Andrew W. Lo : Citation Profile

Massachusetts Institute of Technology (MIT)

37

H index

63

i10 index

10214

Citations

RESEARCH PRODUCTION:

71

Articles

92

Papers

3

Books

10

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   38 years (1984 - 2022). See details.
   Cites by year: 268
   Journals where Andrew W. Lo has often published
   Relations with other researchers
   Recent citing documents: 421.    Total self citations: 64 (0.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo171
   Updated: 2025-04-19    RAS profile: 2022-06-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Thakor, Richard (2)

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

Is cited by:

Gil-Alana, Luis (70)

Darné, Olivier (43)

Härdle, Wolfgang (41)

Tabak, Benjamin (41)

Kim, Jae (40)

Wong, Wing-Keung (38)

Caporale, Guglielmo Maria (36)

LINTON, OLIVER (36)

Giudici, Paolo (35)

Billio, Monica (33)

Bollerslev, Tim (31)

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)

Scholes, Myron (18)

Farmer, J. (18)

Jarrow, Robert (18)

Main data

Production by document typebookarticlechapterpaper19841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202201020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022050100150200Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250250500750Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120220k1k2kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 37Most cited documents1234567891011121314151617181920212223242526272829303132333435363738390k1k2kNumber of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250402040h-index Highcharts.comExport to raster or vector imagePrint the chart

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
Quantitative Finance3
Quarterly Journal of Finance (QJF)3
Journal of Financial Markets3
American Economic Review3
PLOS ONE3
Macroeconomic Dynamics2
Journal of Banking & Finance2
Proceedings of the National Academy of Sciences2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc41
Papers / arXiv.org4
Computing in Economics and Finance 1999 / Society for Computational Economics2

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

Year  ↓Title of citing document  ↓
2025.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

Full description at Econpapers || Download paper

2025Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

Full description at Econpapers || Download paper

2025Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025DeepVol: 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Who should buy structured investment products and why?. (2024). Pedio, Manuela ; Leonetti, Giacomo ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24222.

Full description at Econpapers || Download paper

2024Decomposing systemic risk measures by bank business model in Luxembourg. (2024). Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp182.

Full description at Econpapers || Download paper

2024Financial risk under the shock of global warming: Evidence from China. (2024). Hao, YU ; Li, Lianqing ; Gao, Zhiyuan. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:2:p:335-351.

Full description at Econpapers || Download paper

2024New evidence on crude oil market efficiency. (2024). Lee, Yoonjin ; Hu, Liang. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:892-916.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets. (2024). Mateus, Irina ; Bagirov, Miramir. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:1:p:83-103.

Full description at Econpapers || Download paper

2024On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis. (2024). USMAN, OJONUGWA ; Ağan, Büşra ; Agan, Busra ; Balcilar, Mehmet. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:97-136.

Full description at Econpapers || Download paper

2024What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665.

Full description at Econpapers || Download paper

2024Information Aggregation with Asymmetric Asset Payoffs. (2024). Hellwig, Christian ; Tsyvinski, Aleh ; Albagli, Elias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2715-2758.

Full description at Econpapers || Download paper

2024Machine Learning techniques in joint default assessment. (2024). Semeraro, Patrizia ; Luciano, Elisa ; Fadda, Edoardo. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:723.

Full description at Econpapers || Download paper

2024Social capital, CSR, and stock markets around the world. (2024). Na, Haejung ; Kim, Soonho. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00354.

Full description at Econpapers || Download paper

2024Emotional spillovers in the cryptocurrency market. (2024). Tang, Yayan ; Bouri, Elie ; Hasan, Mudassar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000928.

Full description at Econpapers || Download paper

2024Short-term market reactions to ESG ratings disclosures: An event study in the Chinese stock market. (2024). Gao, Xiang ; Koedijk, Kees G ; Kang, Jingwen ; Chen, Zhang-Hangjian ; Gu, Zhenhua. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s221463502400090x.

Full description at Econpapers || Download paper

2024Time inhomogeneous multivariate Markov chains: Detecting and testing multiple structural breaks occurring at unknown dates. (2024). Nicolau, Joo ; Damasio, Bruno. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000298.

