Andrew W. Lo : Citation Profile

Are you Andrew W. Lo?

Massachusetts Institute of Technology (MIT)

30

H index

43

i10 index

6084

Citations

RESEARCH PRODUCTION:

49

Articles

80

Papers

2

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   33 years (1984 - 2017). See details.
   Cites by year: 184
   Journals where Andrew W. Lo has often published
   Relations with other researchers
   Recent citing documents: 925.    Total self citations: 44 (0.72 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo171
   Updated: 2019-10-06    RAS profile: 2015-10-20    
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Relations with other researchers

Works with:

Cao, Charles (2)

liang, bing (2)

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

Is cited by:

Gil-Alana, Luis (48)

Darné, Olivier (37)

Kim, Jae (35)

Wong, Wing-Keung (34)

Bollerslev, Tim (33)

Härdle, Wolfgang (30)

Caporale, Guglielmo Maria (27)

Tabak, Benjamin (26)

Ghysels, Eric (24)

Chiarella, Carl (21)

Phillips, Peter (21)

Cites to:

merton, robert (33)

Duffie, Darrell (22)

Campbell, John (19)

Brown, Stephen (18)

Grossman, Sanford (18)

Brennan, Michael (18)

Jarrow, Robert (16)

liang, bing (15)

Longstaff, Francis (15)

Reinhart, Carmen (15)

Fama, Eugene (14)

Main data

Where Andrew W. Lo has published?

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

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

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

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

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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

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

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

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2019Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from WAEMU Market Index. (2019). Mendy, Pierre ; Diallo, Oumou Kalsoum. In: World Journal of Applied Economics. RePEc:ana:journl:v:5:y:2019:i:1:p:1-23.

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2018Measuring Investor Sentiment. (2018). Zhou, Guofu. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:239-259.

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

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

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2018Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy. (2018). Chuen, Yean Soh ; Hamzah, Ahmad Husni ; Yaacob, Mohd Hasimi ; Tapa, Afiruddin. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:933-941.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2019Nash equilibrium for risk-averse investors in a market impact game with transient price impact. (2018). Luo, Xiangge ; Schied, Alexander. In: Papers. RePEc:arx:papers:1807.03813.

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

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

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

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

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

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

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

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

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

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

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

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

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2019Static vs Adaptive Strategies for Optimal Execution with Signals. (2018). Bellani, Claudio ; Neuman, Eyal ; Done, Alex ; Brigo, Damiano. In: Papers. RePEc:arx:papers:1811.11265.

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

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

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

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2019A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert. In: Papers. RePEc:arx:papers:1902.09606.

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2019Cross-shareholding networks and stock price synchronicity: Evidence from China. (2019). Zhou, Wei-Xing ; Yuan, Yujie ; Wen, Fenghua. In: Papers. RePEc:arx:papers:1903.01655.

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2019The fractional and mixed-fractional CEV model. (2019). Araneda, Axel A. In: Papers. RePEc:arx:papers:1903.05747.

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2019Stacked Monte Carlo for option pricing. (2019). Oumgari, Mugad ; Malone, Emma R ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1903.10795.

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2019Blindfolded monkeys or financial analysts: who is worth your money?. (2019). Torrisi, Benedetto ; Pernagallo, Giuseppe. In: Papers. RePEc:arx:papers:1904.03488.

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2019Inefficiency of the Brazilian Stock Market: the IBOVESPA Future Contracts. (2019). , Paulo ; Rocha, Tarcisio M. In: Papers. RePEc:arx:papers:1904.09214.

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2019Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework. (2019). Yu, Xun ; Wang, Haoran. In: Papers. RePEc:arx:papers:1904.11392.

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2019Nonparametric pricing and hedging of exotic derivatives. (2019). Arribas, Imanol Perez ; Nejad, Sina ; Lyons, Terry. In: Papers. RePEc:arx:papers:1905.00711.

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2019Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728.

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

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

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

Andrew W. Lo has edited the books:

YearTitleTypeCited

Works by Andrew W. Lo:

