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Lopez de Prado, Marcos


 SSRN Author Rank: 36 by Downloads
 Senior Managing Director
 

Guggenheim Partners, LLC


 330 Madison Avenue
 New York, NY 10017
 United States
 HOME PAGE: http://www.QuantResearch.info
 email address
 Research Affiliate
 

Lawrence Berkeley National Laboratory


 One Cyclotron Road
 Berkeley, CA 94720
 United States
 HOME PAGE: http://www.lbl.gov
 email address
 Postdoctoral Research Fellow
 

Harvard University - RCC


 26 Trowbridge Street
 Cambridge, MA 02138
 United States
 HOME PAGE: http://www.rcc.harvard.edu
 email address

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. Lopez de Prado, Marcos's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
104,284
Total
Citations
66
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading | Show Abstract | Download This Paper |
The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of Pages in PDF File: 15
Easley, David
Cornell University - Department of Economics
Lopez de Prado, Marcos
Guggenheim Partners, LLC
O'Hara, Maureen
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
22 Oct 10
Last Revised:
31 Jan 11
16,874
(78)
15

2.  
Flow Toxicity and Liquidity in a High Frequency World | Show Abstract | Download This Paper |
Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of Pages in PDF File: 71
Easley, David
Cornell University - Department of Economics
Lopez de Prado, Marcos
Guggenheim Partners, LLC
O'Hara, Maureen
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
23 Oct 10
Last Revised:
15 Apr 12
14,976
(97)
22

3.  
The Volume Clock: Insights into the High Frequency Paradigm | Show Abstract | Download This Paper |
The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Number of Pages in PDF File: 23
Easley, David
Cornell University - Department of Economics
Lopez de Prado, Marcos
Guggenheim Partners, LLC
O'Hara, Maureen
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
05 Apr 12
Last Revised:
20 Aug 12
6,324
(509)
6

4.  
The Exchange of Flow Toxicity | Show Abstract | Download This Paper |
The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Number of Pages in PDF File: 12
Easley, David
Cornell University - Department of Economics
Lopez de Prado, Marcos
Guggenheim Partners, LLC
O'Hara, Maureen
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
27 Jan 11
Last Revised:
27 Feb 12
6,304
(514)
6

5.  
Measuring Loss Potential of Hedge Fund Strategies | Show Abstract | Download This Paper |
Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004
Number of Pages in PDF File: 25
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Peijan, Achim
UBS Wealth Managment Research
Posted:
04 Jan 05
6,000
(558)
4

6.  
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance | Show Abstract | Download This Paper |
Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of Pages in PDF File: 14
Bailey, David H.
Lawrence Berkeley National Laboratory
Borwein, Jonathan M.
Royal Society of Canada
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
12 Aug 13
Last Revised:
14 Apr 14
5,805
(583)
1

7.  
The Sharpe Ratio Efficient Frontier | Show Abstract | Download This Paper |
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of Pages in PDF File: 36
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
24 Apr 11
Last Revised:
23 Apr 14
5,258
(691)
3

8.  
Advances in Cointegration and Subset Correlation Hedging Methods | Show Abstract | Download This Paper |
Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of Pages in PDF File: 37
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Leinweber, David
Lawrence Berkeley National Laboratory
Posted:
08 Aug 11
Last Revised:
31 Jan 14
3,896
(1,165)
1

9.  
The Probability of Backtest Overfitting | Show Abstract | Download This Paper |
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of Pages in PDF File: 34
Bailey, David H.
Lawrence Berkeley National Laboratory
Borwein, Jonathan M.
Royal Society of Canada
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
16 Sep 13
Last Revised:
03 Mar 15
3,199
(1,641)
 

10.  
Discerning Information from Trade Data | Show Abstract | Download This Paper |
Johnson School Research Paper Series No. 8-2012
Number of Pages in PDF File: 56
Easley, David
Cornell University - Department of Economics
Lopez de Prado, Marcos
Guggenheim Partners, LLC
O'Hara, Maureen
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
23 Jan 12
Last Revised:
19 Mar 15
2,882
(1,996)
1

11.  
A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm | Show Abstract | Download This Paper |
Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of Pages in PDF File: 34
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Foreman, Matthew
University of California, Irvine
Posted:
22 Sep 11
Last Revised:
27 Oct 13
2,847
(2,044)
3

12.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Sep 12
Last Revised:
26 May 14
2,158
(3,333)
 

13.  
Advances in High Frequency Strategies | Show Abstract | Download This Paper |
Doctoral Dissertation, Complutense University, Madrid, 2011
Number of Pages in PDF File: 42
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
14 Jul 12
Last Revised:
20 Aug 12
2,118
(3,437)
 

14.  
Optimal Execution Horizon | Show Abstract | Download This Paper |
Mathematical Finance, 2013
Number of Pages in PDF File: 43
Easley, David
Cornell University - Department of Economics
Lopez de Prado, Marcos
Guggenheim Partners, LLC
O'Hara, Maureen
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
12 Apr 12
Last Revised:
21 Feb 13
2,003
(3,773)
2

