The Econometrics of Financial Markets

John Y. Campbell is the Morton L. and Carole S. Olshan Professor of Economics at Harvard University. He is the author of Financial Decisions and Markets (Princeton) and the coauthor of Strategic Asset Allocation. Andrew W. Lo is the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management, director of the MIT Laboratory for Financial Engineering, and an external faculty member at the Santa Fe Institute. His books include Adaptive Markets and Hedge Funds (both Princeton). A. Craig MacKinlay is the Joseph P. Wargrove Professor of Finance at the Wharton School, University of Pennsylvania, where he is also an academic director at the Jacobs Levy Equity Management Center for Quantitative Financial Research. MacKinlay and Lo are the authors of A Non-Random Walk Down Wall Street (Princeton).

"Written by the "A" team of financial empiricism, it is a long awaited book. It covers many topics one could only usually find couched in the technical jargon of research papers, presented in this volume with pedagogical intentions. The language, while remaining technical, is quite accessible. It can be effortlessly read by scientific traders with standard knowledge of statistical methods. . . . This book should be made mandatory reading in research departments." --- "This book is sophisticated, yet accessible; full of details, yet intriguing. . . . Instructors will appreciate the attempt to make each chapter as self contained as possible which leaves them free to choose specified sequences of topics. Professionals will be pleased with the quick and authoritative introductions to important areas of Finance. . . . [A] well written introduction (indeed, something more) to Financial Econometrics. It is alert, explicit and articulate about assumptions . . . a splendid offering."---Maurizio Tiso, Review of Financial Studies --- "The definitive work explaining this complex but important field of academic endeavor. Oh, and by the way, it's not just academic. The big question that financial econometircs addresses is: What can you learn about the future from the financial data available from the past? This broad issue can be specified in many different ways, and all the important ones are discussed in the book. . . . The vast literature on all the topics examined is assessed, rendered coherent, and then analysed by three men who themselves have made significant advances in the field."---Ruben Lee, London Financial Market --- "Winner of the 1997 Paul A. Samuelson Award, TIAA-CREF" --- "Winner of the 1997 Award for Best Professional/Scholarly Book in Economics, Association of American Publishers" --- "Winner of the 2014 Eugene Fama Prize for Outstanding Contributions to Doctoral Education, University of Chicago Booth School of Business"