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Lo, Andrew W. (Andrew Wen-Chuan)

Overview
Works: 107 works in 469 publications in 1 language and 7,717 library holdings
Genres: Conference proceedings  History 
Roles: Editor, Performer, Honoree
Classifications: HG4530, 332.64524
Publication Timeline
Key
Publications about Andrew W Lo
Publications by Andrew W Lo
Most widely held works about Andrew W Lo
 
Most widely held works by Andrew W Lo
A Non-Random Walk Down Wall Street by Andrew W Lo( file )
20 editions published between 1999 and 2008 in English and held by 1,644 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 sta
Hedgefunds an analytic perspective by Andrew W Lo( file )
8 editions published in 2010 in English and held by 958 libraries worldwide
"The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds, Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge fund investments. 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 a new chapter, he looks at how the strategies for and regulation of hedge funds have changed in the aftermath of the financial crisis."--Provided by publisher
The econometrics of financial markets by John Y Campbell( Book )
15 editions published between 1997 and 2011 in English and held by 823 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
The industrial organization and regulation of the securities industry by Andrew W Lo( Book )
14 editions published between 1996 and 2008 in English and held by 629 libraries worldwide
The regulation of financial markets has for years been the domain of lawyers, legislators, and lobbyists. In this unique volume, experts in industrial organization, finance, and law, as well as members of regulatory agencies and the securities industry, examine the securities industry from an economic viewpoint. Ten original essays address topics including electronic trading and the "virtual"stock exchange; trading costs and liquidity on the London and Tokyo Stock Exchanges and in the German and Japanese government bond markets; international coordination among regulatory agencies; and the imp
Hedgefunds : an analytic perspective by Andrew W Lo( Book )
15 editions published between 2008 and 2010 in English and held by 597 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 heretics of finance : conversations with leading practitioners of technical analysis by Andrew W Lo( Book )
8 editions published in 2009 in English and held by 383 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 )
9 editions published between 2010 and 2011 in English and held by 310 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 )
13 editions published in 1997 in English and held by 173 libraries worldwide
Market efficiency : stockmarket behaviour in theory and practice.- v.2
Quantifying systemic risk ( Book )
6 editions published in 2013 in English and held by 167 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
Maximizing predictability in the stock and bond markets by Andrew W Lo( Book )
13 editions published between 1992 and 1996 in English and held by 88 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
Econometric models of limit-order executions by Andrew W Lo( Book )
12 editions published between 1997 and 1999 in English and held by 85 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
Nonparametric risk management and implied risk aversion by Yacine Aït-Sahalia( Book )
12 editions published between 1997 and 2000 in English and held by 84 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. "
Trading volume : definitions, data analysis, and implications of portfolio theory by Andrew W Lo( Book )
10 editions published between 1998 and 2000 in English and held by 82 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
Nonparametric estimation of state-price densities implicit in financial asset prices by Yacine Aït-Sahalia( Book )
12 editions published between 1995 and 1996 in English and held by 82 libraries worldwide
Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more complex, or less liquid securities while capturing those features of the data that are most relevant from an asset-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform Monte Carlo simulation experiments to show that the SPD estimator can be successfully extracted from option prices and we present an empirical application using S & P 500 index options
Implementing option pricing models when asset returns are predictable by Andrew W Lo( Book )
8 editions published between 1993 and 1994 in English and held by 79 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
Foundations of technical analysis : computational algorithms, statistical inference, and empirical implementation by Andrew W Lo( Book )
10 editions published between 1999 and 2000 in English and held by 78 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
Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach by Dimitris Bertsimas( Book )
11 editions published between 1997 and 1998 in English and held by 77 libraries worldwide
The sources and nature of long-term memory in the business cycle by Joseph G Haubrich( Book )
11 editions published between 1989 and 1993 in English and held by 75 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
A nonparametric approach to pricing and hedging derivative securities via learning networks by James M Hutchinson( Book )
10 editions published between 1994 and 1995 in English and held by 74 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
Asset prices and trading volume under fixed transaction costs by Andrew W Lo( Book )
9 editions published in 2001 in English and held by 72 libraries worldwide
We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents facing fixed transactions costs. We show that even small fixed costs can give rise to large 'no-trade' regions for each agent's optimal trading policy and a significant illiquidity discount in asset prices. We perform a calibration exercise to illustrate the empirical relevance of our model for aggregate data. Our model also has implications for the dynamics of order flow, bid/ask spreads, market depth, the allocation of trading costs between buyers and sellers, and other aspects of market microstructure, including a square-root power law between trading volume and fixed costs which we confirm using historical US stock market data from 1993 to 1997
 
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Alternative Names
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
Languages
English (227)
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