结果：找到“andrew w.lo”相关内容50个，排序为按回复时间降序，搜索更多相关帖子请点击“高级”
Business Economics by N. Gregory Mankiw, Mark P. Taylor, and Andrew Ashwin
6 个回复 - 4412 次查看 Authors: N. Gregory Mankiw, Mark P. Taylor, and Andrew Ashwin Year: 20132015-12-18 08:10 - smartlife - 微观经济学
6 个回复 - 4412 次查看 Authors: N. Gregory Mankiw, Mark P. Taylor, and Andrew Ashwin Year: 20132015-12-18 08:10 - smartlife - 微观经济学
Andrew W.Lo:The Psychophysiology of Real-Time Financial Risk Processing
1 个回复 - 1379 次查看 Abstract: A longstanding controversy in economics and finance is whether financial markets are governed by rational forces or by emotional responses. We study the importance of emotion in the ...2013-5-17 21:54 - delphy_crystal - 金融学（理论版）
1 个回复 - 1379 次查看 Abstract: A longstanding controversy in economics and finance is whether financial markets are governed by rational forces or by emotional responses. We study the importance of emotion in the ...2013-5-17 21:54 - delphy_crystal - 金融学（理论版）
Urban Regeneration in the UK First Edition by Andrew Tallon
1 个回复 - 715 次查看 Exploring the streets of London, Manchester, Belfast, Edinburgh or Cardiff, one cannot help but notice the striking transformations taking place in the urban landscapes. This prominent regeneratio ...2017-10-3 01:05 - jackyququ - 房地产专版
1 个回复 - 715 次查看 Exploring the streets of London, Manchester, Belfast, Edinburgh or Cardiff, one cannot help but notice the striking transformations taking place in the urban landscapes. This prominent regeneratio ...2017-10-3 01:05 - jackyququ - 房地产专版
Andrew W.Lo:Fear, Greed, and Financial Crises: A Cognitive Neuroscience Perspect
2 个回复 - 1815 次查看 Historical accounts of financial crises suggest that fear and greed are the common denominators of these disruptive events: periods of unchecked greed eventually lead to excessive leverage and uns ...2013-5-17 22:39 - delphy_crystal - 金融学（理论版）
2 个回复 - 1815 次查看 Historical accounts of financial crises suggest that fear and greed are the common denominators of these disruptive events: periods of unchecked greed eventually lead to excessive leverage and uns ...2013-5-17 22:39 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Data-Snooping Biases in Tests of Financial Asset Pricing Models
1 个回复 - 1353 次查看 We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using ret ...2013-5-17 23:10 - delphy_crystal - 金融学（理论版）
1 个回复 - 1353 次查看 We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using ret ...2013-5-17 23:10 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Econometric Models of Limit-Order Executions
1 个回复 - 1745 次查看 This paper attempts to assess whether money can generate persistent economic fluctuations in dynamic general equilibrium models of the business cycle. We show that a small nominal friction in the ...2013-5-17 23:12 - delphy_crystal - 金融学（理论版）
1 个回复 - 1745 次查看 This paper attempts to assess whether money can generate persistent economic fluctuations in dynamic general equilibrium models of the business cycle. We show that a small nominal friction in the ...2013-5-17 23:12 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:An Econometric Analysis of Nonsynchronous Trading
1 个回复 - 1483 次查看 We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to generalizing existing models of non-trading our framework allows the explicit c ...2013-5-17 23:21 - delphy_crystal - 金融学（理论版）
1 个回复 - 1483 次查看 We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to generalizing existing models of non-trading our framework allows the explicit c ...2013-5-17 23:21 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Implementing Option Pricing Models When Asset Return are Predictable
1 个回复 - 1332 次查看 Option pricing formulas obtained from continuous-time no- arbitrage arguments such as the Black-Scholes formula generally do not depend on the drift term of the underlying asset's diffusion equati ...2013-5-17 23:47 - delphy_crystal - 金融学（理论版）
1 个回复 - 1332 次查看 Option pricing formulas obtained from continuous-time no- arbitrage arguments such as the Black-Scholes formula generally do not depend on the drift term of the underlying asset's diffusion equati ...2013-5-17 23:47 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Privacy-Preserving Methods for Sharing Financial Risk Exposures
1 个回复 - 1167 次查看 Unlike other industries in which intellectual property is patentable, the financial industry relies on trade secrecy to protect its business processes and methods, which can obscure critical finan ...2013-5-17 23:53 - delphy_crystal - 金融学（理论版）
1 个回复 - 1167 次查看 Unlike other industries in which intellectual property is patentable, the financial industry relies on trade secrecy to protect its business processes and methods, which can obscure critical finan ...2013-5-17 23:53 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Nonparametric Estimation of State-Price Densities Implicit in FAP
1 个回复 - 1105 次查看 Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in ...2013-5-17 23:59 - delphy_crystal - 金融学（理论版）
1 个回复 - 1105 次查看 Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in ...2013-5-17 23:59 - delphy_crystal - 金融学（理论版）
《金融市场计量经济学》约翰.Y.坎贝尔(John Y. Campbell)安德鲁.W.罗(Andrew W. Lo)
13 个回复 - 7756 次查看 2010-2-6 13:09 - kingwqh - 商学院
13 个回复 - 7756 次查看 2010-2-6 13:09 - kingwqh - 商学院
【学习笔记】求Andrew Lo的Adaptive Markets这本书：https://bbs.pinggu.org/ ...
