Andrew W. Lo : Citation Profile

Are you Andrew W. Lo?

Massachusetts Institute of Technology (MIT)

37

H index

60

i10 index

10011

Citations

RESEARCH PRODUCTION:

71

Articles

91

Papers

3

Books

10

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   38 years (1984 - 2022). See details.
   Cites by year: 263
   Journals where Andrew W. Lo has often published
   Relations with other researchers
   Recent citing documents: 677.    Total self citations: 64 (0.64 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo171
   Updated: 2024-12-03    RAS profile: 2022-06-07    
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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)

Caporale, Guglielmo Maria (36)

Giudici, Paolo (35)

Billio, Monica (33)

faff, robert (30)

Bollerslev, Tim (30)

Cites to:

merton, robert (45)

Duffie, Darrell (28)

Campbell, John (24)

Stulz, René (22)

Grossman, Sanford (21)

Fama, Eugene (21)

Brennan, Michael (20)

Longstaff, Francis (20)

Farmer, J. (18)

Scholes, Myron (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
Journal of Finance4
The Review of Financial Studies4
American Economic Review3
PLOS ONE3
Journal of Financial Markets3
Quantitative Finance3
Quarterly Journal of Finance (QJF)3
Macroeconomic Dynamics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc40
Papers / arXiv.org4
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Andrew W. Lo (2024 and 2023)

YearTitle of citing document
2023A Technical Indicator for a Short-term Trading Decision in the NASDAQ Market. (2023). Khalaf, Oshamah Ibrahim ; Bouasabah, Mohammed. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:1-13.

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2023.

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2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023The Effects of New Equity Announcements on Stock Returns: An Examination on BIST. (2023). Ergun, Bahadir ; Unal, Cumali. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:8:y:2023:i:2:p:224-243.

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2023EFFECTS OF INDEX ADDITIONS ON STOCK PRICE INFORMATIVENESS. (2023). Gavrilova, Daria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:gavrilovad.

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2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2023Optimal liquidation under indirect price impact with propagator. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023012.

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2023On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731.

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2023Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2023Trading with the Crowd. (2021). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2106.09267.

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2023A C\`adl\`ag Rough Path Foundation for Robust Finance. (2021). Promel, David J ; Liu, Chong ; Allan, Andrew L. In: Papers. RePEc:arx:papers:2109.04225.

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2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2023Numeraire-invariant quadratic hedging and mean--variance portfolio allocation. (2021). Kallsen, Jan ; Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2110.09416.

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2023Evolutionary Foundation for Heterogeneity in Risk Aversion. (2021). Nehama, Ilan ; Heller, Yuval. In: Papers. RePEc:arx:papers:2110.11245.

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2023Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models. (2021). Hu, Dongdong ; He, Kai ; Abudurexiti, Nuerxiati ; Sun, Ruoyu ; Sayit, Hasanjan ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2111.04311.

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2023Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365.

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2023Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478.

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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2023Robust Distortion Risk Measures. (2022). Vanduffel, Steven ; Pesenti, Silvana M ; Bernard, Carole. In: Papers. RePEc:arx:papers:2205.08850.

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2023Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423.

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2023$\Delta-$CoES. (2022). Leeuwenkamp, Aleksy. In: Papers. RePEc:arx:papers:2206.02582.

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2024Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2024Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2023). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2024Valuing Pharmaceutical Drug Innovations: An Event Study Approach. (2022). Khmelnitskaya, Ekaterina ; Farmer, Leland E ; Ciliberto, Federico ; Aryal, Gaurab. In: Papers. RePEc:arx:papers:2212.07384.

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2023Deep Reinforcement Learning for Gas Trading. (2023). Michler, Christian ; Granger, Nikita P ; Cy, Alexander ; Miao, Yinsen ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2301.08359.

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2023PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets. (2023). An, BO ; Wang, Xinrun ; Qin, Molei ; Sun, Shuo. In: Papers. RePEc:arx:papers:2302.00586.

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2023Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Financial Distress Prediction For Small And Medium Enterprises Using Machine Learning Techniques. (2023). Zhou, Jietong ; Jiang, Biao ; Gao, Yuan. In: Papers. RePEc:arx:papers:2302.12118.

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2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

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2024The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2024Nash equilibria for relative investors with (non)linear price impact. (2023). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161.

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2023Company Competition Graph. (2023). Dai, Rui ; Li, Xinyi ; Zhang, Cien ; Huang, Jiawei ; Mao, Haitao ; Lu, Yutong. In: Papers. RePEc:arx:papers:2304.00323.

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2024Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356.

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2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762.

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2023NYSE Price Correlations Are Abitrageable Over Hours and Predictable Over Years. (2023). Press, William H. In: Papers. RePEc:arx:papers:2305.08241.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Efficient Learning of Nested Deep Hedging using Multiple Options. (2023). Shimada, Takuya ; Minami, Kentaro ; Imajo, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2305.12264.

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2023Exponential Utility Maximization in a Discrete Time Gaussian Framework. (2023). Zuk, OR ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:2305.18136.

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2023Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers. (2023). Zohren, Stefan ; Moreno-Pino, Fernando ; Cartea, Alvaro ; Arroyo, Alvaro. In: Papers. RePEc:arx:papers:2306.05479.

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2024Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2023A multi-agent targeted trading equilibrium with transaction costs. (2023). Weston, Kim ; Duraj, Jetlir ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2306.08519.

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2023Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network. (2023). Mulvey, John M ; Li, Xiaoyue. In: Papers. RePEc:arx:papers:2306.08809.

