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Andrew W. Lo has written 10 work(s)
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Hardcover:
9780226319285 | Univ of Chicago Pr, January 24, 2013, cover price $118.00
Hardcover:
9781843763420 | Edward Elgar Pub, June 7, 2007, cover price $1391.00
Paperback:
9781933019215 | Now Pub, May 30, 2006, cover price $180.00
Paperback:
9780935015881 | Assn for Investment Management &, February 1, 2003, cover price $30.00
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. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management. (view table of contents)
Hardcover:
9780691057743 | Princeton Univ Pr, February 1, 1999, cover price $85.00 | About this edition: 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.
Paperback:
9780691092560 | Princeton Univ Pr, December 26, 2001, cover price $65.00
Prebinding:
9780613915908, titled "Non-random Walk Down Wall Street" | Turtleback Books, December 1, 2001, cover price $63.55 | About this edition: 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.
This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation.Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business. (view table of contents)
Hardcover:
9780262011785 | Mit Pr, May 1, 2000, cover price $25.75
Paperback:
9780262511070 | Mit Pr, May 1, 2000, cover price $55.00 | About this edition: This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation.
Paperback:
9780691015699 | Princeton Univ Pr, September 1, 1997, cover price $55.01
(view table of contents)
Hardcover:
9781858981611 | Edward Elgar Pub, June 1, 1997, cover price $590.00
(view table of contents)
Hardcover:
9780691043012 | Princeton Univ Pr, December 9, 1996, cover price $120.00
Hardcover:
9780226488479 | Univ of Chicago Pr, January 1, 1996, cover price $99.00
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