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Lo, Andrew W. (Andrew Wen-Chuan)

Overview
Works: 120 works in 692 publications in 2 languages and 11,345 library holdings
Genres: Conference papers and proceedings  History 
Roles: Author, Editor, Other, Contributor, Honoree
Publication Timeline
Key
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 )
24 editions published between 1994 and 2012 in English and held by 908 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 775 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 629 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
Adaptive markets : financial evolution at the speed of thought by Andrew W Lo( Book )
11 editions published in 2017 in English and held by 401 libraries worldwide
"Half of all Americans have money in the stock market, yet economists can't agree on whether investors and markets are ration and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe - and as financial bubbles, crashes, and crises suggest. This is one of the biggest debates in economics, and the value or futility of investment management and financial regulation hang on the outcome. In this groundbreaking book, Andrew Lo cuts through this debate with a new framework, the Adaptive Markets Hypothesis, in which rationality and irrationality coexist. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, "Adaptive Markets" shows that the theory of marked efficiency isn't wrong but merely incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo's new paradigm explains how financial evolution shapes behavior and markets at the speed of thought - a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation."--Inside flap
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 394 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 )
11 editions published between 2009 and 2010 in English and held by 310 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 274 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
Quantifying systemic risk by Joseph G Haubrich( Book )
8 editions published in 2013 in English and held by 148 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
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 68 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."
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 67 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
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
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 66 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 risk management and implied risk aversion by Yacine Aït-Sahalia( Book )
15 editions published between 1997 and 2000 in English and held by 65 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. "
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 65 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
Nonparametric estimation of state-price densities implicit in financial asset prices by Yacine Aït-Sahalia( Book )
17 editions published between 1995 and 1996 in English and held by 64 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
A nonparametric approach to pricing and hedging derivative securities via learning networks by James M Hutchinson( Book )
15 editions published between 1994 and 1995 in English and held by 60 libraries worldwide
We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first 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 functions, multilayer perceptrons, and projection pursuit. To illustrate practical relevance, we also apply our approach to S & P 500 futures options data from 1987 to 1991. Option pricing, Learning, Finance, Black-Scholes, Hedging
Market efficiency: stock market behaviour in theory and practice ( Book )
13 editions published in 1997 in English and held by 30 libraries worldwide
Rethinking the financial crisis by Alan S Blinder( Book )
5 editions published between 2012 and 2013 in English and held by 7 libraries worldwide
"Some economic events are so major and unsettling that they 'change everything.' Such is the case with the financial crisis that started in the summer of 2007 and is still a drag on the world economy. Yet enough time has now elapsed for economists to consider questions that run 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 the costs and benefits of financial innovation, about the efficiency of financial markets, and about the role the government should play in regulating finance? In Rethinking the Financial Crisis, some of the nation's most renowned economists share their assessments of particular aspects of the crisis and reconsider the way we think about the financial system and its role in the economy. In its wide-ranging inquiry into the financial crash, Rethinking the Financial Crisis marshals an impressive collection of rigorous and yet empirically-relevant research that, in some respects, upsets the conventional wisdom about the crisis and also opens up new areas for exploration. Two separate chapters - by Burton G. Malkiel and by Hersh Shefrin and Meir Statman - debate whether the facts of the financial crisis upend the efficient market hypothesis and require a more behavioral account of financial market performance. To build a better bridge between the study of finance and the 'real' economy of production and employment, Simon Gilchrist and Egan Zakrasjek take an innovative measure of financial stress and embed it in a model of the U.S. economy to assess how disruptions in financial markets affect economic activity - and how the Federal Reserve might do monetary policy better. The volume also examines the crucial role of financial innovation in the evolution of the pre-crash financial system. Thomas Philippon documents the huge increase in the size of the financial services industry relative to real GDP, and also the increasing cost per financial transaction. He suggests that the finance industry of 1900 was just as able to produce loans, bonds, and stocks as its modern counterpart - and it did so more cheaply. Robert Jarrow looks in detail at some of the major types of exotic securities developed by financial engineers, such as collateralized debt obligations and credit-default swaps, reaching judgments on which make the real economy more efficient and which do not. The volume's final section turns explicitly to regulatory matters. Robert Litan discusses the political economy of financial regulation before and after the crisis. He reviews the provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, which he considers an imperfect but useful response to a major breakdown in market and regulatory discipline. At a time when the financial sector continues to be a source of considerable controversy, Rethinking the Financial Crisis addresses important questions about the complex workings of American finance and shows how the study of economics needs to change to deepen our understanding of the indispensable but risky role that the financial system plays in modern economies."
Computational finance by Andreas S Weigend( Book )
2 editions published between 1999 and 2000 in English and held by 1 library worldwide
 
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Alternative Names
Andrew Lo American economist
Andrew Lo économiste américain
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.
羅聞全
Languages
English (293)
Chinese (1)
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