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 1 1 106 1 8 22 394
A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates 0 0 1 45 1 2 5 150
A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage 0 0 0 1 0 0 0 189
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks 0 2 5 164 1 6 23 522
A Residuals-Based Wald Test for the Linear Simultaneous Equation 0 0 0 0 0 0 0 285
A Residuals-Based Wald Test for the Linear Simultaneous Equation 0 0 0 0 0 0 2 150
A Simple Specification Test of the Random Walk Hypothesis 0 0 0 2 1 2 19 991
A Survey of Systemic Risk Analytics 0 1 5 89 1 7 22 406
Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery 0 1 1 1 1 1 2 2
An Econometric Analysis of Nonsynchronous Trading 0 0 3 355 0 0 4 826
An Econometric Analysis of Nonsyschronous-Trading 0 0 0 0 0 0 0 222
An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns 0 0 1 165 0 1 11 594
An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns 0 0 0 524 0 1 3 1,522
An Ordered Probit Analysis of Transaction Stock Prices 0 1 2 538 2 7 9 1,753
An Ordered Probit Analysis of Transaction Stock Prices 0 0 0 0 0 2 12 890
An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029) 0 0 0 0 0 0 3 552
An ordered probit analysis of transaction stock prices 0 0 0 142 0 0 0 404
Asset Prices and Trading Volume Under Fixed Transactions Costs 0 0 0 142 0 1 18 670
Asset Prices and Trading Volume Under Fixed Transactions Costs 0 0 1 68 1 3 7 302
Asset Prices and Trading Volume Under Fixed Transactions Costs 0 0 1 1 0 2 3 3
Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics during Epidemic Outbreaks 0 0 0 5 0 0 1 36
Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry 0 0 3 70 0 0 7 219
Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) 0 0 0 1 0 2 7 328
Data-Snooping Biases in Tests of Financial Asset Pricing Models 0 0 2 140 0 1 8 504
Data-snooping biases in tests of financial asset pricing models 0 0 1 86 0 0 7 302
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors 0 0 7 366 0 1 26 880
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors 1 1 9 375 3 14 58 999
Econometric Models of Limit-Order Executions 0 0 1 163 0 0 4 740
Econometric Models of Limit-Order Executions 0 0 3 396 0 3 10 1,245
Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs 0 0 0 10 0 0 4 41
Estimating the Financial Impact of Gene Therapy in the U.S 0 0 3 12 0 1 10 36
Fear and Greed in Financial Markets: A Clinical Study of Day-Traders 0 0 7 296 0 2 24 1,346
Financial Intermediation and the Funding of Biomedical Innovation: A Review 0 0 0 0 0 0 0 0
Financing Vaccines for Global Health Security 1 2 4 23 1 2 5 48
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation 2 4 8 1,808 5 12 33 3,938
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation 1 1 2 1,313 1 11 31 2,320
Frontiers of Finance: Evolution and Efficient Markets 0 0 0 521 1 2 9 1,634
Games of Survival in the Newspaper Industry 0 0 0 0 0 0 0 231
Global realignment in financial market dynamics: Evidence from ETF networks 0 2 8 49 1 9 28 62
Hedge Funds: A Dynamic Industry In Transition 0 0 3 75 0 0 15 229
Hedge fund holdings and stock market efficiency 0 0 3 66 1 9 31 225
Implementing Option Pricing Models When Asset Returns Are Predictable 0 0 2 459 0 8 29 1,524
Implementing option pricing models when asset returns are predictable 0 0 0 80 0 1 9 239
Impossible Frontiers 0 0 2 65 0 1 10 295
Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders 0 0 1 235 1 1 3 876
Is It Real, or Is It Randomized?: A Financial Turing Test 0 0 0 65 0 0 3 157
Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design 0 1 1 13 0 1 3 88
Logit Versus Discriminant Analysis: A Specification Test 0 0 0 1 0 2 5 506
Long-term Memory in Stock Market Prices 0 0 1 276 0 0 3 921
Long-term memory in stock market prices 0 0 2 164 0 0 7 548
Maximizing Predictability in the Stock and Bond Markets 0 2 2 746 0 8 28 2,034
Maximizing predictability in the stock and bond markets 0 0 0 97 0 4 23 351
Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data 0 0 0 405 0 0 2 1,044
Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data 0 0 0 0 0 1 1 261
Models of the term structure of interest rates 0 0 0 0 1 1 5 456
Moore's Law vs. Murphy's Law in the financial system: who's winning? 0 0 0 43 0 0 4 71
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 0 3 7 475
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 1 2 576 0 2 9 2,009
Nonparametric Risk Management and Implied Risk Aversion 0 2 2 491 0 5 8 1,283
