Papers

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ABSTRACT

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

Capital Markets and Asset-Market Dynamics 2004 Getmansky, Mila, Andrew W. Lo, and Shauna X. Mei, Journal of Investment Management 2, 6-38.
ABSTRACT

An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

Capital Markets and Asset-Market Dynamics 2004 Getmansky, Mila, Andrew W. Lo, and Igor Makarov, Journal of Financial Economics 74, 529-609.
ABSTRACT

The Psychophysiology of Real-Time Financial Risk Processing

Foundations of Financial Behavior and Adaptive Markets 2002 Lo, Andrew W. and Dmitry Repin, Journal of Cognitive Neuroscience 14, 323-339.
ABSTRACT

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

Capital Markets and Asset-Market Dynamics 2000 Lo, Andrew W. and Jiang Wang, Review of Financial Studies 13, 257-300.
ABSTRACT

Frontiers of Finance: Evolution and Efficient Markets

Foundations of Financial Behavior and Adaptive Markets 1999 Farmer, J. Doyne and Andrew W. Lo, Proceedings of the National Academy of Sciences 96, 9991-9992.