15.  
VPIN and the Flash Crash: A Comment | Show Abstract | Download This Paper |
Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of Pages in PDF File: 8
Easley, David
Cornell University - Department of Economics
Lopez de Prado, Marcos
Guggenheim Partners, LLC
O'Hara, Maureen
Cornell University - Samuel Curtis Johnson Graduate School of Management
Posted:
18 May 12
Last Revised:
29 Sep 13
1,961
(3,924)
1

16.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
12 Aug 13
Last Revised:
26 May 14
1,813
(4,508)
 

17.  
Balanced Baskets: A New Approach to Trading and Hedging Risks | Show Abstract | Download This Paper |
Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of Pages in PDF File: 44
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
24 May 12
Last Revised:
08 Sep 12
1,782
(4,631)
1

18.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Jan 13
Last Revised:
25 Mar 13
1,763
(4,718)
 

19.  
The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach | Show Abstract | Download This Paper |
Algorithmic Finance, (2013) 2:1, 99-109
Number of Pages in PDF File: 12
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
del Pozo, Eva
Universidad Complutense de Madrid (UCM)
Posted:
15 Feb 12
Last Revised:
20 Jan 14
1,669
(5,198)
 

20.  
Stop-Outs Under Serial Correlation and 'The Triple Penance Rule' | Show Abstract | Download This Paper |
Journal of Risk, 2014, Forthcoming
Number of Pages in PDF File: 35
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 Jan 13
Last Revised:
20 Oct 14
1,436
(6,779)
 

21.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Sep 12
Last Revised:
26 May 14
1,290
(8,068)
 

22.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Rebonato, Riccardo
University of Oxford - Mathematical Institute
Posted:
08 Apr 14
Last Revised:
16 May 14
1,251
(8,495)
 

23.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
22 Apr 13
Last Revised:
29 Jun 14
1,106
(10,403)
 

24.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Vince, Ralph
LSP Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
07 Dec 13
Last Revised:
25 Dec 13
1,004
(12,143)
 

25.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
11 Feb 13
Last Revised:
26 May 14
1,002
(12,176)
 

26.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Nov 12
Last Revised:
26 May 14
938
(13,423)
 

27.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Sep 12
Last Revised:
28 Jul 14
929
(13,639)
 

28.  
Stochastic Flow Diagrams | Show Abstract | Download This Paper |
Algorithmic Finance 2014, 3:1-2, 21-42
Number of Pages in PDF File: 23
Calkin, Neil J.
Clemson University
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 Jan 14
Last Revised:
27 May 14
918
(13,897)
 

29.  
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality | Show Abstract | Download This Paper |
Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue).
Number of Pages in PDF File: 22
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
01 Jul 14
Last Revised:
11 Nov 14
895
(14,423)
 

30.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Nov 12
Last Revised:
26 May 14
830
(16,220)
 

31.  
Calkin, Neil J.
Clemson University
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 Jan 14
Last Revised:
27 May 14
550
(29,078)
 

32.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
14 Jul 14
Last Revised:
28 Jul 14
471
(35,596)
 

33.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
20 Jan 14
Last Revised:
26 May 14
439
(38,955)
 

34.  
Statistical Overfitting and Backtest Performance | Show Abstract | Download This Paper |
"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 (Forthcoming).
Number of Pages in PDF File: 10
Bailey, David H.
Lawrence Berkeley National Laboratory
Ger, Stephanie
Northwestern University - Department of Engineering Sciences and Applied Mathematics
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Sim, Alexander
Lawrence Berkeley National Laboratory
Wu, Kesheng
Lawrence Berkeley National Laboratory
Posted:
09 Oct 14
Last Revised:
02 Feb 15
389
(45,241)
 

35.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
29 Sep 14
Last Revised:
02 Oct 14
358
(50,005)
 

36.  
Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform | Show Abstract | Download This Paper |
Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of Pages in PDF File: 8
Song, Jung Heon
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Simon, Horst D
Lawrence Berkeley National Laboratory
Wu, Kesheng
Lawrence Berkeley National Laboratory
Posted:
30 Aug 14
Last Revised:
08 Oct 14
341
(53,079)
 

37.  
Quantitative Meta-Strategies | Show Abstract | Download This Paper |
Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of Pages in PDF File: 6
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
10 Jan 15
199
(95,146)
 

38.  
Mathematical Appendices to: 'Stop-Outs Under Serial Correlation' | Show Abstract | Download This Paper |
Journal of Risk, 2014, Forthcoming
Number of Pages in PDF File: 13
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
20 Oct 14
183
(102,941)
 

39.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
09 Mar 15
72
(207,154)
 

40.  
Mathematical Appendices to: 'The Probability of Backtest Overfitting' | Show Abstract | Download This Paper |
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of Pages in PDF File: 8
Bailey, David H.
Lawrence Berkeley National Laboratory
Borwein, Jonathan M.
Royal Society of Canada
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
23 Feb 15
Last Revised:
03 Mar 15
51
(246,849)
 


Records 1 - 40 of 40 matches
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