0 个回复 - 473 次查看 求Andrew Lo的Adaptive Markets这本书：https://bbs.pinggu.org/thread-7238539-1-1.html2019-12-11 22:54 - celia_枫 - Forum
0 个回复 - 473 次查看 求Andrew Lo的Adaptive Markets这本书：https://bbs.pinggu.org/thread-7238539-1-1.html2019-12-11 22:54 - celia_枫 - Forum
免费下载《金融市场计量经济学》约翰.Y.坎贝尔(John Y. Campbell)安德鲁.W.罗(Andrew W. Lo)等
227 个回复 - 30678 次查看 一本好书，就不介绍了！！免费了 上次发帖的时候文件没有传上来，被楼下的批评了，第一次发贴，不好意思 特送上《江恩：华尔街四十五年》，表示歉意！！！！！！！[/UseMoney] [此贴子已经被作者于2007-7-30 19 ...2007-1-22 11:20 - hgjr0201 - 计量经济学与统计软件
227 个回复 - 30678 次查看 一本好书，就不介绍了！！免费了 上次发帖的时候文件没有传上来，被楼下的批评了，第一次发贴，不好意思 特送上《江恩：华尔街四十五年》，表示歉意！！！！！！！[/UseMoney] [此贴子已经被作者于2007-7-30 19 ...2007-1-22 11:20 - hgjr0201 - 计量经济学与统计软件
Andrew W.Lo:An Ordered Probit Analysis of Transaction Stock Prices
3 个回复 - 1665 次查看 We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. Such an approach takes into account the fact that ...2013-5-18 00:03 - delphy_crystal - 金融学（理论版）
3 个回复 - 1665 次查看 We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. Such an approach takes into account the fact that ...2013-5-18 00:03 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Long-Term Memory in Stock Market Prices
2 个回复 - 1371 次查看 A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's range over standard deviation or R/S statistic, for which the relevant as ...2013-5-18 00:01 - delphy_crystal - 金融学（理论版）
2 个回复 - 1371 次查看 A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's range over standard deviation or R/S statistic, for which the relevant as ...2013-5-18 00:01 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Pricing and Hedging Derivative Securities in Incomplete Markets
1 个回复 - 1294 次查看 Given a European derivative security with an arbitrary payoff function and a corresponding set of underlying securities on which the derivative security is based, we solve the dynamic replication ...2013-5-18 00:10 - delphy_crystal - 金融学（理论版）
1 个回复 - 1294 次查看 Given a European derivative security with an arbitrary payoff function and a corresponding set of underlying securities on which the derivative security is based, we solve the dynamic replication ...2013-5-18 00:10 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Trading Volume: Definitions, Data Analysis, and Implications
2 个回复 - 1791 次查看 We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two-fund separation theorems suggest a natural definition for trading activity: share turno ...2013-5-17 23:08 - delphy_crystal - 金融学（理论版）
2 个回复 - 1791 次查看 We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two-fund separation theorems suggest a natural definition for trading activity: share turno ...2013-5-17 23:08 - delphy_crystal - 金融学（理论版）
MIT 金融巨牛 Andrew Lo 著作 《A Non-Random Walk Down Wall Street》 只需1论坛币
105 个回复 - 9552 次查看 只看看他在MIT官网上的简历就把我吓尿了。最近在读他的书和paper。大家一起进步吧。 **** 本内容被作者隐藏 ****2013-10-6 11:53 - yahoochao - 金融学（理论版）
105 个回复 - 9552 次查看 只看看他在MIT官网上的简历就把我吓尿了。最近在读他的书和paper。大家一起进步吧。 **** 本内容被作者隐藏 ****2013-10-6 11:53 - yahoochao - 金融学（理论版）
[求助] logit回归模型拟合优度检验HL与Andrews统计量不一致怎么办
3 个回复 - 8378 次查看 [求助] 在做logit回归模型时，拟合优度检验HL与Andrews统计量对模型拟合优度的评价不一致。 如： H-L Statistic：8.424 & ...2008-4-25 22:01 - cau-whb - EViews专版
3 个回复 - 8378 次查看 [求助] 在做logit回归模型时，拟合优度检验HL与Andrews统计量对模型拟合优度的评价不一致。 如： H-L Statistic：8.424 & ...2008-4-25 22:01 - cau-whb - EViews专版
Andrew W.Lo: Risk management For Hedge Funds
4 个回复 - 2711 次查看 Although risk management has been a well-ploughed field in financial modeling for over two decades, traditional risk management tools such as mean-variance analysis, beta, and Value-at-Risk do not c ...2013-5-17 18:33 - delphy_crystal - 金融学（理论版）
4 个回复 - 2711 次查看 Although risk management has been a well-ploughed field in financial modeling for over two decades, traditional risk management tools such as mean-variance analysis, beta, and Value-at-Risk do not c ...2013-5-17 18:33 - delphy_crystal - 金融学（理论版）
