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1

Consumer credit-risk models via machine-learning algorithms

Amir E. Khandani, Adlar J. Kim, Andrew W. Lo

Journal:

Journal of Banking & Finance

Année:

2010

Langue:

english

Fichier:

PDF, 3.95 MB

english, 2010

2

Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Andrew W. Lo, Harry Mamaysky, Jiang Wang

Journal:

The Journal of Finance

Année:

2000

Langue:

english

Fichier:

PDF, 5.99 MB

english, 2000

3

What Do Humans Perceive in Asset Returns?

Hasanhodzic, Jasmina, Lo, Andrew W., Viola, Emanuele

Journal:

The Journal of Portfolio Management

Année:

2019

Langue:

english

Fichier:

PDF, 808 KB

english, 2019

4

Reading About the Financial Crisis: A Twenty-One-Book Review

Journal:

Journal of Economic Literature

Année:

2012

Langue:

english

Fichier:

PDF, 613 KB

english, 2012

5

Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter

Agrawal, Shreyash, Azar, Pablo D., Lo, Andrew W., Singh, Taranjit

Journal:

The Journal of Portfolio Management

Année:

2018

Langue:

english

Fichier:

PDF, 1.32 MB

english, 2018

6

Econometric measures of connectedness and systemic risk in the finance and insurance sectors

Monica Billio, Mila Getmansky, Andrew W. Lo, Loriana Pelizzon

Journal:

Journal of Financial Economics

Année:

2012

Langue:

english

Fichier:

PDF, 2.25 MB

english, 2012

7

Robert C. Merton: The First Financial Engineer

Journal:

Annual Review of Financial Economics

Année:

2020

Fichier:

PDF, 2.25 MB

2020

8

The Statistics of Sharpe Ratios

Journal:

Financial Analysts Journal

Année:

2002

Langue:

english

Fichier:

PDF, 2.26 MB

english, 2002

9

The Derivatives Sourcebook

Lim, Terence, Lo, Andrew W., Merton, Robert C., Scholes, Myron S.

Journal:

Foundations and Trends® in Finance

Année:

2005

Langue:

english

Fichier:

PDF, 930 KB

english, 2005

10

What Is an Index?

Journal:

The Journal of Portfolio Management

Année:

2016

Langue:

english

Fichier:

PDF, 1009 KB

english, 2016

11

[IEEE 2018 International Symposium on Educational Technology (ISET) - Osaka, Japan (2018.7.31-2018.8.2)] 2018 International Symposium on Educational Technology (ISET) - Developing a Chatbot for College Student Programme Advisement

Chun Ho, Chan, Lee, Ho Lam, Lo, Wing Kwan, Lui, Kwok Fai Andrew

Année:

2018

Langue:

english

Fichier:

PDF, 306 KB

english, 2018

12

A Survey of Systemic Risk Analytics

Bisias, Dimitrios, Flood, Mark, Lo, Andrew W., Valavanis, Stavros

Journal:

Annual Review of Financial Economics

Année:

2012

Langue:

english

Fichier:

PDF, 1.47 MB

english, 2012

13

Risk and Reward in the Orphan Drug Industry

Lo, Andrew W., Thakor, Richard T.

Journal:

The Journal of Portfolio Management

Année:

2019

Langue:

english

Fichier:

PDF, 1.04 MB

english, 2019

14

What Do Humans Perceive in Asset Returns?

Hasanhodzic, Jasmina, Lo, Andrew W., Viola, Emanuele

Journal:

The Journal of Portfolio Management

Année:

2019

Fichier:

PDF, 808 KB

2019

15

The Adaptive Markets Hypothesis

Journal:

The Journal of Portfolio Management

Année:

2004

Langue:

english

Fichier:

PDF, 137 KB

english, 2004

16

Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

Lo, Andrew W, Repin, Dmitry V, Steenbarger, Brett N

Journal:

American Economic Review

Année:

2005

Langue:

english

Fichier:

PDF, 67 KB

english, 2005

17

Strategy formulation framework for vocational education: integrating SWOT analysis, balanced scorecard, QFD methodology and MBNQA education criteria

Lee, S.F., Lo, K.K., Leung, Ruth F., Sai On Ko, Andrew

Journal:

Managerial Auditing Journal

Année:

2000

Langue:

english

Fichier:

PDF, 1.78 MB

english, 2000

18

Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test

Andrew W. Lo and A. Craig MacKinlay

Journal:

Review of Financial Studies

Année:

1988

Langue:

english

Fichier:

PDF, 511 KB

english, 1988

19

The Moderating Effects of Gratitude on the Association Between Perceived Parenting Styles and Suicidal Ideation

Lo, Herman H. M., Kwok, Sylvia Y. C. L., Yeung, Jerf W. K., Low, Andrew Y. T., Tam, Cherry H. L.

