)

Stulz, René (21)

Longstaff, Francis (20)

Campbell, John (20)

Brennan, Michael (20)

Grossman, Sanford (19)

Fama, Eugene (19)

Scholes, Myron (18)

Jarrow, Robert (18)

Farmer, J. (17)

Main data


Where Andrew W. Lo has published?


Journals with more than one article published# docs
Journal of Financial Economics9
Annual Review of Financial Economics6
Journal of Econometrics5
Review of Financial Studies4
Journal of Finance4
Quarterly Journal of Finance (QJF)3
PLOS ONE3
Journal of Financial Markets3
Management Science3
Quantitative Finance3
American Economic Review3
Macroeconomic Dynamics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc39
Papers / arXiv.org4
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Andrew W. Lo (2022 and 2021)


YearTitle of citing document
2020Optimal control of investment, premium and deductible for a non-life insurance company. (2020). Serrano, Rafael ; Parra-Alvarez, Juan Carlos ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2020-11.

Full description at Econpapers || Download paper

2020How to prevent a new global financial crisis. (2020). Beker, Victor. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4309.

Full description at Econpapers || Download paper

2020Evaluación Económica de pérdidas por enfermedades en bovinos: métodos de valuación de perdida. (2020). Amaro, Ignacio Benito . In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4310.

Full description at Econpapers || Download paper

2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21.

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

2021Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066.

Full description at Econpapers || Download paper

2021Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079.

Full description at Econpapers || Download paper

2021Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. (2021). Polat, Onur. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:47-59.

Full description at Econpapers || Download paper

2022When is the Order to Trade fee effective?. (2021). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:8.

Full description at Econpapers || Download paper

2022Network Structure and Fragmentation of the Argentinean Interbank Markets. (2022). Montes-Rojas, Gabriel ; Forte, Federico ; Elosegui, Pedro. In: Working Papers. RePEc:aoz:wpaper:129.

Full description at Econpapers || Download paper

2021Maximum drawdown, recovery and momentum. (2015). Choi, Jaehyung . In: Papers. RePEc:arx:papers:1403.8125.

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

2022Securities 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

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

2021Liquidity 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

2021Optimal 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

2020Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. (2019). Langren, Nicolas ; Hur, Come ; Bachouch, Achref ; Pham, Huyen. In: Papers. RePEc:arx:papers:1812.05916.

Full description at Econpapers || Download paper

2021High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309.

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

2021The option pricing model based on time values: an application of the universal approximation theory on unbounded domains. (2019). Wang, Ming-Xi ; Qu, Yang. In: Papers. RePEc:arx:papers:1910.01490.

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

2022Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time. (2020). Secomandi, Nicola. In: Papers. RePEc:arx:papers:2001.05788.

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

2020Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures. (2020). Li, Jonathan Yumeng ; Delage, Erick ; Marzban, Saeed . In: Papers. RePEc:arx:papers:2002.02876.

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

2020Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492.

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

2021Market 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

2020Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504.

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

2021Stress 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

2021Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891.

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

2021A 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

2020Necessary and Sufficient Conditions for Frequency-Based Kelly Optimal Portfolio. (2020). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2004.12099.

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

2021Tail 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

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

2020Quant Bust 2020. (2020). Kakushadze, Zura. In: Papers. RePEc:arx:papers:2006.05632.

Full description at Econpapers || Download paper

2021C\`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

2021Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110.

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

2021A 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

2020Deep Hedging of Long-Term Financial Derivatives. (2020). Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2007.15128.

Full description at Econpapers || Download paper

2020The Hansen ratio in mean--variance portfolio theory. (2020). Vcern, Alevs. In: Papers. RePEc:arx:papers:2007.15980.

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

2021Long 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

2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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

2021Learning Time Varying Risk Preferences from Investment Portfolios using Inverse Optimization with Applications on Mutual Funds. (2020). Dong, Chaosheng ; Chen, Yuxin ; Yu, Shi. In: Papers. RePEc:arx:papers:2010.01687.

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

2021Binary 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

2022Recurrent 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

2021Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2011.10113.

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). Park, Kyunghyun ; Jeon, Jaegi ; Huh, Jeonggyu. In: Papers. RePEc:arx:papers:2101.09064.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209.

Full description at Econpapers || Download paper

2022A Scaling Limit for Utility Indifference Prices in the Discretized Bachelier Model. (2021). Dolinsky, Yan ; Cohen, Asaf. In: Papers. RePEc:arx:papers:2102.11968.

Full description at Econpapers || Download paper

2021Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2102.12694.

Full description at Econpapers || Download paper

2021No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging. (2021). Nakagawa, Kei ; Minami, Kentaro ; Ito, Katsuya ; Imajo, Kentaro ; Imaki, Shota. In: Papers. RePEc:arx:papers:2103.01775.

Full description at Econpapers || Download paper

2021On Asymptotic Log-Optimal Buy-and-Hold Strategy. (2021). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2103.04898.