Andrew W. Lo :Can Hedge-Fund Returns Be Replicated?: The Linear Case
2 个回复 - 1368 次查看 Abstract: Hedge funds are often cited as attractive investments because of their diversification benefits and distinctive risk profiles - in contrast to traditional investments such as sto ...2013-5-17 18:46 - delphy_crystal - 金融学（理论版）
2 个回复 - 1368 次查看 Abstract: Hedge funds are often cited as attractive investments because of their diversification benefits and distinctive risk profiles - in contrast to traditional investments such as sto ...2013-5-17 18:46 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge
1 个回复 - 1220 次查看 We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be ...2013-5-17 22:37 - delphy_crystal - 金融学（理论版）
1 个回复 - 1220 次查看 We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be ...2013-5-17 22:37 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Sifting through the Wreckage: Lessons from Recent Hedge-Fund Liquida
3 个回复 - 1439 次查看 We document the empirical properties of a sample of 1,765 funds in the TASS Hedge Fund database from 1994 to 2004 that are no longer active. The TASS sample shows that attrition rates differ signi ...2013-5-17 22:36 - delphy_crystal - 金融学（理论版）
3 个回复 - 1439 次查看 We document the empirical properties of a sample of 1,765 funds in the TASS Hedge Fund database from 1994 to 2004 that are no longer active. The TASS sample shows that attrition rates differ signi ...2013-5-17 22:36 - delphy_crystal - 金融学（理论版）
Andrew W.Lo :SYSTEMIC RISK AND HEDGE FUNDS
3 个回复 - 1399 次查看 Abstract: Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial institutions---typically banks---that occur over a short period of time, ...2013-5-17 21:26 - delphy_crystal - 金融学（理论版）
3 个回复 - 1399 次查看 Abstract: Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial institutions---typically banks---that occur over a short period of time, ...2013-5-17 21:26 - delphy_crystal - 金融学（理论版）
Andrew Millard.Archaeology using OpenBUGS
0 个回复 - 1099 次查看 2013-11-11 01:34 - Nicolle - winbugs及其他软件专版
0 个回复 - 1099 次查看 2013-11-11 01:34 - Nicolle - winbugs及其他软件专版
Andrew W.Lo:Stock Market Prices Do Not Follow Random Walks
1 个回复 - 1160 次查看 In this paper, 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 stro ...2013-5-17 22:57 - delphy_crystal - 金融学（理论版）
1 个回复 - 1160 次查看 In this paper, 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 stro ...2013-5-17 22:57 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:SBE 2020: A Complete Theory of Human Behavior
1 个回复 - 1042 次查看 I propose the following grand challenge question for SBE 2020: can we develop a complete theory of human behavior that is predictive in all contexts? The motivation for this question is the fact t ...2013-5-17 22:53 - delphy_crystal - 金融学（理论版）
1 个回复 - 1042 次查看 I propose the following grand challenge question for SBE 2020: can we develop a complete theory of human behavior that is predictive in all contexts? The motivation for this question is the fact t ...2013-5-17 22:53 - delphy_crystal - 金融学（理论版）
Andrew W.Lo: Moore's Law vs. Murphy Law Algorithmic Trading and Its Discontent
1 个回复 - 1591 次查看 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 amon ...2013-5-17 22:46 - delphy_crystal - 金融学（理论版）
1 个回复 - 1591 次查看 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 amon ...2013-5-17 22:46 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Is it Real, or is it Randomized?: A Financial Turing Test
2 个回复 - 1213 次查看 We construct a financial Turing test to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game where pl ...2013-5-18 00:32 - delphy_crystal - 金融学（理论版）
