Stock market prices do not follow random walks: Evidence from a simple specification test
AW Lo, AC MacKinlay - The review of financial studies, 1988 - academic.oup.com
In this article we test the random walk hypothesis for weekly stock market returns by comparing
variance estimators derived from data sampled at different frequencies. The random walk …
variance estimators derived from data sampled at different frequencies. The random walk …
[BOOK][B] A non-random walk down Wall Street
AW Lo, AC MacKinlay - 2011 - degruyter.com
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 …
random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this …
Long-term memory in stock market prices
AW Lo - Econometrica: Journal of the Econometric Society, 1991 - JSTOR
A test for long-run memory that is robust to short-range dependence is developed. It is an
extension of the "range over standard deviation" or R/S statistic, for which the relevant …
extension of the "range over standard deviation" or R/S statistic, for which the relevant …
A survey of systemic risk analytics
D Bisias, M Flood, AW Lo… - Annu. Rev. Financ. Econ …, 2012 - annualreviews.org
We provide a survey of 31 quantitative measures of systemic risk in the economics and
finance literature, chosen to span key themes and issues in systemic risk measurement and …
finance literature, chosen to span key themes and issues in systemic risk measurement and …
Frontiers of finance: Evolution and efficient markets
JD Farmer, AW Lo - … of the National Academy of Sciences, 1999 - National Acad Sciences
In this review article, we explore several recent advances in the quantitative modeling of
financial markets. We begin with the Efficient Markets Hypothesis and describe how this …
financial markets. We begin with the Efficient Markets Hypothesis and describe how this …
The adaptive markets hypothesis: Market efficiency from an evolutionary perspective
AW Lo - Journal of Portfolio Management, Forthcoming, 2004 - papers.ssrn.com
One of the most influential ideas in the past 30 years is the Efficient Markets Hypothesis, the
idea that market prices incorporate all information rationally and instantaneously. However, …
idea that market prices incorporate all information rationally and instantaneously. However, …
The econometrics of financial markets
JY Campbell, AW Lo, AC MacKinlay… - Macroeconomic …, 1998 - cambridge.org
This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical finance. …
acknowledged void in the literature—a text covering the burgeoning field of empirical finance. …
Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation
AW Lo, H Mamaysky, J Wang - The journal of finance, 2000 - Wiley Online Library
Technical analysis, also known as “charting,” has been a part of financial practice for many
decades, but this discipline has not received the same level of academic scrutiny and …
decades, but this discipline has not received the same level of academic scrutiny and …
Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis
AW Lo - Journal of investment consulting, 2005 - papers.ssrn.com
The battle between proponents of the Efficient Markets Hypothesis and champions of
behavioral finance has never been more pitched, and little consensus exists as to which side is …
behavioral finance has never been more pitched, and little consensus exists as to which side is …
Fear and greed in financial markets: A clinical study of day-traders
AW Lo, DV Repin, BN Steenbarger - American Economic Review, 2005 - pubs.aeaweb.org
The rationality of financial markets has been one of the most hotly contested issues in the
history of modern financial economics. Recent critics of the Efficient Markets Hypothesis argue …
history of modern financial economics. Recent critics of the Efficient Markets Hypothesis argue …