Full description at Econpapers || Download paper

2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

Full description at Econpapers || Download paper

2021Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957.

Full description at Econpapers || Download paper

2021Universal Trading for Order Execution with Oracle Policy Distillation. (2021). Yu, Yong ; Bian, Jiang ; Zhang, Weinan ; Zhou, Dong ; Liu, Weiqing ; Ren, Kan ; Fang, Yuchen. In: Papers. RePEc:arx:papers:2103.10860.

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]
article8
2011Privacy-Preserving Methods for Sharing Financial Risk Exposures.(2011) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2013Can Financial Engineering Cure Cancer? In: American Economic Review.
[Full Text][Citation analysis]
article7
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review.
[Full Text][Citation analysis]
article69
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: 69
paper
2012Reading about the Financial Crisis: A Twenty-One-Book Review In: Journal of Economic Literature.
[Full Text][Citation analysis]
article62
2013Moores Law versus Murphys Law: Algorithmic Trading and Its Discontents In: Journal of Economic Perspectives.
[Full Text][Citation analysis]
article34
2020Robert C. Merton: The First Financial Engineer In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article0
2020Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article4
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]
article379
2012A Survey of Systemic Risk Analytics.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 379
paper
2013Introduction to Volume 5 of the Annual Review of Financial Economics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article2
2015Hedge Funds: A Dynamic Industry in Transition In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article13
2015Hedge Funds: A Dynamic Industry In Transition.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2009A Computational View of Market Efficiency In: Papers.
[Full Text][Citation analysis]
paper6
2011A computational view of market efficiency.(2011) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
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]
paper13
2016Moores Law vs. Murphys Law in the financial system: whos winning? In: BIS Working Papers.
[Full Text][Citation analysis]
paper1
1994 A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks. In: Journal of Finance.
[Full Text][Citation analysis]
article189
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: 189
paper
1995 Implementing Option Pricing Models When Asset Returns Are Predictable. In: Journal of Finance.
[Full Text][Citation analysis]
article70
1993Implementing option pricing models when asset returns are predictable.(1993) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70
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: 70
paper
2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation In: Journal of Finance.
[Full Text][Citation analysis]
article293
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: 293
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: 293
paper
2006Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model In: Journal of Finance.
[Full Text][Citation analysis]
article41
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: 41
paper
2019The Visible Hand In: Accounting, Economics, and Law: A Convivium.
[Full Text][Citation analysis]
article0
1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data In: Econometric Theory.
[Full Text][Citation analysis]
article134
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: 134
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: 134
paper
1997MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article33
1992Maximizing predictability in the stock and bond markets.(1992) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
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: 33
paper
1998THE ECONOMETRICS OF FINANCIAL MARKETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article27
1991Long-Term Memory in Stock Market Prices. In: Econometrica.
[Full Text][Citation analysis]
article771
1989Long-term memory in stock market prices.(1989) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 771
paper
1989Long-term Memory in Stock Market Prices.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 771
paper
1985A large-sample chow test for the linear simultaneous equation In: Economics Letters.
[Full Text][Citation analysis]
article5
2019Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
2015Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
1986Logit versus discriminant analysis : A specification test and application to corporate bankruptcies In: Journal of Econometrics.
[Full Text][Citation analysis]
article60
1989The size and power of the variance ratio test in finite samples : A Monte Carlo investigation In: Journal of Econometrics.
[Full Text][Citation analysis]
article261
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: 261
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: 261
paper
1990An econometric analysis of nonsynchronous trading In: Journal of Econometrics.
[Full Text][Citation analysis]
article299
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: 299
paper
1989An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 299
paper
2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
[Full Text][Citation analysis]
article343
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 343
paper
2012Robust ranking and portfolio optimization In: European Journal of Operational Research.
[Full Text][Citation analysis]
article9
2011What happened to the quants in August 2007? Evidence from factors and transactions data In: Journal of Financial Markets.
[Full Text][Citation analysis]
article85
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: 85
paper
2014When do stop-loss rules stop losses? In: Journal of Financial Markets.
[Full Text][Citation analysis]
article12
2008When Do Stop-Loss Rules Stop Losses?.(2008) In: SIFR Research Report Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
1998Optimal control of execution costs In: Journal of Financial Markets.
[Full Text][Citation analysis]
article301
2010Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article103
2016Risk and risk management in the credit card industry In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article37
2015Risk and Risk Management in the Credit Card Industry.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37
paper
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]
article907
2010Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Chapters.
[Citation analysis]
This paper has another version. Agregated cites: 907
chapter
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: 907
paper
2013Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics.
[Full Text][Citation analysis]
article50
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: 50
paper
2009Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50
paper
2013Can hedge funds time market liquidity? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article77
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]
article36
1992An ordered probit analysis of transaction stock prices In: Journal of Financial Economics.
[Full Text][Citation analysis]
article213
1991An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 213
paper
1990An ordered probit analysis of transaction stock prices.(1990) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 213
