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Lo, Andrew W. (Andrew Wen-Chuan)

Works: 98 works in 557 publications in 3 languages and 9,429 library holdings
Genres: Conference papers and proceedings  History 
Roles: Author, Editor, Other, Honoree
Classifications: HG4523, 332.63222
Publication Timeline
Publications about Andrew W Lo
Publications by Andrew W Lo
Most widely held works by Andrew W Lo
The econometrics of financial markets by John Y Campbell( Book )
26 editions published between 1994 and 2012 in English and Japanese and held by 896 libraries worldwide
Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the random walk hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications
A non-random walk down Wall Street by Andrew W Lo( Book )
33 editions published between 1994 and 2011 in English and Undetermined and held by 783 libraries worldwide
"For over half a century financial experts have regarded the movements of markets as a random walk - unpredictable meanderings akin to a drunkard's unsteady gait - and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future."--Jacket
Hedgefunds : an analytic perspective by Andrew W Lo( Book )
24 editions published between 2008 and 2011 in English and Chinese and held by 624 libraries worldwide
Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge fund failure rates, and integrated investment processes for alternative investments. In two new chapters, he looks at how the strategies for and regulation of hedge funds have changed in the aftermath of the financial crisis."--Pub. desc
The industrial organization and regulation of the securities industry by Andrew W Lo( Book )
20 editions published between 1996 and 2008 in English and held by 392 libraries worldwide
Papers of a conference held Jan. 20-22, 1994 in Key Largo, Florida
The heretics of finance : conversations with leading practitioners of technical analysis by Andrew W Lo( Book )
10 editions published in 2009 in English and held by 308 libraries worldwide
"An exploration of the evolution and practice of technical analysis with thirteen of the industry's top practitioners"--Provided by publisher
The evolution of technical analysis : financial prediction from Babylonian tablets to Bloomberg terminals by Andrew W Lo( Book )
10 editions published between 2010 and 2011 in English and held by 272 libraries worldwide
A comprehensive history of the evolution of technical analysis from ancient times to the Internet ageWhether driven by mass psychology, fear or greed of investors, the forces of supply and demand, or a combination, technical analysis has flourished for thousands of years on the outskirts of the financial establishment. In The Evolution of Technical Analysis: Financial Prediction from Babylonian Tablets to Bloomberg Terminals, MIT's Andrew W. Lo details how the charting of past stock prices for the purpose of identifying trends, patterns, strength, and cycles within market data has allowed trad
Market efficiency : stock market behaviour in theory and practice ( Book )
30 editions published in 1997 in English and held by 217 libraries worldwide
Market efficiency : stockmarket behaviour in theory and practice.- v.2
Quantifying systemic risk by Joseph G Haubrich( Book )
8 editions published in 2013 in English and held by 144 libraries worldwide
"In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively--or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow."--Publisher's website
Econometric models of limit-order executions by Andrew W Lo( Book )
15 editions published between 1997 and 1999 in English and held by 72 libraries worldwide
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is amplified by real wage rigidity in the labor market. We also argue that" given the level of real wage rigidity that is observed in developed countries nominal stickiness might be sufficient for money to produce economic fluctuations as persistent" as those observed in the data
Implementing option pricing models when asset returns are predictable by Andrew W Lo( Book )
12 editions published between 1993 and 1994 in English and held by 67 libraries worldwide
Option pricing formulas obtained from continuous-time no- arbitrage arguments such as the Black-Scholes formula generally do not depend on the drift term of the underlying asset's diffusion equation. However, the drift is essential for properly implementing such formulas empirically, since the numerical values of the parameters that do appear in the option pricing formula can depend intimately on the drift. In particular, if the underlying asset's returns are predictable, this will influence the theoretical value and the empirical estimate of the diffusion coefficient o. We develop an adjustment to the Black-Scholes formula that accounts for predictability and show that this adjustment can be important even for small levels of predictability, especially for longer-maturity options. We propose a class of continuous-time linear diffusion processes for asset prices that can capture a wider variety of predictability, and provide several numerical examples that illustrate their importance for pricing options and other derivative assets
The sources and nature of long-term memory in the business cycle by Joseph G Haubrich( Book )
16 editions published between 1989 and 1993 in English and held by 64 libraries worldwide
This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation in the presence of real business cycles. We derive the relation between properties of fractionally integrated macroeconomic time series and those of microeconomic data, and discuss how fiscal policy may alter their stochastic behavior. To implement these results empirically, we employ a test for fractionally integrated time series based on the Hurst-Mandelbrot rescaled range. This test is robust to short-term dependence, and is applied to quarterly and annual real GNP to determine the sources and nature of long-term dependence in the business cycle
Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach by Dimitris Bertsimas( Book )
17 editions published between 1997 and 1998 in English and held by 64 libraries worldwide
Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic portfolio strategy involving only the underlying securities that most closely" approximates the payoff function at maturity. By applying stochastic dynamic programming to the minimization of a" mean-squared-error loss function under Markov state-dynamics, we derive recursive expressions for the optimal-replication strategy that are readily implemented in practice. The approximation error or " " of the optimal-replication strategy is also given recursively and may be used to quantify the "degree" of market incompleteness. " To investigate the practical significance of these -arbitrage strategies examples including path-dependent options and options on assets with stochastic volatility and jumps. "
Nonparametric risk management and implied risk aversion by Yacine Aït-Sahalia( Book )
15 editions published between 1997 and 2000 in English and held by 64 libraries worldwide
Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact that the same dollar loss can have two very different economic valuations, depending on business conditions. We propose a nonparametric VAR measure that incorporates economic valuation according to the state-price density associated with the underlying price processes. The state-price density yields VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is implied by the joint observations on the cross-section of option prices and time-series of underlying asset values."
