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Measuring systemic risk in the finance and insurance sectors

Billio, Monica; Getmansky, Mila; Lo, Andrew W.; … - 2010 - This draft: March 10, 2010

Persistent link: https://www.econbiz.de/10003947721

Can hedge funds time market liquidity?

Cao, Charles Q.; Chen, Yong; Liang, Bing; Lo, Andrew W. - In: Journal of financial economics 109 (2013) 2, pp. 493-516

Persistent link: https://www.econbiz.de/10009784174

Econometric models of limit-order executions

Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 1997

Persistent link: https://www.econbiz.de/10000645107

Econometric models of limit-order executions

Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 1999

Persistent link: https://www.econbiz.de/10001408440

Optimal control of execution costs

Bertsimas, Dimitris - In: Journal of financial markets 1 (1998) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10001249274

Stop-loss strategies with serial correlation, regime switching, and transaction costs

Lo, Andrew W.; Remorov, Alexander - In: Journal of financial markets 34 (2017), pp. 1-15

Persistent link: https://www.econbiz.de/10011815030

Asset prices and trading volume under fixed transactions costs

Lo, Andrew W.; Mamaysky, Harry; Wang, Jiang - 2001

Persistent link: https://www.econbiz.de/10001585169

Asset prices and trading volume under fixed transactions costs

Lo, Andrew W.; Mamaysky, Harry; Wang, Jiang - In: Journal of political economy 112 (2004) 5, pp. 1054-1090

Persistent link: https://www.econbiz.de/10002361129

Econometric models of limit-order executions

Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - In: Journal of financial economics 65 (2002) 1, pp. 31-71

Persistent link: https://www.econbiz.de/10001690102

Asset Prices and Trading Volume Under Fixed Transactions Costs

Lo, Andrew W. - 2001

We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents facing 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 and a significant illiquidity discount in...

Persistent link: https://www.econbiz.de/10012470413