Andrew W Lo
Biographic Data
| ID | 5848908 |
|---|---|
| NAME | Andrew W Lo |
| GIVEN NAMES | Andrew W |
| FAMILY NAME | Lo |
| SIGNATURE | LO A W |
| AFFILIATIONS | Massachusetts Institute of Technology |
| ORCID | 0000-0003-2944-7773 |
| VERIFIED | Yes |
| TOTAL WORKS | 11 |
| TOTAL CITATIONS | 3 |
| WORKS AS AUTHOR | 11 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1988 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 1 |
Estimating Correlations Between Clinical Trial Outcomes Using Generalised Estimating Equations
Accurately estimating the correlations among clinical trial outcomes is crucial for managing the risk of biopharmaceutical investment portfolios. We propose a novel algorithm for estimating correlations in large clinical trial datasets using a generalised estimating equations (GEE) framework. Our algorithm outperforms existing methods in both convergence speed and computational efficiency. Empirical analysis of over 25,000 clinical trials reveals…
The Health of Nations Fund
We explore the design and performance of a “Health of Nations Fund,” a proposed securitization of a biomedical “megafund” that pools capital to invest in a diversified set of global drug development projects. Incorporating assets from four stages of the drug development process as well as royalties from approved therapeutics across eight therapeutic areas, our Monte Carlo simulations show that such a megafund can deliver an annual expected return…
Should we allocate more Covid-19 vaccine doses to non-vaccinated individuals
Following the approval by the FDA of two COVID-19 vaccines, which are administered in two doses three to four weeks apart, we simulate the effects of various vaccine distribution policies on the cumulative number of infections and deaths in the United States in the presence of shocks to the supply of vaccines. Our forecasts suggest that allocating more than 50% of available doses to individuals who have not received their first dose can significa…
Moore's Law versus Murphy's Law
Financial markets have undergone a remarkable transformation over the past two decades due to advances in technology. These advances include faster and cheaper computers, greater connectivity among market participants, and perhaps most important of all, more sophisticated trading algorithms. The benefits of such financial technology are evident: lower transactions costs, faster executions, and greater volume of trades. However, like any technolog…
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
Asset Prices and Trading Volume under Fixed Transactions Costs
We propose a dynamic equilibrium model of asset prices and trading volume when agents face fixed transactions costs. We show that even small fixed costs can give rise to large "no‐trade" regions for each agent's optimal trading policy. The inability to trade more frequently reduces the agents' asset demand and in equilibrium gives rise to a significant illiquidity discount in asset prices
The game of leaves
A passion for card games, like a delight in drinking tea, is something which nowadays unites China with the rest of the world; and, as with tea drinking, many have surmised that the pastime of playing cards arose in China and spread westwards. I begin this study with a consideration of the rules of card games, and suggest that the rules themselves may offer, in some cases, evidence of transmission from East to West. To those interested in past cu…
The Econometrics of Financial Markets
The Brush and the Spur
Stock Market Prices Do Not Follow Random Walks
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 model is strongly rejected for the entire sample period (1962–1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed compl…
The Dramatic Oeuvre of Chu Yu-Tun
The game of leaves
A passion for card games, like a delight in drinking tea, is something which nowadays unites China with the rest of the world; and, as with tea drinking, many have surmised that the pastime of playing cards arose in China and spread westwards. I begin this study with a consideration of the rules of card games, and suggest that the rules themselves may offer, in some cases, evidence of transmission from East to West. To those interested in past cu…
Asset Prices and Trading Volume under Fixed Transactions Costs
We propose a dynamic equilibrium model of asset prices and trading volume when agents face fixed transactions costs. We show that even small fixed costs can give rise to large "no‐trade" regions for each agent's optimal trading policy. The inability to trade more frequently reduces the agents' asset demand and in equilibrium gives rise to a significant illiquidity discount in asset prices
Stock Market Prices Do Not Follow Random Walks
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 model is strongly rejected for the entire sample period (1962–1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed compl…
The Dramatic Oeuvre of Chu Yu-Tun
The Brush and the Spur
The Econometrics of Financial Markets
The game of leaves
A passion for card games, like a delight in drinking tea, is something which nowadays unites China with the rest of the world; and, as with tea drinking, many have surmised that the pastime of playing cards arose in China and spread westwards. I begin this study with a consideration of the rules of card games, and suggest that the rules themselves may offer, in some cases, evidence of transmission from East to West. To those interested in past cu…
Asset Prices and Trading Volume under Fixed Transactions Costs
We propose a dynamic equilibrium model of asset prices and trading volume when agents face fixed transactions costs. We show that even small fixed costs can give rise to large "no‐trade" regions for each agent's optimal trading policy. The inability to trade more frequently reduces the agents' asset demand and in equilibrium gives rise to a significant illiquidity discount in asset prices
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
Moore's Law versus Murphy's Law
Financial markets have undergone a remarkable transformation over the past two decades due to advances in technology. These advances include faster and cheaper computers, greater connectivity among market participants, and perhaps most important of all, more sophisticated trading algorithms. The benefits of such financial technology are evident: lower transactions costs, faster executions, and greater volume of trades. However, like any technolog…
Should we allocate more Covid-19 vaccine doses to non-vaccinated individuals
Following the approval by the FDA of two COVID-19 vaccines, which are administered in two doses three to four weeks apart, we simulate the effects of various vaccine distribution policies on the cumulative number of infections and deaths in the United States in the presence of shocks to the supply of vaccines. Our forecasts suggest that allocating more than 50% of available doses to individuals who have not received their first dose can significa…
Estimating Correlations Between Clinical Trial Outcomes Using Generalised Estimating Equations
Accurately estimating the correlations among clinical trial outcomes is crucial for managing the risk of biopharmaceutical investment portfolios. We propose a novel algorithm for estimating correlations in large clinical trial datasets using a generalised estimating equations (GEE) framework. Our algorithm outperforms existing methods in both convergence speed and computational efficiency. Empirical analysis of over 25,000 clinical trials reveals…
The Health of Nations Fund
We explore the design and performance of a “Health of Nations Fund,” a proposed securitization of a biomedical “megafund” that pools capital to invest in a diversified set of global drug development projects. Incorporating assets from four stages of the drug development process as well as royalties from approved therapeutics across eight therapeutic areas, our Monte Carlo simulations show that such a megafund can deliver an annual expected return…
Economics (5 works) · Financial economics (5 works) · Financial Markets and Investment Strategies (4 works) · Business (3 works) · Chinese history and philosophy (3 works) · Computer Science (3 works) · History (3 works) · Art (2 works) · Banking stability, regulation, efficiency (2 works) · Complex Systems and Time Series Analysis (2 works)