Full description at Econpapers || Download paper

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

Andrew W. Lo has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Andrew W. Lo:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		article12
2005Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review.
[Full Text][Citation analysis]		article87
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: 87		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]		article11
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]		article452
2012A Survey of Systemic Risk Analytics.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 452		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]		article27
2015Hedge Funds: A Dynamic Industry In Transition.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2009A Computational View of Market Efficiency In: Papers.
[Full Text][Citation analysis]		paper7
2011A computational view of market efficiency.(2011) In: Quantitative Finance.
[Full Text][Citation analysis]
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]		article243
1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 243		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]
This paper has nother version. Agregated cites: 79		paper
1994Implementing Option Pricing Models When Asset Returns Are Predictable.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
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]		article337
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: 337		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: 337		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]		article146
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: 146		paper
1986Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.(1986) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 146		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
1995Maximizing Predictability in the Stock and Bond Markets.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
1998THE ECONOMETRICS OF FINANCIAL MARKETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article65
1991Long-Term Memory in Stock Market Prices. In: Econometrica.
[Full Text][Citation analysis]		article810
1989Long-term memory in stock market prices.(1989) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 810		paper
1989Long-term Memory in Stock Market Prices.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 810		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.
[Full Text][Citation analysis]
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]		article70
1989The size and power of the variance ratio test in finite samples : A Monte Carlo investigation In: Journal of Econometrics.
[Full Text][Citation analysis]		article293
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: 293		paper
1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.(1988) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 293		paper
1990An econometric analysis of nonsynchronous trading In: Journal of Econometrics.
[Full Text][Citation analysis]		article314
1989An Econometric Analysis of Nonsyschronous-Trading.(1989) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 314		paper
1989An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 314		paper
2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
[Full Text][Citation analysis]		article389
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 389		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]		article118
2008What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 118		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
1998Optimal control of execution costs In: Journal of Financial Markets.
[Full Text][Citation analysis]		article364
2010Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article156
2016Risk and risk management in the credit card industry In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article58
2015Risk and Risk Management in the Credit Card Industry.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		paper
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1255
2010Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Chapters.
[Citation analysis]
This paper has nother version. Agregated cites: 1255		chapter
2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1255		paper
2013Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics.
[Full Text][Citation analysis]		article54
2010Systemic Risk and the Refinancing Ratchet Effect.(2010) In: Harvard Business School Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		paper
2009Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		paper
2013Can hedge funds time market liquidity? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article104
2021Spectral factor models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article16
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]		article224
1991An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 224		paper
1990An ordered probit analysis of transaction stock prices.(1990) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 224		paper
1991An Ordered Probit Analysis of Transaction Stock Prices.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 224		paper
2000When is time continuous? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article47
2001WHEN IS TIME CONTINUOUS?.(2001) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		chapter
2002Econometric models of limit-order executions In: Journal of Financial Economics.
[Full Text][Citation analysis]		article85
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: 85		paper
1997Econometric Models of Limit-Order Executions.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85		paper
2004An econometric model of serial correlation and illiquidity in hedge fund returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article340
2003An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns.(2003) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 340		paper
2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 340		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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		article7
2008Impossible Frontiers.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		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]		article31
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]		article10
1989When are contrarian profits due to stock market overreaction? In: Working papers.
[Full Text][Citation analysis]		paper655
1989When are Contrarian Profits Due to Stock Market Overreaction?.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 655		paper
1990When Are Contrarian Profits Due to Stock Market Overreaction?.(1990) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 655		article
1989Data-snooping biases in tests of financial asset pricing models In: Working papers.
[Full Text][Citation analysis]		paper476
1989Data-Snooping Biases in Tests of Financial Asset Pricing Models.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 476		paper
1990Data-Snooping Biases in Tests of Financial Asset Pricing Models..(1990) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 476		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]		book19
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.
[Full Text][Citation analysis]
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]		chapter62
2005Systemic Risk and Hedge Funds.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		paper
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Working Papers.
[Full Text][Citation analysis]		paper81
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]		paper1491
1988Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test.(1988) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1491		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
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]		paper258
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: 258		article
2001Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers.
[Full Text][Citation analysis]		paper134
2004Asset Prices and Trading Volume under Fixed Transactions Costs.(2004) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 134		article
2009Asset Prices and Trading Volume Under Fixed Transactions Costs.(2009) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 134		paper
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 134		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]		article22
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team