Andrew W. Lo : Citation Profile

Massachusetts Institute of Technology (MIT)

37

H index

63

i10 index

10502

Citations

RESEARCH PRODUCTION:

71

Articles

93

Papers

3

Books

10

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   41 years (1984 - 2025). See details.
   Cites by year: 256
   Journals where Andrew W. Lo has often published
   Relations with other researchers
   Recent citing documents: 649.    Total self citations: 64 (0.61 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo171
   Updated: 2025-11-08    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Thakor, Richard (2)

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

Is cited by:

Gil-Alana, Luis (70)

Darné, Olivier (43)

Härdle, Wolfgang (41)

Tabak, Benjamin (41)

Kim, Jae (40)

Wong, Wing-Keung (38)

LINTON, OLIVER (36)

Caporale, Guglielmo Maria (36)

Giudici, Paolo (35)

Billio, Monica (35)

Bollerslev, Tim (31)

Cites to:

merton, robert (45)

Duffie, Darrell (28)

Campbell, John (24)

Stulz, René (22)

Fama, Eugene (21)

Grossman, Sanford (21)

Brennan, Michael (20)

Longstaff, Francis (20)

Scholes, Myron (18)

Farmer, J. (18)

Jarrow, Robert (18)

Main data

Where Andrew W. Lo has published?

Journals with more than one article published# docs
Journal of Financial Economics10
Annual Review of Financial Economics6
Journal of Econometrics5
The Review of Financial Studies4
Journal of Finance4
American Economic Review3
Quarterly Journal of Finance (QJF)3
PLOS ONE3
Quantitative Finance3
Journal of Financial Markets3
Proceedings of the National Academy of Sciences2
Journal of Banking & Finance2
Macroeconomic Dynamics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc42
Papers / arXiv.org4
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Andrew W. Lo (2025 and 2024)

YearTitle of citing document
2025Consumer Credit Reporting Data. (2025). van der Klaauw, Wilbert ; Guttman-Kenney, Benedict ; Gibbs, Christa ; Nelson, Scott ; Lee, Donghoon ; Wang, Jialan. In: Journal of Economic Literature. RePEc:aea:jeclit:v:63:y:2025:i:2:p:598-636.

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2025Non-linearity and market behavior in the Romanian capital market: a rescaled range analysis of BET index. (2025). Tabr, Genia-Iulia. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxii:y:2025:i:3(644):p:287-300.

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2024David versus Goliath: The Impact of Corporate Expansion in the Alcohol Retail Industry on Small-Scale Retailers. (2024). Steinbach, Sandro ; Graziano, Marcello ; Connolly, Cristina. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343800.

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2024Replikacja szerokiego rynku akcji Giełdy Papierów Wartościowych w Warszawie (GPW S. A.) z wykorzystaniem indeksu inwestycji odpowiedzialnych społecznie WIG-ESG. (2024). Tomaszewski, Jacek. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:360589.

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2025Integrating Ecological, Productive, and Macrofinancial Spheres with ESTEEM: A System Dynamics Framework to Assess Brazil’s Transformation Plan. (2025). Spinola, Danilo ; Magacho, Guilherme. In: CAFE Working Papers. RePEc:akf:cafewp:38.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2025Numeraire-invariant quadratic hedging and mean--variance portfolio allocation. (2023). Černý, Aleš ; Kallsen, Jan ; Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2110.09416.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Seo, Juwon. In: Papers. RePEc:arx:papers:2207.00949.

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2025Factor Network Autoregressions. (2025). Moramarco, Graziano ; Cavaliere, Giuseppe ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2024). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2025A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997.

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2024Valuing Pharmaceutical Drug Innovations. (2024). Farmer, Leland ; Aryal, Gaurab ; Ciliberto, Federico ; Khmelnitskaya, Ekaterina. In: Papers. RePEc:arx:papers:2212.07384.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

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2024The Elasticity of Quantitative Investment. (2024). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2024Nash equilibria for relative investors with (non)linear price impact. (2024). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161.

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2024Unifying Market Microstructure and Dynamic Asset Pricing. (2024). Hu, Yuan ; Rachev, Svetlozar T ; Lauria, Davide ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2304.02356.

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2024Maximally Machine-Learnable Portfolios. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian. In: Papers. RePEc:arx:papers:2306.05568.

