About the Authors

Thomas J. Brennan

Affiliation Northwestern University School of Law, Chicago, Illinois, United States of America

Andrew W. Lo


Affiliations MIT Sloan School of Management, CSAIL, and EECS, Cambridge, Massachusetts, United States of America, AlphaSimplex Group, LLC, Cambridge, Massachusetts, United States of America

Competing Interests

The authors declare the following competing interests. Andrew W. Lo has the following affiliations and research grants: AlphaSimplex Group, LLC, Chairman and Chief Investment Strategist; U.S. Treasury (Office of Financial Research), Consultant; National Bureau of Economic Research, Research Associate; NY Fed Financial Advisory Roundtable, Member; FINRA Economic Advisory Committee, Member; Consortium for Systemic Risk Analysis, Academic Advisory Committee, Member; Beth Israel Deaconess Medical Center Board of Overseers, Member; research grant from the National Science Foundation on systemic risk; research grant from Citigroup; patent pending on cryptographic methods for computing systemic risk; patent awarded (U.S. Patent No. 7,599,876, “Electronic Market-Maker”); patent awarded (U.S. Patent No.7,562,042, “Data Processor for Implementing Forecasting Algorithms”). According to PLOS ONE, a competing interest is “anything that interferes with, or could reasonably be perceived as interfering with, the full and objective presentation, peer review, editorial decision making, or publication of research or non-research articles submitted to one of the journals.” None of the above affiliations are remotely involved with the subject of the submission to PLOS ONE, nor do they or the authors stand to gain from the publication of this manuscript in PLOS ONE. Moreover, these affiliations do not alter the authors’ adherence to all the PLOS ONE policies on sharing data and materials.

Author Contributions

Conceived and designed the experiments: TB AL. Performed the experiments: TB AL. Analyzed the data: TB AL. Contributed reagents/materials/analysis tools: TB AL. Wrote the paper: TB AL.