Access Statistics for Andrew W. Lo

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Computational View of Market Efficiency 0 0 1 104 2 3 14 357
A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage 0 0 0 1 1 1 6 187
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks 1 1 3 155 4 5 23 486
A Residuals-Based Wald Test for the Linear Simultaneous Equation 0 0 0 0 0 0 6 285
A Residuals-Based Wald Test for the Linear Simultaneous Equation 0 0 0 0 1 1 3 146
A Simple Specification Test of the Random Walk Hypothesis 0 0 0 2 2 4 23 950
An Econometric Analysis of Nonsynchronous Trading 1 1 3 351 4 5 22 807
An Econometric Analysis of Nonsyschronous-Trading 0 0 0 0 2 2 13 217
An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns 0 0 2 163 0 3 22 549
An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns 0 0 2 523 1 3 19 1,449
An Ordered Probit Analysis of Transaction Stock Prices 0 0 0 0 1 5 26 861
An Ordered Probit Analysis of Transaction Stock Prices 0 1 5 534 1 4 22 1,719
An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029) 0 0 0 0 0 0 16 509
An ordered probit analysis of transaction stock prices 0 0 0 142 1 4 14 395
Asset Prices and Trading Volume Under Fixed Transactions Costs 0 0 2 67 1 3 20 289
Asset Prices and Trading Volume Under Fixed Transactions Costs 1 1 4 142 1 6 24 620
Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics during Epidemic Outbreaks 0 5 5 5 2 9 14 14
Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry 0 1 6 58 2 4 28 151
Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) 0 0 0 1 0 1 5 316
Data-Snooping Biases in Tests of Financial Asset Pricing Models 0 0 2 137 0 7 29 476
Data-snooping biases in tests of financial asset pricing models 0 0 1 85 1 4 16 274
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors 0 2 21 346 1 11 61 765
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors 0 1 14 362 2 12 48 880
Econometric Models of Limit-Order Executions 0 1 2 159 3 4 12 712
Econometric Models of Limit-Order Executions 1 1 3 390 1 3 21 1,208
Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs 0 7 7 7 1 12 16 16
Fear and Greed in Financial Markets: A Clinical Study of Day-Traders 0 0 4 286 2 5 25 1,290
Financing Vaccines for Global Health Security 0 11 12 12 4 13 16 16
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation 0 0 0 1,309 4 10 23 2,266
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation 1 2 10 1,789 8 15 69 3,823
Frontiers of Finance: Evolution and Efficient Markets 0 0 0 521 0 1 22 1,605
Games of Survival in the Newspaper Industry 0 0 0 0 0 2 6 227
Hedge Funds: A Dynamic Industry In Transition 0 1 4 68 2 6 43 156
Hedge fund holdings and stock market efficiency 0 0 3 59 2 6 28 158
Implementing Option Pricing Models When Asset Returns Are Predictable 0 0 2 456 1 4 20 1,465
Implementing option pricing models when asset returns are predictable 0 0 0 80 1 2 7 214
Impossible Frontiers 0 0 1 60 4 5 20 271
Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders 1 1 1 232 1 5 12 865
Is It Real, or Is It Randomized?: A Financial Turing Test 0 0 0 62 0 0 7 146
Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design 0 0 0 10 0 0 14 77
Logit Versus Discriminant Analysis: A Specification Test 0 0 0 1 0 0 3 497
Long-term Memory in Stock Market Prices 0 1 3 271 2 7 36 890
Long-term memory in stock market prices 0 1 4 157 1 8 35 508
Maximizing Predictability in the Stock and Bond Markets 0 0 0 742 0 4 23 1,980
Maximizing predictability in the stock and bond markets 0 0 0 97 3 6 24 308
Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data 0 0 0 0 1 2 7 252
Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data 0 0 1 404 1 4 20 1,038
Models of the term structure of interest rates 0 0 0 0 0 1 16 446
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 1 572 2 6 15 1,975
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 5 15 453
Nonparametric Risk Management and Implied Risk Aversion 0 2 5 487 3 12 34 1,258
Optimal Financing for R&D-Intensive Firms 0 1 3 42 1 6 20 63
Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model 0 0 2 984 4 6 18 3,511
Pricing and hedging derivative securities in incomplete markets: an e-arbitrage approach 0 0 0 76 0 1 17 261
Privacy-Preserving Methods for Sharing Financial Risk Exposures 0 1 2 12 1 3 12 64
Risk and Risk Management in the Credit Card Industry 0 2 9 78 7 17 53 265
Sharing R&D Risk in Healthcare via FDA Hedges 0 0 3 25 2 4 21 59
Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85) 0 0 0 0 0 0 8 144
Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84) 0 0 0 0 0 0 4 176
Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test 4 9 13 856 15 40 158 2,680
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) 0 0 0 0 0 3 13 376
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) 0 0 0 0 0 2 10 214
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87) 0 0 0 0 1 1 17 314
Systemic Risk and Hedge Funds 2 3 4 808 6 10 34 2,092
Systemic Risk and the Refinancing Ratchet Effect 0 0 2 156 10 13 45 483
Systemic Risk and the Refinancing Ratchet Effect 0 0 0 121 3 4 23 457
The Gordon Gekko Effect: The Role of Culture in the Financial Industry 0 0 3 89 2 6 23 241
The Psychophysiology of Real-Time Financial Risk Processing 1 2 4 142 3 5 17 513
The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation 0 1 9 458 1 4 34 1,520
The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation 0 0 0 0 1 3 20 964
The Sources and Nature of Long-Term Memory in the Business Cycle 0 0 0 0 1 1 6 500
The Sources and Nature of Long-Term Memory in the Business Cycle 0 0 0 1 0 1 6 202
The Sources and Nature of Long-term Memory in the Business Cycle 0 0 0 86 1 2 6 447
The sources and nature of long-term memory in the business cycle 0 0 2 38 0 1 8 283
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory 1 1 1 659 3 6 20 2,227
Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model 0 0 0 231 1 5 20 710
WARNING: Physics Envy May Be Hazardous To Your Wealth! 0 1 2 412 6 16 40 1,152
What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data 0 0 5 249 2 8 53 750
When Do Stop-Loss Rules Stop Losses? 1 1 4 121 1 4 26 417
When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) 0 0 0 4 0 0 4 487
When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) 0 0 0 0 1 1 8 252
When are Contrarian Profits Due to Stock Market Overreaction? 0 0 1 402 1 8 26 1,057
When are contrarian profits due to stock market overreaction? 0 1 2 145 2 8 28 398
Total Working Papers 15 64 205 17,605 154 434 1,861 60,101