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2025Decentralised Finance and Automated Market Making: Execution and Speculation. (2024). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499.

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2024Interpretable ML for High-Frequency Execution. (2024). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863.

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2025Evaluation of Deep Reinforcement Learning Algorithms for Portfolio Optimisation. (2023). Lu, Chung I. In: Papers. RePEc:arx:papers:2307.07694.

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2025Macroscopic Market Making. (2025). Jin, Shijia ; Nam, Kihun ; Guo, Ivan. In: Papers. RePEc:arx:papers:2307.14129.

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2024Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders. (2024). Chava, Sudheer ; Hiray, Arnav ; Shah, Agam. In: Papers. RePEc:arx:papers:2307.16874.

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2025Alpha-GPT: Human-AI Interactive Alpha Mining for Quantitative Investment. (2023). Wang, Saizhuo ; Ni, Lionel M ; Zhou, Leon ; Guo, Jian ; Shum, Heung-Yeung ; Yuan, Hang. In: Papers. RePEc:arx:papers:2308.00016.

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2025Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting. (2025). Kohn, Robert ; Gerlach, Richard ; Tran, Minh-Ngoc ; Liu, Chen ; Wang, Chao. In: Papers. RePEc:arx:papers:2309.02072.

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2025Multi-period static hedging of European options. (2023). Iyer, Srikanth ; Jain, Shashi ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104.

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2024Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2024Price predictability at ultra-high frequency: Entropy-based randomness test. (2024). Marmi, Stefano ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2312.16637.

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2024Cross-Domain Behavioral Credit Modeling: transferability from private to central data. (2024). Didkovskyi, O ; Jean, N ; le Pera, G ; Nordio, C. In: Papers. RePEc:arx:papers:2401.09778.

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2024Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354.

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2025Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?. (2025). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2402.02482.

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2024Mind the Gap: Securely modeling cyber risk based on security deviations from a peer group. (2024). Reynolds, Taylor ; Scheffler, Sarah ; Weitzner, Daniel J ; Wu, Angelina. In: Papers. RePEc:arx:papers:2402.04166.

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2024Selective linear segmentation for detecting relevant parameter changes. (2024). Houndetoungan, Aristide ; Dufays, Arnaud ; Coen, Alain. In: Papers. RePEc:arx:papers:2402.05329.

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2024Coarse graining correlation matrices according to macrostructures: Financial markets as a paradigm. (2024). Majari, Parisa ; Mart, Mija'Il M ; Vyas, Manan ; Pharasi, Hirdesh K ; Cruz-Hern, Andres R. In: Papers. RePEc:arx:papers:2402.05364.

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2024Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows. (2024). Yu, Fenghui ; Lokin, Felix. In: Papers. RePEc:arx:papers:2403.02572.

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2024Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price. (2024). Li, Nan ; Chen, Muzi ; Zheng, Lifen ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2403.19363.

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2024Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. (2024). Wang, Yuhang ; Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2403.19439.

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2025Improved Semi-Parametric Bounds for Tail Probability and Expected Loss: Theory and Applications. (2024). Prokhorov, Artem ; Li, Zhaolin. In: Papers. RePEc:arx:papers:2404.02400.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024The Democratization of Wealth Management: Hedged Mutual Fund Blockchain Protocol. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2405.02302.

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2024Trade execution games in a Markovian environment. (2024). Ohnishi, Masamitsu ; Shimoshimizu, Makoto. In: Papers. RePEc:arx:papers:2405.07184.

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2024Ponzi Funds. (2024). van der Beck, Philippe ; Bouchaud, Jean-Philippe ; Villamaina, Dario. In: Papers. RePEc:arx:papers:2405.12768.

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2024Risk-Neutral Generative Networks. (2024). Xian, Zhonghao ; Yan, Xing ; Wu, QI ; Leung, Cheuk Hang. In: Papers. RePEc:arx:papers:2405.17770.

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2024Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost. (2024). Eisler, Zoltan ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:2405.18936.

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2024Loss-Versus-Fair: Efficiency of Dutch Auctions on Blockchains. (2024). Robinson, Dan ; Moallemi, Ciamac C. In: Papers. RePEc:arx:papers:2406.00113.

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2024Machine Learning Methods for Pricing Financial Derivatives. (2024). Fan, Lei ; Sirignano, Justin. In: Papers. RePEc:arx:papers:2406.00459.