Journal:

Journal of Child and Family Studies

Année:

2017

Langue:

english

Fichier:

PDF, 582 KB

english, 2017

20

Three dimensional electrode array for cell lysis via electroporation

Kuan-Ying Lu, Andrew M. Wo, Ying-Jie Lo, Ken-Chao Chen, Cheng-Ming Lin, Chii-Rong Yang

Journal:

Biosensors and Bioelectronics

Année:

2006

Langue:

english

Fichier:

PDF, 1.07 MB

english, 2006

21

When do stop-loss rules stop losses?

Kaminski, Kathryn M., Lo, Andrew W.

Journal:

Journal of Financial Markets

Année:

2014

Langue:

english

Fichier:

PDF, 530 KB

english, 2014

22

Frontiers of Finance: Evolution and Efficient Markets

J. Doyne Farmer and Andrew W. Lo

Journal:

Proceedings of the National Academy of Sciences

Année:

1999

Langue:

english

Fichier:

PDF, 487 KB

english, 1999

23

The game of leaves: an inquiry into the origin of Chinese playing cards

Journal:

Bulletin of the School of Oriental and African Studies

Année:

2000

Langue:

english

Fichier:

PDF, 1.37 MB

english, 2000

24

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Hasanhodzic, Jasmina, Lo, Andrew W.

Journal:

SSRN Electronic Journal

Année:

2006

Langue:

english

Fichier:

PDF, 523 KB

english, 2006

25

The size and power of the variance ratio test in finite samples: A Monte Carlo investigation

Andrew W. Lo, A.Craig MacKinlay

Journal:

Journal of Econometrics

Année:

1989

Langue:

english

Fichier:

PDF, 2.07 MB

english, 1989

26

Econometric models of limit-order executions

Andrew W. Lo, A.Craig MacKinlay, June Zhang

Journal:

Journal of Financial Economics

Année:

2002

Langue:

english

Fichier:

PDF, 565 KB

english, 2002

27

An econometric model of serial correlation and illiquidity in hedge fund returns

Mila Getmansky, Andrew W. Lo, Igor Makarov

Journal:

Journal of Financial Economics

Année:

2004

Langue:

english

Fichier:

PDF, 710 KB

english, 2004

28

Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments

Brennan, Thomas J., Lo, Andrew W., Zhang, Ruixun

Journal:

The Quarterly Journal of Finance

Année:

2018

Langue:

english

Fichier:

PDF, 667 KB

english, 2018

29

Momentum, Mean-Reversion and Social Media: Evidence from StockTwits and Twitter

Argarwal, Shreyash, Azar, Pablo, Lo, Andrew W., Singh, Taranjit

Journal:

SSRN Electronic Journal

Année:

2018

Langue:

english

Fichier:

PDF, 539 KB

english, 2018

30

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

ANDREW W. LO, JIANG WANG

Journal:

The Journal of Finance

Année:

2006

Langue:

english

Fichier:

PDF, 594 KB

english, 2006

31

An ordered probit analysis of transaction stock prices

Jerry A. Hausman, Andrew W. Lo, A.Craig MacKinlay

Journal:

Journal of Financial Economics

Année:

1992

Langue:

english

Fichier:

PDF, 4.67 MB

english, 1992

32

When are Contrarian Profits Due to Stock Market Overreaction?

Andrew W. Lo and A. Craig MacKinlay

Journal:

Review of Financial Studies

Année:

1990

Langue:

english

Fichier:

PDF, 622 KB

english, 1990

33

Bubble, Rubble, Finance in Trouble?