YearTitleTypeCited
2012Privacy-Preserving Methods for Sharing Financial Risk Exposures In: American Economic Review.
[Full Text][Citation analysis]		article6
2011Privacy-Preserving Methods for Sharing Financial Risk Exposures.(2011) In: Papers.
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This paper has another version. Agregated cites: 6		paper
2013Can Financial Engineering Cure Cancer? In: American Economic Review.
[Full Text][Citation analysis]		article4
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review.
[Full Text][Citation analysis]		article37
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: 37		paper
2012Reading about the Financial Crisis: A Twenty-One-Book Review In: Journal of Economic Literature.
[Full Text][Citation analysis]		article46
2013Moores Law versus Murphys Law: Algorithmic Trading and Its Discontents In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article26
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]		article194
2013Introduction to Volume 5 of the Annual Review of Financial Economics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article1
2009A Computational View of Market Efficiency In: Papers.
[Full Text][Citation analysis]		paper3
2011A computational view of market efficiency.(2011) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2010Is It Real, or Is It Randomized?: A Financial Turing Test In: Papers.
[Full Text][Citation analysis]		paper0
2010WARNING: Physics Envy May Be Hazardous To Your Wealth! In: Papers.
[Full Text][Citation analysis]		paper11
1994 A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks. In: Journal of Finance.
[Full Text][Citation analysis]		article115
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: 115		paper
1995 Implementing Option Pricing Models When Asset Returns Are Predictable. In: Journal of Finance.
[Full Text][Citation analysis]		article57
1993Implementing option pricing models when asset returns are predictable.(1993) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		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: 57		paper
1998Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: Journal of Finance.
[Full Text][Citation analysis]		article309
1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.(1995) In: NBER Working Papers.
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2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation In: Journal of Finance.
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2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.(2000) In: NBER Working Papers.
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1999Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.(1999) In: Computing in Economics and Finance 1999.
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2006Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model In: Journal of Finance.
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2001Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model.(2001) In: NBER Working Papers.
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1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data In: Econometric Theory.
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1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.(1986) In: Rodney L. White Center for Financial Research Working Papers.
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1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.(1986) In: NBER Technical Working Papers.
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1997MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS In: Macroeconomic Dynamics.
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1992Maximizing predictability in the stock and bond markets.(1992) In: Working papers.
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1995Maximizing Predictability in the Stock and Bond Markets.(1995) In: NBER Working Papers.
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1998THE ECONOMETRICS OF FINANCIAL MARKETS In: Macroeconomic Dynamics.
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1991Long-Term Memory in Stock Market Prices. In: Econometrica.
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1989Long-term memory in stock market prices.(1989) In: Working papers.
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1989Long-term Memory in Stock Market Prices.(1989) In: NBER Working Papers.
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1985A large-sample chow test for the linear simultaneous equation In: Economics Letters.
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1986Logit versus discriminant analysis : A specification test and application to corporate bankruptcies In: Journal of Econometrics.
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1989The size and power of the variance ratio test in finite samples : A Monte Carlo investigation In: Journal of Econometrics.
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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.
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1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.(1988) In: NBER Technical Working Papers.
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1990An econometric analysis of nonsynchronous trading In: Journal of Econometrics.
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1989An Econometric Analysis of Nonsyschronous-Trading.(1989) In: Rodney L. White Center for Financial Research Working Papers.
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1989An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers.
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2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
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2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
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2012Robust ranking and portfolio optimization In: European Journal of Operational Research.
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2011What happened to the quants in August 2007? Evidence from factors and transactions data In: Journal of Financial Markets.
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2008What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data.(2008) In: NBER Working Papers.
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2014When do stop-loss rules stop losses? In: Journal of Financial Markets.
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2008When Do Stop-Loss Rules Stop Losses?.(2008) In: SIFR Research Report Series.
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1998Optimal control of execution costs In: Journal of Financial Markets.
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2010Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance.
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2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
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2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
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2013Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics.
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2010Systemic Risk and the Refinancing Ratchet Effect.(2010) In: Harvard Business School Working Papers.
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2009Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers.
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2013Can hedge funds time market liquidity? In: Journal of Financial Economics.
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1986Statistical tests of contingent-claims asset-pricing models : A new methodology In: Journal of Financial Economics.
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1987Semi-parametric upper bounds for option prices and expected payoffs In: Journal of Financial Economics.
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1992An ordered probit analysis of transaction stock prices In: Journal of Financial Economics.
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1991An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers.
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1990An ordered probit analysis of transaction stock prices.(1990) In: Working papers.
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1991An Ordered Probit Analysis of Transaction Stock Prices.(1991) In: NBER Working Papers.
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2000When is time continuous? In: Journal of Financial Economics.
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2002Econometric models of limit-order executions In: Journal of Financial Economics.
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1999Econometric Models of Limit-Order Executions.(1999) In: Rodney L. White Center for Financial Research Working Papers.
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1997Econometric Models of Limit-Order Executions.(1997) In: NBER Working Papers.
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2004An econometric model of serial correlation and illiquidity in hedge fund returns In: Journal of Financial Economics.