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2024Heterogeneous Beliefs Model of Stock Market Predictability. (2024). Park, Jiho. In: Papers. RePEc:arx:papers:2406.08448.

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2024Computationally Efficient Estimation of Large Probit Models. (2024). Qu, Zhaonan ; Ye, Yinyu ; Ding, Patrick ; Imbens, Guido. In: Papers. RePEc:arx:papers:2407.09371.

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2024The Self-Organized Criticality Paradigm in Economics & Finance. (2024). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2407.10284.

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2024To Trade Or Not To Trade: Cascading Waterfall Round Robin Rebalancing Mechanism for Cryptocurrencies. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2407.12150.

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2025Global Balance and Systemic Risk in Financial Correlation Networks. (2024). Grassi, Rosanna ; Uberti, Pierpaolo ; Bartesaghi, Paolo ; Diaz-Diaz, Fernando. In: Papers. RePEc:arx:papers:2407.14272.

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2024Automated Market Making and Decentralized Finance. (2024). Monga, Marcello. In: Papers. RePEc:arx:papers:2407.16885.

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2025Artificial intelligence and financial crises. (2024). Danielsson, Jon ; Uthemann, Andreas. In: Papers. RePEc:arx:papers:2407.17048.

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2024Hopfield Networks for Asset Allocation. (2024). Gopalan, Monisha ; Staiano, Jacopo ; Nicolini, Carlo ; Lepri, Bruno. In: Papers. RePEc:arx:papers:2407.17645.

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2024Enhancing Black-Scholes Delta Hedging via Deep Learning. (2024). Wan, Xiangwei ; Qiao, Chunhui. In: Papers. RePEc:arx:papers:2407.19367.

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2024Deep Learning for Options Trading: An End-To-End Approach. (2024). Tan, Wee Ling ; Roberts, Stephen ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.21791.

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2024Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players. (2024). Chen, Yufan ; Zhang, Ruixun ; Xu, Renyuan ; Wu, Lan. In: Papers. RePEc:arx:papers:2408.09505.

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2024Causality-Inspired Models for Financial Time Series Forecasting. (2024). Lu, Yutong ; Lin, XI ; Cucuringu, Mihai ; Oliveira, Daniel Cunha ; Fujita, Andre. In: Papers. RePEc:arx:papers:2408.09960.

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2024Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression. (2024). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2408.12210.

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2024MLP, XGBoost, KAN, TDNN, and LSTM-GRU Hybrid RNN with Attention for SPX and NDX European Call Option Pricing. (2024). Beigi, Homayoon ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2409.06724.

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2024A market resilient data-driven approach to option pricing. (2024). Rana, Nimit ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2409.08205.

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2024A Deep Reinforcement Learning Framework For Financial Portfolio Management. (2024). Li, Jinyang. In: Papers. RePEc:arx:papers:2409.08426.

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2024Detecting Structural breakpoints in natural gas and electricity wholesale prices via Bayesian ensemble approach, in the era of energy prices turmoil of 2022 period: the cases of ten European markets. (2024). Gavalakis, George ; Evangelidis, George ; Papaioannou, George P. In: Papers. RePEc:arx:papers:2410.07224.

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2024Reinforcement Learning in Non-Markov Market-Making. (2024). Swishchuk, Anatoliy ; Lalor, Luca. In: Papers. RePEc:arx:papers:2410.14504.

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2025Risk Premia in the Bitcoin Market. (2024). Miftachov, Ratmir ; Grith, Maria ; Almeida, Caio ; Wang, Zijin. In: Papers. RePEc:arx:papers:2410.15195.

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2024Optimal Execution with Reinforcement Learning. (2024). Vittori, Edoardo ; Hafsi, Yadh. In: Papers. RePEc:arx:papers:2411.06389.

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2024A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging. (2024). Wu, YI ; Xiao, BO ; Zhou, Xiang ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2411.09659.

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2025Market Making without Regret. (2024). Pathak, Vinayak ; Foscari, Luigi ; Colomboni, Roberto ; Cesari, Tommaso ; Cesa-Bianchi, Nicolo. In: Papers. RePEc:arx:papers:2411.13993.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2412.05664.