Foundations of technical analysis : computational algorithms, statistical inference, and empirical implementation by Andrew W Lo( Book )
15 editions published between 1999 and 2000 in English and held by 63 libraries worldwide
Technical analysis, also known as charting, ' has been part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis the presence of geometric shapes in historical price charts is often in the eyes of the beholder. In this paper, we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and apply this method to a large number of U.S. stocks from 1962 to 1996 to evaluate the effectiveness to technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution conditioned on specific technical indicators such as head-and-shoulders or double-bottoms we find that over the 31-year sample period, several technical indicators do provide incremental information and may have some practical value
Maximizing predictability in the stock and bond markets by Andrew W Lo( Book )
15 editions published between 1992 and 1996 in English and held by 63 libraries worldwide
We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources for predictability by using several asset groups, including industry-sorted portfolios, and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return-horizon changes. Using three out-of-sample measures of predictability, we show that the predictability of the maximally predictable portfolio is genuine and economically significant
Trading volume : definitions, data analysis, and implications of portfolio theory by Andrew W Lo( Book )
14 editions published between 1998 and 2000 in English and held by 63 libraries worldwide
"We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two-fund separation theorems suggest a natural definition for trading activity: share turnover ... We find strong evidence against two-fund separation, and a principal-components decomposition suggests that turnover is well approximated by a two-factor linear model"--Abstract
A nonparametric approach to pricing and hedging derivative securities via learning networks by James M Hutchinson( Book )
14 editions published between 1994 and 1995 in English and held by 57 libraries worldwide
We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks. Although not a substitute for the more traditional arbitrage-based pricing formulas, network pricing formulas may be more accurate and computationally more efficient alternatives when the underlying asset's price dynamics are unknown, or when the pricing equation associated with no-arbitrage condition cannot be solved analytically. To assess the potential value of network pricing formulas, we simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis function networks, multilayer perceptron networks, and projection pursuit. To illustrate the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures options from 1987 to 1991
The psychophysiology of real-time financial risk processing by Andrew W Lo( Book )
14 editions published in 2001 in English and held by 51 libraries worldwide
A longstanding controversy in economics and finance is whether financial markets are governed by rational forces or by emotional responses. We study the importance of emotion in the decisionmaking process of professional securities traders by measuring their physiological characteristics, e.g., skin conductance, blood volume pulse, etc., during live trading sessions while simultaneously capturing real-time prices from which market events can be defined. In a sample of 10 traders, we find significant correlation between electrodermal responses and transient market events, and between changes in cardiovascular variables and market volatility. We also observe differences in these correlations among the 10 traders which may be systematically related to the traders' levels of experience
Trading volume : implications of an intertemporal capital asset pricing model by Andrew W Lo( Book )
12 editions published in 2001 in English and held by 50 libraries worldwide
We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a hedging portfolio, which allows them to hedge the dynamic risk. This implies that trading volume of individual assets exhibit a two-factor structure, and their factor loadings depend on their weights in the hedging portfolio. This allows us to empirically identify the hedging portfolio using volume data. We then test the two properties of the hedging portfolio: its return provides the best predictor of future market returns and its return together with the return of the market portfolio are the two risk factors determining the cross-section of asset returns
Rethinking the financial crisis by Alan S Blinder( Book )
4 editions published between 2012 and 2013 in English and held by 6 libraries worldwide
Sur la 4e de couv. : "Some economic events are so major and unsetting that they "change everything". Such is the case with the financial crisis that started in the summer of 2007 and is, in several respects, still ongoing. Yet enough time has now elapsed for economists to dig deeper than the usual focus on the immediate causes and consequences of the crisis. How have these stunning events changed our thinking about the role of the financial system in the economy, about financial innovation, about the efficiency of financial markets, and about how the government should regulate finance ?"
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Alternative Names
Andrew Lo American economist
Lo, A. W. 1960-
Lo, Andrew
Lo, Andrew W.
Lo, Andrew Wen-Chuan.
Lo, Andrew Wen-Chuan 1960-
Lo Wen-Chuan
ロー, アンドリュー・W
English (319)
Japanese (2)
Chinese (1)
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