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: 213
paper
2000When is time continuous? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article47
2001WHEN IS TIME CONTINUOUS?.(2001) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
chapter
2002Econometric models of limit-order executions In: Journal of Financial Economics.
[Full Text][Citation analysis]
article77
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: 77
paper
1997Econometric Models of Limit-Order Executions.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 77
paper
2004An econometric model of serial correlation and illiquidity in hedge fund returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article295
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: 295
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: 295
paper
2009Regulatory reform in the wake of the financial crisis of 2007-2008 In: Journal of Financial Economic Policy.
[Full Text][Citation analysis]
article12
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]
paper22
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: 22
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: 22
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: 22
paper
2014Hedge fund holdings and stock market efficiency In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper7
2018Hedge Fund Holdings and Stock Market Efficiency.(2018) In: Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2016The Gordon Gekko effect: the role of culture in the financial industry In: Economic Policy Review.
[Full Text][Citation analysis]
article10
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: 10
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]
paper8
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: 8
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]
paper4
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]
paper9
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]
paper6
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
2017Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform In: Management Science.
[Full Text][Citation analysis]
article1
2019Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons In: Management Science.
[Full Text][Citation analysis]
article1
2001Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach In: Operations Research.
[Full Text][Citation analysis]
article26
2021Can Financial Economics Cure Cancer? In: Atlantic Economic Journal.
[Full Text][Citation analysis]
article0
2018The growth of relative wealth and the Kelly criterion In: Journal of Bioeconomics.
[Full Text][Citation analysis]
article7
1989When are contrarian profits due to stock market overreaction? In: Working papers.
[Full Text][Citation analysis]
paper580
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: 580
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: 580
article
1989Data-snooping biases in tests of financial asset pricing models In: Working papers.
[Full Text][Citation analysis]
paper442
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: 442
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: 442
article
1997Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach In: Working papers.
[Full Text][Citation analysis]
paper5
2021The origin of cooperation In: Proceedings of the National Academy of Sciences.
[Full Text][Citation analysis]
article0
2013Quantifying Systemic Risk In: NBER Books.
[Citation analysis]
book39
1996The Industrial Organization and Regulation of the Securities Industry In: NBER Books.
[Citation analysis]
book27
2012Introduction to Quantifying Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]
chapter4
2022Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery In: NBER Chapters.
[Full Text][Citation analysis]
chapter0
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]
chapter58
2005Systemic Risk and Hedge Funds.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 58
paper
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Working Papers.
[Full Text][Citation analysis]
paper76
2015Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry In: NBER Working Papers.
[Full Text][Citation analysis]
paper6
1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test In: NBER Working Papers.
[Full Text][Citation analysis]
paper1310
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: 1310
article
2017Sharing R&D Risk in Healthcare via FDA Hedges In: NBER Working Papers.
[Full Text][Citation analysis]
paper4
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]
paper1
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
2021Estimating the Financial Impact of Gene Therapy in the U.S. In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
2021Paying off the Competition: Market Power and Innovation Incentives In: NBER Working Papers.
[Full Text][Citation analysis]
paper4
1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: NBER Working Papers.
[Full Text][Citation analysis]
paper53
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers.
[Citation analysis]
This paper has another version. Agregated cites: 53
paper
1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model In: NBER Working Papers.
[Full Text][Citation analysis]
paper1
2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory In: NBER Working Papers.
[Full Text][Citation analysis]
paper232
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: 232
article
2001Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers.
[Full Text][Citation analysis]
paper122
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: 122
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: 122
paper
2001The Psychophysiology of Real-Time Financial Risk Processing In: NBER Working Papers.
[Full Text][Citation analysis]
paper10
2006The Derivatives Sourcebook In: Foundations and Trends(R) in Finance.
[Full Text][Citation analysis]
article0
2015Reply to “(Im)Possible Frontiers: A Comment†In: Critical Finance Review.
[Full Text][Citation analysis]
article0
2012Estimating the NIH Efficient Frontier In: PLOS ONE.
[Full Text][Citation analysis]
article4
2012An Evolutionary Model of Bounded Rationality and Intelligence In: PLOS ONE.
[Full Text][Citation analysis]
article6
2021To maximize or randomize? An experimental study of probability matching in financial decision making In: PLOS ONE.
[Full Text][Citation analysis]
article0
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]
chapter0
2010Hedge Funds: An Analytic Perspective Updated Edition In: Economics Books.
[Citation analysis]
book5
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]
article22
2003Innovation at MIT In: Quantitative Finance.
[Full Text][Citation analysis]
article1
1999Frontiers of Finance: Evolution and Efficient Markets In: Working Papers.
[Citation analysis]
paper40
2011The Origin of Behavior In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article11
2011Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article8
2018Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article1
2005SIFTING THROUGH THE WRECKAGE: LESSONS FROM RECENT HEDGE-FUND LIQUIDATIONS In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2005ITS 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2015Where To From Here? In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2021Global realignment in financial market dynamics: Evidence from ETF networks In: SAFE Working Paper Series.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2022. Contact: CitEc Team