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2024PolyModel for Hedge Funds Portfolio Construction Using Machine Learning. (2024). Zhao, Siqiao ; Wang, Dan ; Douady, Raphael. In: Papers. RePEc:arx:papers:2412.11019.

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2025Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate. (2024). Nevmyvaka, Yuriy ; Xu, Gang ; Tan, Xiaowei ; Gupta, Arkin ; Lin, Jiahe ; Chen, Haoxian ; Lam, Henry ; Capponi, Agostino. In: Papers. RePEc:arx:papers:2412.11257.

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2024The AI Black-Scholes: Finance-Informed Neural Network. (2024). Patel, Raj ; Chi, Cheng ; Li, Xuanze ; Aboussalah, Amine M. In: Papers. RePEc:arx:papers:2412.12213.

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2024Strategic Learning and Trading in Broker-Mediated Markets. (2024). Aqsha, Alif ; Drissi, Fayccal. In: Papers. RePEc:arx:papers:2412.20847.

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2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

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2025A mixture transition distribution approach to portfolio optimization. (2025). Petroni, Filippo ; Galati, Luca ; de Blasis, Riccardo. In: Papers. RePEc:arx:papers:2501.04646.

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2025Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum. (2025). Ferreira, William ; Li, Linze. In: Papers. RePEc:arx:papers:2501.07135.

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2024Assets Forecasting with Feature Engineering and Transformation Methods for LightGBM. (2024). Bisdoulis, Konstantinos-Leonidas. In: Papers. RePEc:arx:papers:2501.07580.

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2025Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making. (2024). Morimoto, Yusuke. In: Papers. RePEc:arx:papers:2501.07581.

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2025Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making. (2025). Swishchuk, Anatoliy ; Lalor, Luca. In: Papers. RePEc:arx:papers:2502.17417.

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2025A Dynamic Model of Private Asset Allocation. (2025). Xu, YU ; Scheidegger, Simon ; Gambarotta, Giovanni ; Chen, Hui. In: Papers. RePEc:arx:papers:2503.01099.

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2025Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework. (2025). Ackermann, Julia ; Kruse, Thomas ; Urusov, Mikhail. In: Papers. RePEc:arx:papers:2503.05594.

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2025FinTSBridge: A New Evaluation Suite for Real-world Financial Prediction with Advanced Time Series Models. (2025). Wang, Yanlong ; Xu, Jian ; Gao, Tiantian ; Zhang, Hongkang ; Huang, Shao-Lun ; Sun, Danny Dongning. In: Papers. RePEc:arx:papers:2503.06928.

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2025Liquidity Competition Between Brokers and an Informed Trader. (2025). Li, ZI ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2503.08287.

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2025From Deep Learning to LLMs: A survey of AI in Quantitative Investment. (2025). Guo, Jian ; Cao, Bokai ; Wang, Saizhuo ; Lin, Xinyi ; Zhang, Haohan ; Wu, Xiaojun ; Ni, Lionel M. In: Papers. RePEc:arx:papers:2503.21422.

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2025The effect of latency on optimal order execution policy. (2025). Smith, Paul ; Saggese, Giacinto Paolo ; Ma, Chutian. In: Papers. RePEc:arx:papers:2504.00846.

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2025Systemic Risk and Default Cascades in Global Equity Markets: Extending the Gai-Kapadia Framework with Stochastic Simulations and Network Analysis. (2025). , Ana. In: Papers. RePEc:arx:papers:2504.01969.

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2025Generative Market Equilibrium Models with Stable Adversarial Learning via Reinforcement. (2025). Zhang, Zhanhao ; Sun, Qiang ; Shi, Xiaofei ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2504.04300.

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2025Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact. (2025). Karbach, Sven ; Chatziandreou, Konstantinos. In: Papers. RePEc:arx:papers:2504.10282.

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2025The Paradox of Professional Input: How Expert Collaboration with AI Systems Shapes Their Future Value. (2025). Balaraman, Krishna Kumar ; Reddy, Venkat Ram. In: Papers. RePEc:arx:papers:2504.12654.

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2025Deep Learning vs. Black-Scholes: Option Pricing Performance on Brazilian Petrobras Stocks. (2025). Gueiros, Joao Felipe ; Chandravamsi, Hemanth ; Frankel, Steven H. In: Papers. RePEc:arx:papers:2504.20088.

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2025Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2505.01921.