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2023On some semi-parametric estimates for European option prices. (2023). Marinelli, Carlo. In: Papers. RePEc:arx:papers:2306.10929.

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2023Optimal Execution Using Reinforcement Learning. (2023). Yang, Can ; He, Jiafa ; Zheng, Cong. In: Papers. RePEc:arx:papers:2306.17178.

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2024Decentralised Finance and Automated Market Making: Execution and Speculation. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499.

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2024Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863.

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2023Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719.

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2023Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024.

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

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2023An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution. (2023). Hong, Youngjoon ; Sul, Hong Kee ; Kim, Jimyeong. In: Papers. RePEc:arx:papers:2307.10649.

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2024Macroscopic Market Making. (2023). Nam, Kihun ; Jin, Shijia ; Guo, Ivan. In: Papers. RePEc:arx:papers:2307.14129.

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2024Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders. (2023). Chava, Sudheer ; Shah, Agam ; Hiray, Arnav. In: Papers. RePEc:arx:papers:2307.16874.

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

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Portfolio Selection via Topological Data Analysis. (2023). Zaytsev, Alexey ; Makhneva, Elizaveta ; Kuznetsov, Kristian ; Sokerin, Petr. In: Papers. RePEc:arx:papers:2308.07944.

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2023Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks. (2023). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2308.15769.

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2024DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072.

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2023On statistical arbitrage under a conditional factor model of equity returns. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2309.02205.

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2023Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047.

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

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2023Market Crowds Trading Behaviors, Agreement Prices, and the Implications of Trading Volume. (2023). Piao, Yan ; Wang, Yiwen ; Han, Liyan ; Zhu, Yingzi ; Shi, Leilei. In: Papers. RePEc:arx:papers:2310.05322.

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2023American Option Pricing using Self-Attention GRU and Shapley Value Interpretation. (2023). Shen, Yanhui. In: Papers. RePEc:arx:papers:2310.12500.

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2023Stock Market Directional Bias Prediction Using ML Algorithms. (2023). Chipwanya, Ryan. In: Papers. RePEc:arx:papers:2310.16855.

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2023Maximizing Portfolio Predictability with Machine Learning. (2023). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2311.01985.

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2024Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2023DeFi Security: Turning The Weakest Link Into The Strongest Attraction. (2023). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2312.00033.

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2023A General Framework for Portfolio Construction Based on Generative Models of Asset Returns. (2023). Chen, Kan ; Cheng, Tuoyuan. In: Papers. RePEc:arx:papers:2312.03294.

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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). Wu, Boyao ; Huang, Difang ; Zheng, Lifen ; Li, Nan ; Chen, Muzi. 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). Huang, Difang ; Wu, Boyao ; Wang, Yuhang ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19439.

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2024On Improved Semi-parametric Bounds for Tail Probability and Expected Loss. (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). Shimoshimizu, Makoto ; Ohnishi, Masamitsu. In: Papers. RePEc:arx:papers:2405.07184.

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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]		article10
2011Privacy-Preserving Methods for Sharing Financial Risk Exposures.(2011) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2013Can Financial Engineering Cure Cancer? In: American Economic Review.
[Full Text][Citation analysis]		article9
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review.
[Full Text][Citation analysis]		article85
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85		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]		article41
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]		article11
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]		article446
2012A Survey of Systemic Risk Analytics.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 446		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]		article24
2015Hedge Funds: A Dynamic Industry In Transition.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		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]		paper25
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]		article238
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: 238		paper
1995 Implementing Option Pricing Models When Asset Returns Are Predictable. In: Journal of Finance.
[Full Text][Citation analysis]		article79
1993Implementing option pricing models when asset returns are predictable.(1993) In: Working papers.
[Full Text][Citation analysis]
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1994Implementing Option Pricing Models When Asset Returns Are Predictable.(1994) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 79		paper
2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation In: Journal of Finance.
[Full Text][Citation analysis]		article334
2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 334		paper
1999Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.(1999) In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 334		paper
2006Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model In: Journal of Finance.
[Full Text][Citation analysis]		article48
2001Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		paper
2019The Visible Hand In: Accounting, Economics, and Law: A Convivium.
[Full Text][Citation analysis]		article0
1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data In: Econometric Theory.
[Full Text][Citation analysis]		article144
1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.(1986) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 144		paper
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.
[Full Text][Citation analysis]		article42
1992Maximizing predictability in the stock and bond markets.(1992) In: Working papers.
[Full Text][Citation analysis]
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1995Maximizing Predictability in the Stock and Bond Markets.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
1998THE ECONOMETRICS OF FINANCIAL MARKETS In: Macroeconomic Dynamics.
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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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2001Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach In: Operations Research.
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1990When Are Contrarian Profits Due to Stock Market Overreaction?.(1990) In: The 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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2007Systemic Risk and Hedge Funds In: NBER Chapters.
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2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors 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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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: The Review of Financial Studies.
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1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 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: The Review of Financial Studies.
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2004Asset Prices and Trading Volume under Fixed Transactions Costs.(2004) In: Journal of Political Economy.
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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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2003Innovation at MIT In: Quantitative Finance.
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2011The Origin of Behavior In: Quarterly Journal of Finance (QJF).
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2011Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios In: Quarterly Journal of Finance (QJF).
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2018Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments In: Quarterly Journal of Finance (QJF).
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2005SIFTING THROUGH THE WRECKAGE: LESSONS FROM RECENT HEDGE-FUND LIQUIDATIONS In: World Scientific Book Chapters.
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