Andrew Lo

Andrew Lo, a specialist in financial engineering and computational finance, is co-author of The Econometrics of Financial Markets (1997), the principal reference text for empirical researchers in finance. With Professor Jiang Wang, he was the first to model fluctuations in trading volume, and to use these fluctuations to infer investor's portfolio strategies and the factors determining risk and return in the stock market. He has also pioneered research on the close interaction between theory and empirical testing with his seminal work on "data snooping," which points out the statistical pitfalls in focusing too long on the same period of history as a source of data for empirical tests.