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2025Systemic Risk in the European Insurance Sector. (2025). Borri, Nicola ; di Giorgio, Giorgio ; Consiglio, Andrea ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

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2025The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning. (2025). Wu, Yuhan ; Li, YU ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2505.07537.

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2025Predicting Financial Market Crises using Multilayer Network Analysis and LSTM-based Forecasting of Spillover Effects. (2025). Sefidi, Mahdi Kohan. In: Papers. RePEc:arx:papers:2505.11019.

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2025A Set-Sequence Model for Time Series. (2025). Giesecke, Kay ; Sadhwani, Apaar ; Epstein, Elliot L. In: Papers. RePEc:arx:papers:2505.11243.

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2025Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe). (2025). Cornell, Cameron ; Roughan, Matthew ; Mitchell, Lewis. In: Papers. RePEc:arx:papers:2505.12806.

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2025Characterizing asymmetric and bimodal long-term financial return distributions through quantum walks. (2025). Schoors, Koen ; Ryckebusch, Jan ; de Backer, Stijn. In: Papers. RePEc:arx:papers:2505.13019.

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2025Shortermism and excessive risk taking in optimal execution with a target performance. (2025). Lan, Yuheng ; Barucci, Emilio. In: Papers. RePEc:arx:papers:2505.15611.

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2025Comparative analysis of financial data differentiation techniques using LSTM neural network. (2025). Gajda, Janusz ; Stempie, Dominik. In: Papers. RePEc:arx:papers:2505.19243.

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2025Hybrid Models for Financial Forecasting: Combining Econometric, Machine Learning, and Deep Learning Models. (2025). Ślepaczuk, Robert ; Stempie, Dominik. In: Papers. RePEc:arx:papers:2505.19617.

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

Andrew W. Lo has edited the books:

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Works by Andrew W. Lo:

YearTitleTypeCited
2012Privacy-Preserving Methods for Sharing Financial Risk Exposures In: American Economic Review.
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2011Privacy-Preserving Methods for Sharing Financial Risk Exposures.(2011) In: Papers.
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This paper has nother version. Agregated cites: 10		paper
2013Can Financial Engineering Cure Cancer? In: American Economic Review.
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2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review.
[Full Text][Citation analysis]		article90
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 90		paper
2012Reading about the Financial Crisis: A Twenty-One-Book Review In: Journal of Economic Literature.
[Full Text][Citation analysis]		article70
2013Moores Law versus Murphys Law: Algorithmic Trading and Its Discontents In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article45
2020Robert C. Merton: The First Financial Engineer In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article1
2020Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article16
2009Preface to the Annual Review of Financial Economics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article2
2012A Survey of Systemic Risk Analytics In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article469
2012A Survey of Systemic Risk Analytics.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 469		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]		article29
2015Hedge Funds: A Dynamic Industry In Transition.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 29		paper
2009A Computational View of Market Efficiency In: Papers.
[Full Text][Citation analysis]		paper7
2011A computational view of market efficiency.(2011) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 7		article
2010Is It Real, or Is It Randomized?: A Financial Turing Test In: Papers.
[Full Text][Citation analysis]		paper1
2010WARNING: Physics Envy May Be Hazardous To Your Wealth! In: Papers.
[Full Text][Citation analysis]		paper26
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]		article255
1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks.(1994) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 255		paper
1995 Implementing Option Pricing Models When Asset Returns Are Predictable. In: Journal of Finance.
[Full Text][Citation analysis]		article80
1993Implementing option pricing models when asset returns are predictable.(1993) In: Working papers.
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1994Implementing Option Pricing Models When Asset Returns Are Predictable.(1994) In: NBER Working Papers.
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2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation In: Journal of Finance.
[Full Text][Citation analysis]		article342
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.
[Full Text][Citation analysis]		article51
2001Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model.(2001) In: NBER Working Papers.
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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]		article147
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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This paper has nother version. Agregated cites: 147		paper
1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.(1986) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 147		paper
1997MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article45
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.
[Full Text][Citation analysis]		article72
1991Long-Term Memory in Stock Market Prices. In: Econometrica.
[Full Text][Citation analysis]		article828
1989Long-term memory in stock market prices.(1989) In: Working papers.
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This paper has nother version. Agregated cites: 828		paper
1989Long-term Memory in Stock Market Prices.(1989) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 828		paper
1985A large-sample chow test for the linear simultaneous equation In: Economics Letters.
[Full Text][Citation analysis]		article7
2019Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
2015Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 9		paper
1986Logit versus discriminant analysis : A specification test and application to corporate bankruptcies In: Journal of Econometrics.
[Full Text][Citation analysis]		article72
1989The size and power of the variance ratio test in finite samples : A Monte Carlo investigation In: Journal of Econometrics.
[Full Text][Citation analysis]		article297
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 nother version. Agregated cites: 297		paper
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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This paper has nother version. Agregated cites: 297		paper
1990An econometric analysis of nonsynchronous trading In: Journal of Econometrics.
[Full Text][Citation analysis]		article319
1989An Econometric Analysis of Nonsyschronous-Trading.(1989) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has nother version. Agregated cites: 319		paper
1989An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 319		paper
2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
[Full Text][Citation analysis]		article395
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 395		paper
2012Robust ranking and portfolio optimization In: European Journal of Operational Research.
[Full Text][Citation analysis]		article10
2011What happened to the quants in August 2007? Evidence from factors and transactions data In: Journal of Financial Markets.
[Full Text][Citation analysis]		article121
2008What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data.(2008) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 121		paper
2014When do stop-loss rules stop losses? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article21
2008When Do Stop-Loss Rules Stop Losses?.(2008) In: SIFR Research Report Series.
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This paper has nother version. Agregated cites: 21		paper
1998Optimal control of execution costs In: Journal of Financial Markets.
[Full Text][Citation analysis]		article372
2010Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article165
2016Risk and risk management in the credit card industry In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article59
2015Risk and Risk Management in the Credit Card Industry.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 59		paper
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1353
2010Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Chapters.
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This paper has nother version. Agregated cites: 1353		chapter
2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 1353		paper
2013Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics.
[Full Text][Citation analysis]		article56
2010Systemic Risk and the Refinancing Ratchet Effect.(2010) In: Harvard Business School Working Papers.
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This paper has nother version. Agregated cites: 56		paper
2009Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 56		paper
2013Can hedge funds time market liquidity? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article108
2021Spectral factor models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article21
1986Statistical tests of contingent-claims asset-pricing models : A new methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article16
1987Semi-parametric upper bounds for option prices and expected payoffs In: Journal of Financial Economics.
[Full Text][Citation analysis]		article46
1992An ordered probit analysis of transaction stock prices In: Journal of Financial Economics.
[Full Text][Citation analysis]		article225
1991An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 225		paper
1990An ordered probit analysis of transaction stock prices.(1990) In: Working papers.
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This paper has nother version. Agregated cites: 225		paper
1991An Ordered Probit Analysis of Transaction Stock Prices.(1991) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 225		paper
2000When is time continuous? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article49
2001WHEN IS TIME CONTINUOUS?.(2001) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 49		chapter
2002Econometric models of limit-order executions In: Journal of Financial Economics.