Journal:

The Journal of Psychology and Financial Markets

Année:

2002

Langue:

english

Fichier:

PDF, 202 KB

english, 2002

34

A mixture-of-modelers approach to forecasting NCAA tournament outcomes

Yuan, Lo-Hua, Liu, Anthony, Yeh, Alec, Kaufman, Aaron, Reece, Andrew, Bull, Peter, Franks, Alex, Wang, Sherrie, Illushin, Dmitri, Bornn, Luke

Journal:

Journal of Quantitative Analysis in Sports

Année:

2015

Langue:

english

Fichier:

PDF, 1.29 MB

english, 2015

35

Implementing Option Pricing Models When Asset Returns Are Predictable

Andrew W. Lo and Jiang Wang

Journal:

The Journal of Finance

Année:

1995

Langue:

english

Fichier:

PDF, 963 KB

english, 1995

36

Risk and risk management in the credit card industry

Butaru, Florentin, Chen, Qingqing, Clark, Brian, Das, Sanmay, Lo, Andrew W., Siddique, Akhtar

Journal:

Journal of Banking & Finance

Année:

2016

Langue:

english

Fichier:

PDF, 2.35 MB

english, 2016

37

Hedge Funds (An Analytic Perspective) || 10 What Happened to the Quants in August 2007?

Année:

2010

Langue:

english

Fichier:

PDF, 290 KB

english, 2010

38

Just how good an investment is the biopharmaceutical sector?

Thakor, Richard T, Anaya, Nicholas, Zhang, Yuwei, Vilanilam, Christian, Siah, Kien Wei, Wong, Chi Heem, Lo, Andrew W

Journal:

Nature Biotechnology

Année:

2017

Langue:

english

Fichier:

PDF, 423 KB

english, 2017

39

Measuring Horizon-Specific Systematic Risk via Spectral Betas

Bandi, Federico Maria, Chaudhuri, Shomesh, Lo, Andrew W., Tamoni, Andrea

Journal:

SSRN Electronic Journal

Année:

2018

Langue:

english

Fichier:

PDF, 1013 KB

english, 2018

40

Hedge Funds: A Dynamic Industry in Transition

Lee, Peter, Lo, Andrew W., Sherman, Mila Getmansky

Journal:

SSRN Electronic Journal

Année:

2015

Langue:

english

Fichier:

PDF, 3.02 MB

english, 2015

41

An Empirical Evaluation of Tax-Loss-Harvesting Alpha

Chaudhuri, Shomesh E., Burnham, Terence C., Lo, Andrew W.

Journal:

Financial Analysts Journal

Année:

2020

Fichier:

PDF, 820 KB

2020

42

Crude oil price dynamics with crash risk under fundamental shocks

Hui, Cho-Hoi, Lo, Chi-Fai, Cheung, Chi-Hin, Wong, Andrew

Journal:

The North American Journal of Economics and Finance

Année:

2020

Fichier:

PDF, 3.30 MB

2020

43

An econometric analysis of nonsynchronous trading

Andrew W. Lo, A. Craig MacKinlay

Journal:

Journal of Econometrics

Année:

1990

Langue:

english

Fichier:

PDF, 1.75 MB

english, 1990

44

Nonparametric risk management and implied risk aversion

Yacine Aı̈t-Sahalia, Andrew W. Lo

Journal:

Journal of Econometrics

Année:

2000

Langue:

english

Fichier:

PDF, 364 KB

english, 2000

45

Semi-parametric upper bounds for option prices and expected payoffs

Journal:

Journal of Financial Economics

Année:

1987

Langue:

english

Fichier:

PDF, 896 KB

english, 1987

46

What happened to the quants in August 2007? Evidence from factors and transactions data

Amir E. Khandani, Andrew W. Lo

Journal:

Journal of Financial Markets

Année:

2011

Langue:

english

Fichier:

PDF, 1.96 MB

english, 2011

47

Optimal control of execution costs

Dimitris Bertsimas, Andrew W. Lo

Journal:

Journal of Financial Markets

Année:

1998

Langue:

english

Fichier:

PDF, 671 KB

english, 1998

48

Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach

Bertsimas, Dimitris, Kogan, Leonid, Lo, Andrew W.

Journal:

Operations Research

Année:

2001

Langue:

english

Fichier:

PDF, 840 KB

english, 2001

49

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Yacine Aït-Sahalia, Andrew W. Lo

Journal:

The Journal of Finance

Année:

1998

Langue:

english

Fichier:

PDF, 946 KB

english, 1998

50

Long-Term Memory in Stock Market Prices

Journal:

Année:

1991

Langue:

english

Fichier:

PDF, 670 KB

english, 1991