Optimal Financing for R&D-Intensive Firms 0 1 3 47 0 2 9 92
Paying off the Competition: Market Power and Innovation Incentives 0 7 14 39 0 13 33 80
Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model 0 0 0 986 0 4 20 3,575
Pricing and hedging derivative securities in incomplete markets: an e-arbitrage approach 0 0 0 76 0 0 5 284
Privacy-Preserving Methods for Sharing Financial Risk Exposures 1 1 2 15 1 1 4 74
Risk and Risk Management in the Credit Card Industry 0 0 1 89 1 5 11 338
Sharing R&D Risk in Healthcare via FDA Hedges 0 0 1 28 0 0 7 88
Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85) 0 0 0 0 0 1 4 149
Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84) 0 0 0 0 0 1 2 180
Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test 2 5 22 932 5 16 109 3,045
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) 0 0 0 0 2 3 33 426
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) 0 0 0 0 0 1 4 222
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87) 0 0 0 0 2 2 8 333
Systemic Risk and Hedge Funds 1 1 4 821 1 4 30 2,172
Systemic Risk and the Refinancing Ratchet Effect 0 0 2 160 1 8 20 520
Systemic Risk and the Refinancing Ratchet Effect 0 0 0 124 0 4 22 521
The Gordon Gekko Effect: The Role of Culture in the Financial Industry 0 0 0 91 0 1 6 272
The Psychophysiology of Real-Time Financial Risk Processing 0 2 5 150 1 8 35 570
The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation 0 0 0 0 0 0 4 989
The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation 1 2 7 469 1 3 11 1,554
The Sources and Nature of Long-Term Memory in the Business Cycle 0 0 0 1 0 2 2 214
The Sources and Nature of Long-Term Memory in the Business Cycle 0 0 0 0 0 2 2 503
The Sources and Nature of Long-term Memory in the Business Cycle 0 1 1 88 0 2 3 458
The sources and nature of long-term memory in the business cycle 0 0 0 38 0 0 1 294
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory 0 0 2 664 1 3 15 2,269
Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model 0 0 0 232 1 8 19 747
WARNING: Physics Envy May Be Hazardous To Your Wealth! 0 1 1 418 0 7 38 1,240
What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data 0 0 3 253 2 7 33 816
When Do Stop-Loss Rules Stop Losses? 2 4 6 137 3 9 29 482
When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) 0 0 0 0 1 2 6 262
When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) 0 0 0 4 0 0 0 488
When are Contrarian Profits Due to Stock Market Overreaction? 0 0 0 404 0 4 28 1,113
When are contrarian profits due to stock market overreaction? 0 0 0 146 0 1 6 428
Total Working Papers 12 47 174 18,247 47 274 1,201 64,126


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 0 1 103 0 1 7 421
A Survey of Systemic Risk Analytics 0 2 7 419 2 11 53 1,337
A computational view of market efficiency 0 0 0 20 0 6 27 135
A large-sample chow test for the linear simultaneous equation 0 0 1 113 0 0 1 348
An Evolutionary Model of Bounded Rationality and Intelligence 0 0 0 0 1 1 3 6
An econometric analysis of nonsynchronous trading 1 1 10 435 1 1 24 1,064
An econometric model of serial correlation and illiquidity in hedge fund returns 0 0 2 188 0 6 58 874
An ordered probit analysis of transaction stock prices 0 0 5 557 0 1 25 1,403
Asset Prices and Trading Volume under Fixed Transactions Costs 0 0 2 23 2 5 13 416
Asset allocation and derivatives 1 3 3 19 1 3 5 119
Can Financial Economics Cure Cancer? 0 0 0 1 0 0 6 16
Can Financial Engineering Cure Cancer? 0 0 4 51 0 2 11 247
Can hedge funds time market liquidity? 1 2 3 36 2 10 45 248
Consumer credit-risk models via machine-learning algorithms 8 21 99 563 16 42 236 1,782
Data-Snooping Biases in Tests of Financial Asset Pricing Models 0 1 7 603 1 4 25 1,759
Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons 0 1 5 10 1 4 29 47
Econometric measures of connectedness and systemic risk in the finance and insurance sectors 3 12 69 537 9 38 221 1,640
Econometric models of limit-order executions 1 3 4 187 1 5 13 535
Estimating the NIH Efficient Frontier 0 0 0 0 0 1 1 2
Fear and Greed in Financial Markets: A Clinical Study of Day-Traders 0 0 2 142 3 5 18 648
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation 0 1 2 5 2 3 7 30
Hamilton’s rule in economic decision-making 0 2 9 9 0 4 14 14
Hedge Fund Holdings and Stock Market Efficiency 0 0 4 9 1 2 11 44
Hedge Funds: A Dynamic Industry in Transition 0 0 0 20 0 2 6 107
Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach 1 1 2 6 1 1 2 31