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2003An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns.(2003) In: Working papers.
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2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns.(2003) In: NBER Working Papers.
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2009Regulatory reform in the wake of the financial crisis of 2007-2008 In: Journal of Financial Economic Policy.
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1991The sources and nature of long-term memory in the business cycle In: Working Papers (Old Series).
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1989The Sources and Nature of Long-Term Memory in the Business Cycle.(1989) In: Rodney L. White Center for Financial Research Working Papers.
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1989The Sources and Nature of Long-Term Memory in the Business Cycle.(1989) In: Rodney L. White Center for Financial Research Working Papers.
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1989The Sources and Nature of Long-term Memory in the Business Cycle.(1989) In: NBER Working Papers.
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2014Hedge fund holdings and stock market efficiency In: Finance and Economics Discussion Series.
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2016The Gordon Gekko effect: the role of culture in the financial industry In: Economic Policy Review.
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2015The Gordon Gekko Effect: The Role of Culture in the Financial Industry.(2015) In: NBER Working Papers.
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1994Models of the term structure of interest rates In: Working Papers.
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2001A Residuals-Based Wald Test for the Linear Simultaneous Equation In: Rodney L. White Center for Financial Research Working Papers.
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1985A Residuals-Based Wald Test for the Linear Simultaneous Equation.(1985) In: Rodney L. White Center for Financial Research Working Papers.
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1989When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) In: Rodney L. White Center for Financial Research Working Papers.
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1989When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001).(1989) In: Rodney L. White Center for Financial Research Working Papers.
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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.
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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.
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1985Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84) In: Rodney L. White Center for Financial Research Working Papers.
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1985Logit Versus Discriminant Analysis: A Specification Test In: Rodney L. White Center for Financial Research Working Papers.
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1987A Simple Specification Test of the Random Walk Hypothesis In: Rodney L. White Center for Financial Research Working Papers.
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1984Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85) In: Rodney L. White Center for Financial Research Working Papers.
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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.
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1989Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) In: Rodney L. White Center for Financial Research Working Papers.
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1985Games of Survival in the Newspaper Industry In: Rodney L. White Center for Financial Research Working Papers.
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1991An Ordered Probit Analysis of Transaction Stock Prices. In: Rodney L. White Center for Financial Research Working Papers.
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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.
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2010Impossible Frontiers In: Management Science.
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2008Impossible Frontiers.(2008) In: NBER Working Papers.
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1989When are contrarian profits due to stock market overreaction? In: Working papers.
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1989When are Contrarian Profits Due to Stock Market Overreaction?.(1989) In: NBER Working Papers.
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1990When Are Contrarian Profits Due to Stock Market Overreaction?.(1990) In: Review of Financial Studies.
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1989Data-snooping biases in tests of financial asset pricing models In: Working papers.
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1989Data-Snooping Biases in Tests of Financial Asset Pricing Models.(1989) In: NBER Working Papers.
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1990Data-Snooping Biases in Tests of Financial Asset Pricing Models..(1990) In: Review of Financial Studies.
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1997Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach In: Working papers.
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2013Quantifying Systemic Risk In: NBER Books.
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1996The Industrial Organization and Regulation of the Securities Industry In: NBER Books.
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2012Introduction to Quantifying Systemic Risk In: NBER Chapters.
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2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Chapters.
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2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Working Papers.
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1996Introduction to The Industrial Organization and Regulation of the Securities Industry In: NBER Chapters.
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2007Systemic Risk and Hedge Funds In: NBER Chapters.
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2005Systemic Risk and Hedge Funds.(2005) In: NBER Working Papers.
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2015Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry In: NBER Working Papers.
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2015Risk and Risk Management in the Credit Card Industry In: NBER Working Papers.
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2015Hedge Funds: A Dynamic Industry In Transition In: NBER Working Papers.
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2015Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design In: NBER Working Papers.
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1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test In: NBER Working Papers.
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1988Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test.(1988) In: Review of Financial Studies.
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2017Sharing R&D Risk in Healthcare via FDA Hedges In: NBER Working Papers.
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2017Optimal Financing for R&D-Intensive Firms In: NBER Working Papers.
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1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model In: NBER Working Papers.
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2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory In: NBER Working Papers.
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2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory..(2000) In: Review of Financial Studies.
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2001Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers.
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2004Asset Prices and Trading Volume under Fixed Transactions Costs.(2004) In: Journal of Political Economy.
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2009Asset Prices and Trading Volume Under Fixed Transactions Costs.(2009) In: Yale School of Management Working Papers.
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2001The Psychophysiology of Real-Time Financial Risk Processing In: NBER Working Papers.
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2006The Derivatives Sourcebook In: Foundations and Trends(R) in Finance.
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1999Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders In: Computing in Economics and Finance 1999.
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2001Asset allocation and derivatives In: Quantitative Finance.
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2003Innovation at MIT In: Quantitative Finance.
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1999Frontiers of Finance: Evolution and Efficient Markets In: Working Papers.
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