Jun He
Post
Research
Note
Data
Bergen
🌞
Andrew W. Lo
← Papers reviewed on this blog
[2004 JFE]
高夏普、低波动的对冲基金，藏着一台「收益熨平机」
An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Jun 2026
[2002 JFE]
挂单要等多久才成交？——别再用「股价碰一下」来糊弄自己
Econometric Models of Limit-order Executions
Jun 2026
[1992 JFE]
价格只跳「八分之一」，但它背后藏着一条连续的影子
An Ordered Probit Analysis of Transaction Stock Prices
Dec 1992