Papers

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Complexity, Concentration, and Contagion: A Comment

Risk Management and Systemic Risk 2011 Lo, Andrew W., Journal of Monetary Economics 58, 471-479.
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The National Transporation Safety Board: A Model for Systemic Risk Management

Risk Management and Systemic Risk 2011 Fielding, Eric, Andrew W. Lo, and Jian Helen Yang, Journal of Investment Management 9, 17-49.
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Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios

Capital Markets and Asset-Market Dynamics 2011 Khandani, Amir and Andrew W. Lo, Quarterly Journal of Finance 1, 1-59.
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A Computational View of Market Efficiency

Big Data and Financial Technology, Foundations of Financial Behavior and Adaptive Markets 2011 Hasanhodzic, Jasmina, Andrew W. Lo, and Emanuele Viola, Quantitative Finance 7, 1043-1050.
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The Origin of Behavior

Foundations of Financial Behavior and Adaptive Markets 2011 Brennan, Thomas J. and Andrew W. Lo, Quarterly Journal of Finance 7, 1043-1050.
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What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data

Big Data and Financial Technology 2011 Khandani, Amir E. and Andrew W. Lo, Journal of Financial Markets 14, 1-46.
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Securities Trading of Concepts (STOC)

Big Data and Financial Technology 2011 Dahan, Ely, Adlar J. Kim, Andrew W. Lo, Tomaso Poggio, and Nicholas Chan, Journal of Marketing Research 48, 497-517.
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WARNING!: Physics Envy May Be Hazardous to Your Wealth

Risk Management and Systemic Risk 2010 Lo, Andrew W. and Mark Mueller, Journal of Investment Management 8, 13-63.
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Consumer Credit Risk Models via Machine-Learning Algorithms

Big Data and Financial Technology, Risk Management and Systemic Risk 2010 Khandani, Amir E., Adlar J. Kim, and Andrew W. Lo, Journal of Banking & Finance 34, 2767-2787.
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Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints

Capital Markets and Asset-Market Dynamics 2009 Healy, Alexander D. and Andrew W. Lo, Journal of Investment Management 7, 1-20.