Lo wins Iafe financial engineer of the year award

Lo was given the award, sponsored by SunGard Risk and Trading, for his advancement of investment management theory and financial econometrics, particularly for his work on the non-random nature of financial markets. He is the ninth recipient of the award since its inception in 1993, and praised earlier winners for inspiring some of his work.

"Dr Lo's work in the foundations of technical analysis and his empirical studies of the stock market are tremendously valuable to investors and investment managers," said Tanya Styblo Beder, chairman of the Iafe.

Lo’s research interests include the empirical validation and implementation of financial asset pricing models; the pricing of options and other derivative securities, as well as financial engineering and risk management. He has published numerous articles in finance and economics journals, and is an associate editor of the Journal of Computational Finance, published by Risk Waters Group.

He is also a governor of the Boston Stock Exchange, a research associate of the National Bureau of Economic Research, and founder and chief scientific officer of AlphaSimplex Group, a quantitative investment management company based in Cambridge, Massachusetts.

Last year’s winner was Emanuel Derman, managing director at Goldman Sachs and head of the firm’s derivatives analysis group in firm-wide risk. Derman is a frequent contributor to Risk magazine, a sister publication to RiskNews.

The award will be presented to Lo during the Iafe’s 2001 annual conference on February 7 at the United Nations in New York City.