[Full Text][Citation analysis]		article88
1999Econometric Models of Limit-Order Executions..(1999) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 88		paper
1997Econometric Models of Limit-Order Executions.(1997) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 88		paper
2004An econometric model of serial correlation and illiquidity in hedge fund returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article344
2003An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns.(2003) In: Working papers.
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This paper has nother version. Agregated cites: 344		paper
2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns.(2003) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 344		paper
2009Regulatory reform in the wake of the financial crisis of 2007‐2008 In: Journal of Financial Economic Policy.
[Full Text][Citation analysis]		article14
2001The sources and nature of long-term memory in aggregate output In: Economic Review.
[Full Text][Citation analysis]		article26
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 nother 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 nother version. Agregated cites: 22		paper
1989The Sources and Nature of Long-term Memory in the Business Cycle.(1989) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 22		paper
2014Hedge fund holdings and stock market efficiency In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper16
2018Hedge Fund Holdings and Stock Market Efficiency.(2018) In: The Review of Asset Pricing Studies.
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This paper has nother version. Agregated cites: 16		article
2016The Gordon Gekko effect: the role of culture in the financial industry In: Economic Policy Review.
[Full Text][Citation analysis]		article12
2015The Gordon Gekko Effect: The Role of Culture in the Financial Industry.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 12		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 nother 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 nother 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 nother 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]		paper5
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]		paper11
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]		article8
2008Impossible Frontiers.(2008) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 8		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]		article3
2001Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach In: Operations Research.
[Full Text][Citation analysis]		article33
2021Can Financial Economics Cure Cancer? In: Atlantic Economic Journal.
[Full Text][Citation analysis]		article2
2018The growth of relative wealth and the Kelly criterion In: Journal of Bioeconomics.
[Full Text][Citation analysis]		article11
1989When are contrarian profits due to stock market overreaction? In: Working papers.
[Full Text][Citation analysis]		paper663
1989When are Contrarian Profits Due to Stock Market Overreaction?.(1989) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 663		paper
1990When Are Contrarian Profits Due to Stock Market Overreaction?.(1990) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 663		article
1989Data-snooping biases in tests of financial asset pricing models In: Working papers.
[Full Text][Citation analysis]		paper479
1989Data-Snooping Biases in Tests of Financial Asset Pricing Models.(1989) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 479		paper
1990Data-Snooping Biases in Tests of Financial Asset Pricing Models..(1990) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 479		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]		article3
2022Hamilton’s rule in economic decision-making In: Proceedings of the National Academy of Sciences.
[Full Text][Citation analysis]		article2
2013Quantifying Systemic Risk In: NBER Books.
[Citation analysis]		book20
1996The Industrial Organization and Regulation of the Securities Industry In: NBER Books.
[Citation analysis]		book18
2012Introduction to Quantifying Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]		chapter5
2022Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery In: NBER Chapters.
[Full Text][Citation analysis]		chapter3
2022Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery.(2022) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 3		paper
1996Introduction to The Industrial Organization and Regulation of the Securities Industry In: NBER Chapters.
[Full Text][Citation analysis]		chapter2
2007Systemic Risk and Hedge Funds In: NBER Chapters.
[Full Text][Citation analysis]		chapter64
2005Systemic Risk and Hedge Funds.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 64		paper
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Working Papers.
[Full Text][Citation analysis]		paper82
2015Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test In: NBER Working Papers.
[Full Text][Citation analysis]		paper1519
1988Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test.(1988) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 1519		article
2017Sharing R&D Risk in Healthcare via FDA Hedges In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
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]		paper1
2020Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2020Financing Vaccines for Global Health Security In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2020A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2021Estimating the Financial Impact of Gene Therapy in the U.S. In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2021Paying off the Competition: Contracting, Market Power, and Innovation Incentives In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
2022Financial Intermediation and the Funding of Biomedical Innovation: A Review In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2025The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper56
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers.
[Citation analysis]
This paper has nother version. Agregated cites: 56		paper
1997Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory In: NBER Working Papers.
[Full Text][Citation analysis]		paper261
2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory..(2000) In: The Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 261		article
2001Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers.
[Full Text][Citation analysis]		paper137
2004Asset Prices and Trading Volume under Fixed Transactions Costs.(2004) In: Journal of Political Economy.
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This paper has nother version. Agregated cites: 137		article
2009Asset Prices and Trading Volume Under Fixed Transactions Costs.(2009) In: Yale School of Management Working Papers.
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This paper has nother version. Agregated cites: 137		paper
2009Asset Prices and Trading Volume Under Fixed Transactions Costs.(2009) In: Yale School of Management Working Papers.
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This paper has nother version. Agregated cites: 137		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]		article5
2012An Evolutionary Model of Bounded Rationality and Intelligence In: PLOS ONE.
[Full Text][Citation analysis]		article8
2021To maximize or randomize? An experimental study of probability matching in financial decision making In: PLOS ONE.
[Full Text][Citation analysis]		article2
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2010Hedge Funds: An Analytic Perspective Updated Edition In: Economics Books.
[Citation analysis]		book6
1999Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]		paper2
2022Identifying and Mitigating Potential Biases in Predicting Drug Approvals In: Drug Safety.
[Full Text][Citation analysis]		article0
2001Asset allocation and derivatives In: Quantitative Finance.
[Full Text][Citation analysis]		article28
2003Innovation at MIT In: Quantitative Finance.
[Full Text][Citation analysis]		article1
1999Frontiers of Finance: Evolution and Efficient Markets In: Working Papers.
[Citation analysis]		paper43
2011The Origin of Behavior In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article24
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]		article14
2018Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article3
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]		paper1

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