Publications

The FTSE StableRisk Indices

2011
Chafkin, Jeremiah H., Andrew W. Lo, and Robert W. Sinnott (2011), The FTSE StableRisk Indices, Journal of Index Investing 2 (2), 12–35.

Managing Real-Time Risks and Returns: The Thomson Reuters NewsScope Event Indices

2011
Healy, Alexander D., and Andrew W. Lo (2011), Managing Real-Time Risks and Returns: The Thomson Reuters NewsScope Event Indices, In The Handbook of News Analytics in Finance, edited by Gautam Mitra and Leela Mitra, 73–108.

A Computational View of Market Efficiency

2011
Hasanhodzic, Jasmina, Andrew W. Lo, and Emanuele Viola (2011), A Computational View of Market Efficiency, Quantitative Finance 11 (7), 1043–1050.

The National Transportation Safety Board A Model for Systemic Risk Management

2011
Fielding, Eric, Andrew W. Lo, and Jian Helen Yang (2011), The National Transportation Safety Board: A Model for Systemic Risk Management, Journal of Investment Management 9 (1), 17–49.

What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

2011
Khandani, Amir E., and Andrew W. Lo (2011), What Happened to the Quants in August 2007? Evidence from Factors and Transactions Data, Journal of Financial Markets 14 (1), 1–46.

The Origin of Behavior

2011
Brennan, Thomas J., and Andrew W. Lo (2011), The Origin of Behavior, Quarterly Journal of Finance 1 (1), 55–108.

Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios

2011
Khandani, Amir E., and Andrew W. Lo (2011), Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios, Quarterly Journal of Finance 1 (2), 205–264.

Securities Trading of Concepts (STOC)

2011
Dahan, Ely, Adlar J. Kim, Andrew W. Lo, Tomaso Poggio, and Nicholas Chan (2011), Securities Trading of Concepts (STOC), Journal of Marketing Research 48 (3), 497–517.

Complexity, Concentration and Contagion: A Comment

2011
Lo, Andrew W. (2011), Complexity, Concentration and Contagion: A Comment, Journal of Monetary Economics 58 (5), 471–479.

Hedge Funds: An Analytic Perspective

2010 Revised Edition
Lo, Andrew W. (2008), Hedge Funds: An Analytic Perspective, Princeton University Press (revised and expanded edition, 2010).

The Evolution of Technical Analysis

2010
Lo, Andrew W., and Jasmina Hasanhodzic (2010), The Evolution of Technical Analysis: Financial Prediction from Babylonian Tables to Bloomberg Terminals, John Wiley & Sons.

Stock Market Trading Volume

2010
Lo, Andrew W., and Jiang Wang (2010), Stock Market Trading Volume, In Handbook of Financial Econometrics, Volume 2, edited by Yacine Äit-Sahalia and Lars Peter Hansen, 241–337.

The Financial Industry Needs its Own Crash Safety Board

2010
Lo, Andrew W. (2010), The Financial Industry Needs Its Own Crash Safety Board, Financial Times, March 2.

Lo: The Best Econ Book I’ve Read Recently

2010
Lo, Andrew W. (2010), Lo: The Best Econ Book I’ve Read Recently, PBS Newshour Blog, March 11.

WARNING: Physics Envy May Be Hazardous To Your Wealth

2010
Lo, Andrew W., and Mark T. Mueller (2010), WARNING: Physics Envy May Be Hazardous to Your Wealth!, Journal of Investment Management 8 (2), 13–63.