Copyright © 1999 by Princeton University Press
Published by Princeton University Press, 41 William Street,
Princeton, New Jersey 08540
In the United Kingdom: Princeton University Press, 3 Market Place,
Woodstock, Oxfordshire 0X20 1SY

All Rights Reserved

Fifth printing, and first paperback printing, 2002
Paperback ISBN 0-691-09256-7

The Library of Congress has cataloged the cloth edition of this book as follows

Lo, Andrew W. (Andrew Wen-Chuan)

A non-random walk down Wall Street / Andrew W. Lo and A. Craig MacKinlay.

     p. cm.

Includes bibliographical references and index.

ISBN 0-691-05774-5 (alk. paper)

1. Stocks—Prices—Mathematical models. 2. Random walks

      (Mathematics) I. MacKinlay, Archie Craig, 1955– . II. Title.

HG4915.L6   1999

332.63'222—dc21

98-31390

British Library Cataloging-in-Publication Data is available

This book was composed in ITC New Baskerville with LATEX by Archetype
Publishing Inc., 15 Turtle Pointe Road, Monticello, IL 61856

Printed on acid-free paper. ∞

www.pup.princeton.edu

Printed in the United States of America

10   9   8

ISBN-13: 978-0-691-09256-0 (pbk.)