Identifying and Mitigating Potential Biases in Predicting Drug Approvals 0 0 1 1 0 0 2 2
Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios 2 3 6 16 2 7 19 92
Implementing Option Pricing Models When Asset Returns Are Predictable 1 2 6 145 1 3 19 464
Impossible Frontiers 0 0 0 14 0 4 28 239
Innovation at MIT 0 0 0 3 0 0 2 46
Introduction to Volume 5 of the Annual Review of Financial Economics 0 0 0 18 0 0 1 94
Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design 0 1 3 12 0 2 15 73
Logit versus discriminant analysis: A specification test and application to corporate bankruptcies 0 0 1 395 1 1 4 748
Long-Term Memory in Stock Market Prices 0 1 12 1,262 0 4 35 4,548
MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS 0 1 1 65 0 4 11 328
Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective 1 3 5 10 1 7 18 31
Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data 0 1 3 37 0 1 6 130
Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents 0 0 2 57 0 0 9 219
Nonparametric risk management and implied risk aversion 1 5 15 491 1 8 36 1,207
Optimal control of execution costs 2 3 11 748 3 14 68 1,568
Preface to the Annual Review of Financial Economics 1 1 2 53 3 4 6 228
Privacy-Preserving Methods for Sharing Financial Risk Exposures 0 0 1 21 1 1 6 176
Reading about the Financial Crisis: A Twenty-One-Book Review 4 7 15 423 7 10 31 1,259
Regulatory reform in the wake of the financial crisis of 2007-2008 0 0 1 49 0 6 37 309
Reply to “(Im)Possible Frontiers: A Comment†0 0 0 13 0 0 2 62
Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform 0 0 0 0 0 1 3 7
Risk and risk management in the credit card industry 1 3 4 28 1 7 32 167
Robert C. Merton: The First Financial Engineer 0 0 3 7 0 1 9 23
Robust ranking and portfolio optimization 0 0 0 30 0 0 2 98
Semi-parametric upper bounds for option prices and expected payoffs 0 0 0 200 0 0 0 356
Spectral factor models 0 2 10 12 3 7 33 44
Statistical tests of contingent-claims asset-pricing models: A new methodology 0 0 0 77 0 2 5 194
Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test 2 3 11 1,488 5 14 63 3,627
Systemic risk and the refinancing ratchet effect 0 0 2 82 0 8 26 521
THE ECONOMETRICS OF FINANCIAL MARKETS 7 13 38 457 16 42 125 1,259
The Derivatives Sourcebook 0 0 3 54 2 6 26 331
The Gordon Gekko effect: the role of culture in the financial industry 1 1 2 54 3 8 35 350
The Origin of Behavior 0 0 0 7 0 0 0 33
The Visible Hand 0 0 0 4 0 0 1 27
The growth of relative wealth and the Kelly criterion 0 0 2 10 0 1 6 69
The origin of cooperation 0 0 1 1 0 0 7 12
The size and power of the variance ratio test in finite samples: A Monte Carlo investigation 0 3 11 431 4 10 40 996
The sources and nature of long-term memory in aggregate output 0 0 0 80 0 4 28 392
To maximize or randomize? An experimental study of probability matching in financial decision making 0 0 2 2 0 0 9 10
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory 0 0 0 1 1 8 30 940
Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model 0 0 0 114 1 2 4 460
Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments 0 0 0 9 6 12 18 94
What happened to the quants in August 2007? Evidence from factors and transactions data 1 1 7 334 7 18 67 1,376
When Are Contrarian Profits Due to Stock Market Overreaction? 0 1 5 968 1 8 47 2,676
When do stop-loss rules stop losses? 2 5 9 119 6 15 45 457
When is time continuous? 0 0 2 101 1 2 9 452
Total Journal Articles 42 110 438 12,559 121 410 1,886 40,067


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Hedge Funds: An Analytic Perspective Updated Edition 0 0 0 0 2 5 23 118
Quantifying Systemic Risk 0 0 0 0 0 0 7 426
The Industrial Organization and Regulation of the Securities Industry 0 0 0 0 0 1 4 178
Total Books 0 0 0 0 2 6 34 722


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery 1 1 2 2 1 3 7 7
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors 0 0 0 0 1 7 24 153
IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER 0 0 0 3 0 1 2 17
Introduction 0 0 0 8 0 0 0 16
Introduction to "Quantifying Systemic Risk" 0 0 1 60 0 0 1 136
Introduction to "The Industrial Organization and Regulation of the Securities Industry" 0 0 0 19 0 0 1 87
SIFTING THROUGH THE WRECKAGE: LESSONS FROM RECENT HEDGE-FUND LIQUIDATIONS 0 0 0 1 0 0 0 7
Systemic Risk and Hedge Funds 0 0 0 139 0 0 1 414
WHEN IS TIME CONTINUOUS? 1 1 2 3 1 1 3 16
Where To From Here? 1 2 2 3 1 2 4 28
Total Chapters 3 4 7 238 4 14 43 881


Statistics updated 2022-11-05