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks 0 1 6 97 3 8 40 382
A Survey of Systemic Risk Analytics 0 3 13 398 3 17 80 1,206
A computational view of market efficiency 0 0 2 20 1 5 14 92
A large-sample chow test for the linear simultaneous equation 1 2 4 112 1 2 10 342
An econometric analysis of nonsynchronous trading 2 2 9 419 3 6 29 995
An econometric model of serial correlation and illiquidity in hedge fund returns 2 3 8 179 3 7 42 728
An ordered probit analysis of transaction stock prices 0 0 15 542 1 5 63 1,342
Asset Prices and Trading Volume under Fixed Transactions Costs 0 1 4 21 3 12 48 380
Asset allocation and derivatives 0 0 0 14 0 1 12 101
Can Financial Engineering Cure Cancer? 0 0 0 46 0 2 12 220
Can hedge funds time market liquidity? 0 2 5 33 2 5 22 152
Consumer credit-risk models via machine-learning algorithms 11 28 93 340 24 66 240 1,162
Data-Snooping Biases in Tests of Financial Asset Pricing Models 1 1 5 593 4 9 45 1,690
Econometric measures of connectedness and systemic risk in the finance and insurance sectors 5 9 77 379 17 61 243 1,123
Econometric models of limit-order executions 0 1 5 180 1 3 23 501
Fear and Greed in Financial Markets: A Clinical Study of Day-Traders 0 1 3 131 2 10 47 586
Implementing Option Pricing Models When Asset Returns Are Predictable 0 0 2 133 1 6 24 414
Impossible Frontiers 0 0 0 13 1 3 17 172
Innovation at MIT 0 0 0 3 0 1 6 33
Introduction to Volume 5 of the Annual Review of Financial Economics 0 0 0 18 1 3 9 87
Logit versus discriminant analysis: A specification test and application to corporate bankruptcies 1 2 11 388 1 6 30 729
Long-Term Memory in Stock Market Prices 2 7 28 1,223 7 19 137 4,400
MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS 0 0 0 64 1 6 24 295
Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data 0 0 1 31 0 0 9 117
Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents 1 1 4 49 2 5 22 189
Nonparametric risk management and implied risk aversion 2 8 23 453 5 26 96 1,103
Optimal control of execution costs 0 1 10 726 3 11 57 1,412
Preface to the Annual Review of Financial Economics 0 0 0 50 0 4 14 219
Privacy-Preserving Methods for Sharing Financial Risk Exposures 0 0 1 19 1 2 21 158
Reading about the Financial Crisis: A Twenty-One-Book Review 3 4 14 390 5 14 77 1,134
Regulatory reform in the wake of the financial crisis of 2007-2008 1 2 2 44 1 7 25 229
Robust ranking and portfolio optimization 0 1 4 28 1 2 9 89
Semi-parametric upper bounds for option prices and expected payoffs 0 0 1 198 0 0 10 349
Statistical tests of contingent-claims asset-pricing models: A new methodology 0 0 0 75 0 1 9 180
Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test 0 0 7 1,448 5 13 88 3,449
Systemic risk and the refinancing ratchet effect 0 0 2 79 9 20 63 445
THE ECONOMETRICS OF FINANCIAL MARKETS 2 5 24 388 13 23 104 967
The Derivatives Sourcebook 0 1 1 48 4 16 56 244
The Gordon Gekko effect: the role of culture in the financial industry 1 1 4 50 5 11 61 255
The size and power of the variance ratio test in finite samples: A Monte Carlo investigation 0 1 12 398 1 2 44 909
The sources and nature of long-term memory in aggregate output 0 0 0 80 0 1 7 342
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory 0 0 0 1 1 4 18 868
Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model 0 0 0 114 0 7 24 430
What happened to the quants in August 2007? Evidence from factors and transactions data 1 2 23 308 6 18 102 1,217
When Are Contrarian Profits Due to Stock Market Overreaction? 0 2 18 952 6 15 82 2,564
When do stop-loss rules stop losses? 0 3 8 91 1 10 46 331
When is time continuous? 0 1 5 98 0 2 18 435
Total Journal Articles 36 96 454 11,464 149 477 2,279 34,767


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Quantifying Systemic Risk 0 0 0 0 0 7 31 397
The Industrial Organization and Regulation of the Securities Industry 0 0 0 0 1 5 17 155
Total Books 0 0 0 0 1 12 48 552


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors 0 0 0 0 1 3 18 98
Introduction to "Quantifying Systemic Risk" 0 0 0 59 2 4 7 133
Introduction to "The Industrial Organization and Regulation of the Securities Industry" 0 0 0 17 2 4 11 82
Systemic Risk and Hedge Funds 0 0 2 138 2 5 18 397
Total Chapters 0 0 2 214 7 16 54 710


Statistics updated 2020-09-04