2 个回复 - 1213 次查看 We construct a financial Turing test to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game where pl ...2013-5-18 00:32 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Perspectives: Adaptive Markets and the New World Order
0 个回复 - 1956 次查看 In the adaptive markets hypothesis (AMH) intelligent but fallible investors learn from and adapt to changing economic environments. This implies that markets are not always efficient but are usual ...2013-5-18 00:27 - delphy_crystal - 金融学（理论版）
0 个回复 - 1956 次查看 In the adaptive markets hypothesis (AMH) intelligent but fallible investors learn from and adapt to changing economic environments. This implies that markets are not always efficient but are usual ...2013-5-18 00:27 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:130/30: The New Long-Only
0 个回复 - 1183 次查看 Long-only portfolio managers and investors have acknowledged that the long-only constraint is a potentially costly drag on performance, and loosening this constraint can add value. However, the ma ...2013-5-18 00:23 - delphy_crystal - 金融学（理论版）
0 个回复 - 1183 次查看 Long-only portfolio managers and investors have acknowledged that the long-only constraint is a potentially costly drag on performance, and loosening this constraint can add value. However, the ma ...2013-5-18 00:23 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:The Statistics of Sharpe Ratios
0 个回复 - 1728 次查看 The building blocks of the Sharpe ratio--expected returns and volatilities--are unknown quantities that must be estimated statistically and are, therefore, subject to estimation error. This raises ...2013-5-18 00:19 - delphy_crystal - 金融学（理论版）
0 个回复 - 1728 次查看 The building blocks of the Sharpe ratio--expected returns and volatilities--are unknown quantities that must be estimated statistically and are, therefore, subject to estimation error. This raises ...2013-5-18 00:19 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:The Sources and Nature of Long-Term Memory in the Business Cycle
0 个回复 - 1142 次查看 This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We de ...2013-5-18 00:15 - delphy_crystal - 金融学（理论版）
0 个回复 - 1142 次查看 This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We de ...2013-5-18 00:15 - delphy_crystal - 金融学（理论版）
Andrew W.Lo: Pricing and Hedging Derivative Securities Learning Networks
0 个回复 - 1045 次查看 We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks. Although not a substitute for the more traditional arbitrage-based pricing formu ...2013-5-18 00:13 - delphy_crystal - 金融学（理论版）
0 个回复 - 1045 次查看 We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks. Although not a substitute for the more traditional arbitrage-based pricing formu ...2013-5-18 00:13 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Maximizing Predictability in the Stock and Bond Markets
0 个回复 - 1081 次查看 We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are stati ...2013-5-17 23:03 - delphy_crystal - 金融学（理论版）
0 个回复 - 1081 次查看 We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are stati ...2013-5-17 23:03 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:The Size and Power of the Variance Ratio Test in Finite Samples
0 个回复 - 1334 次查看 We examine the finite sample properties of the variance ratio test of the random walk hypothesis via Monte Carlo simulations under two null and three alternative hypotheses. These results are comp ...2013-5-17 22:59 - delphy_crystal - 金融学（理论版）
0 个回复 - 1334 次查看 We examine the finite sample properties of the variance ratio test of the random walk hypothesis via Monte Carlo simulations under two null and three alternative hypotheses. These results are comp ...2013-5-17 22:59 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:When are Contrarian Profits Due to Stock Market Overreaction?
0 个回复 - 1354 次查看 The profitability of contrarian investment strategies need not be the result of stock market overreaction. Even if returns on individual securities are temporally independent, portfolio strategies ...2013-5-17 22:55 - delphy_crystal - 金融学（理论版）
0 个回复 - 1354 次查看 The profitability of contrarian investment strategies need not be the result of stock market overreaction. Even if returns on individual securities are temporally independent, portfolio strategies ...2013-5-17 22:55 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Securities Trading of Concepts (STOC)
0 个回复 - 1182 次查看 Market prices are well known to efficiently collect and aggregate diverse information regarding the economic value of goods, services, and firms, particularly when trading financial securities. We ...2013-5-17 22:51 - delphy_crystal - 金融学（理论版）
0 个回复 - 1182 次查看 Market prices are well known to efficiently collect and aggregate diverse information regarding the economic value of goods, services, and firms, particularly when trading financial securities. We ...2013-5-17 22:51 - delphy_crystal - 金融学（理论版）
Andrew W.Lo Trading Volume: Implications of an Intertemporal CAPM
0 个回复 - 932 次查看 Abstract: We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset retur ...2013-5-17 21:51 - delphy_crystal - 金融学（理论版）
0 个回复 - 932 次查看 Abstract: We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset retur ...2013-5-17 21:51 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Stock Market Trading Volume
0 个回复 - 953 次查看 Abstract: If price and quantity are the fundamental building blocks of any theory of market interactions, the importance of trading volume in understanding the behavior of financial markets is c ...2013-5-17 21:49 - delphy_crystal - 金融学（理论版）
0 个回复 - 953 次查看 Abstract: If price and quantity are the fundamental building blocks of any theory of market interactions, the importance of trading volume in understanding the behavior of financial markets is c ...2013-5-17 21:49 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Non-Parametric Risk Management and Implied Risk Aversion
0 个回复 - 816 次查看 Abstract: Typical value-at-risk (VaR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for ...2013-5-17 21:47 - delphy_crystal - 金融学（理论版）
0 个回复 - 816 次查看 Abstract: Typical value-at-risk (VaR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for ...2013-5-17 21:47 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
0 个回复 - 991 次查看 Abstract: We investigate several possible links between psychological factors and trading performance in a sample of 80 anonymous day-traders. Using daily emotional-state surveys over a five-wee ...2013-5-17 21:45 - delphy_crystal - 金融学（理论版）
0 个回复 - 991 次查看 Abstract: We investigate several possible links between psychological factors and trading performance in a sample of 80 anonymous day-traders. Using daily emotional-state surveys over a five-wee ...2013-5-17 21:45 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Asset Prices and Trading Volume Under Fixed Transactions Costs
0 个回复 - 1025 次查看 Abstract: We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents fixed transactions costs. We show that even small fixed costs can give rise to large ...2013-5-17 21:43 - delphy_crystal - 金融学（理论版）
0 个回复 - 1025 次查看 Abstract: We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents fixed transactions costs. We show that even small fixed costs can give rise to large ...2013-5-17 21:43 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:An Econometric Model of Serial Correlation
0 个回复 - 808 次查看 Abstract: The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long- ...2013-5-17 21:36 - delphy_crystal - 金融学（理论版）
0 个回复 - 808 次查看 Abstract: The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long- ...2013-5-17 21:36 - delphy_crystal - 金融学（理论版）
Andrew W.Lo:Financial Econometrics
0 个回复 - 1224 次查看 Abstract: This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest ...2013-5-17 21:28 - delphy_crystal - 金融学（理论版）
0 个回复 - 1224 次查看 Abstract: This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest ...2013-5-17 21:28 - delphy_crystal - 金融学（理论版）
Andrew W. Lo :Where Do Alphas Come From?: A New Measure of the Value of Active I
0 个回复 - 969 次查看 Abstract: The value of active investment management is traditionally measured by alpha, beta, tracking error, and the Sharpe and information ratios. These are essentially static charact ...2013-5-17 19:09 - delphy_crystal - 金融学（理论版）
0 个回复 - 969 次查看 Abstract: The value of active investment management is traditionally measured by alpha, beta, tracking error, and the Sharpe and information ratios. These are essentially static charact ...2013-5-17 19:09 - delphy_crystal - 金融学（理论版）
Andrew W. Lo :Reconciling Efficient Markets with Behavioral Finance: The Adaptiv
0 个回复 - 1211 次查看 Abstract: The battle between proponents of the Efficient Markets Hypothesis and champions of behavioral finance has never been more pitched, and there is little consensus as to which side is win ...2013-5-17 18:53 - delphy_crystal - 金融学（理论版）
0 个回复 - 1211 次查看 Abstract: The battle between proponents of the Efficient Markets Hypothesis and champions of behavioral finance has never been more pitched, and there is little consensus as to which side is win ...2013-5-17 18:53 - delphy_crystal - 金融学（理论版）
A Non-Random Walk Down Wall Street by Andrew W. Lo and A. Craig MacKinlay
9 个回复 - 4078 次查看 A Non-Random Walk Down Wall Street by Andrew W. Lo and A. Craig MacKinlay [此贴子已经被作者于2006-6-8 0:26:39编辑过]2006-1-13 14:09 - aresn - 金融学（理论版）
9 个回复 - 4078 次查看 A Non-Random Walk Down Wall Street by Andrew W. Lo and A. Craig MacKinlay [此贴子已经被作者于2006-6-8 0:26:39编辑过]2006-1-13 14:09 - aresn - 金融学（理论版）
