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Marcos Lopez de Prado

SSRN Author Rank: 32 by Downloads and 7,715 by Citations

 Senior Managing Director
 

Guggenheim Partners, LLC


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

Lawrence Berkeley National Laboratory


 1 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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. Marcos Lopez de Prado's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
132,691
Total
Citations
60
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 | Open PDF in Browser |
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
16,974
(96)
14

2.  
Flow Toxicity and Liquidity in a High Frequency World | Show Abstract | Download This Paper | Open PDF in Browser |
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
15,038
(121)
20

3.  
The Volume Clock: Insights into the High Frequency Paradigm | Show Abstract | Download This Paper | Open PDF in Browser |
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
6,878
(458)
5

4.  
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance | Show Abstract | Download This Paper | Open PDF in Browser |
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:
05 Jul 15
6,523
(424)
1

5.  
The Exchange of Flow Toxicity | Show Abstract | Download This Paper | Open PDF in Browser |
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
6,310
(632)
5

6.  
Measuring Loss Potential of Hedge Fund Strategies | Show Abstract | Download This Paper | Open PDF in Browser |
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
6,024
(685)
3

7.  
The Sharpe Ratio Efficient Frontier | Show Abstract | Download This Paper | Open PDF in Browser |
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
5,519
(692)
3

8.  
Advances in Cointegration and Subset Correlation Hedging Methods | Show Abstract | Download This Paper | Open PDF in Browser |
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
4,285
(1,276)
1

9.  
The Probability of Backtest Overfitting | Show Abstract | Download This Paper | Open PDF in Browser |
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:
05 Jul 15
3,938
(806)
 

10.  
Discerning Information from Trade Data | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Economics, 120(2), pp. 269-286. May 2016, 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:
16 May 16
3,135
(1,624)
1

11.  
A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm | Show Abstract | Download This Paper | Open PDF in Browser |
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
2,914
(2,323)
3

12.   Incl. Electronic Paper
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:
06 Jun 15
2,432
(3,433)
2

13.  
VPIN and the Flash Crash: A Comment | Show Abstract | Download This Paper | Open PDF in Browser |
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
2,324
(3,699)
1

14.  
Advances in High Frequency Strategies | Show Abstract | Download This Paper | Open PDF in Browser |
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:
08 Aug 15
2,309
(2,985)
 

15.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Sep 12
Last Revised:
26 May 14
2,299
(3,250)
 

16.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
12 Aug 13
Last Revised:
05 Jul 15
2,154
(3,097)
 

17.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Jan 13
Last Revised:
02 Jan 16
1,969
(3,404)
 

18.  
Balanced Baskets: A New Approach to Trading and Hedging Risks | Show Abstract | Download This Paper | Open PDF in Browser |
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
1,909
(4,320)
1

19.  
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
1,768
(5,303)
 

20.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 Jan 13
Last Revised:
10 Jun 16
1,565
(6,033)
 

21.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Rebonato, Riccardo
University of Oxford - Mathematical Institute
Posted:
08 Apr 14
Last Revised:
08 Aug 16
1,477
(5,234)
 

22.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Sep 12
Last Revised:
26 May 14
1,360
(7,827)
 

23.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Vince, Ralph
LSP Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
07 Dec 13
Last Revised:
05 Jul 15
1,182
(8,587)
 

24.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
22 Apr 13
Last Revised:
29 Jun 14
1,168
(10,659)
 

25.  
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality | Show Abstract | Download This Paper | Open PDF in Browser |
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:
05 Jul 15
1,142
(7,692)
 

26.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
11 Feb 13
Last Revised:
05 Jul 15
1,092
(11,261)
 

27.  
Stochastic Flow Diagrams | Show Abstract | Download This Paper | Open PDF in Browser |
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
995
(11,174)
 

28.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Nov 12
Last Revised:
05 Jul 15
979
(14,520)
 

29.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Sep 12
Last Revised:
28 Jul 14
962
(14,869)
 

30.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Nov 12
Last Revised:
26 May 14
850
(17,890)
 

31.  
Calkin, Neil J.
Clemson University
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 Jan 14
Last Revised:
27 May 14
655
(18,692)
 

32.  
The Future of Empirical Finance | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Portfolio Management, 41(4). Summer 2015. Forthcoming.
Number of Pages in PDF File: 12
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
24 May 15
Last Revised:
05 Jul 15
625
(16,205)
 

33.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 May 15
Last Revised:
05 Jul 15
589
(18,597)
 

34.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
14 Jul 14
Last Revised:
05 Jul 15
540
(32,375)
 

35.  
Statistical Overfitting and Backtest Performance | Show Abstract | Download This Paper | Open PDF in Browser |
"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:
05 Jul 15
531
(23,452)
 

36.  
Quantitative Meta-Strategies | Show Abstract | Download This Paper | Open PDF in Browser |
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
505
(19,027)
 

37.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
29 Sep 14
Last Revised:
05 Jul 15
481
(28,967)
 

38.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
20 Jan 14
Last Revised:
05 Jul 15
473
(35,602)
 

39.  
Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform | Show Abstract | Download This Paper | Open PDF in Browser |
Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of Pages in PDF File: 26
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:
05 Mar 16
414
(38,721)
 

40.  
Recent Trends in Empirical Finance | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Portfolio Management, Vol. 41, No. 4, 2015 Forthcoming
Number of Pages in PDF File: 8
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
03 Aug 15
Last Revised:
04 Aug 15
370
(26,976)
 

41.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
27 Apr 15
Last Revised:
05 Jul 15
358
(34,909)
 

42.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Borwein, Jonathan M.
Royal Society of Canada
Salehipour, Amir
University of Newcastle, Australia
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
23 Apr 15
Last Revised:
01 Dec 15
311
(46,987)
 

43.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
13 May 15
308
(44,159)
 

44.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
20 Oct 14
228
(82,686)
 

45.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
09 Mar 15
Last Revised:
05 Jul 15
209
(63,353)
 

46.  
Mathematical Appendices to: 'The Probability of Backtest Overfitting' | Show Abstract | Download This Paper | Open PDF in Browser |
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:
05 Jul 15
170
(75,350)
 

47.  
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
12 Sep 15
141
(38,906)
 

48.  
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer | Show Abstract | Download This Paper | Open PDF in Browser |
IEEE Journal of Selected Topics in Signal Processing, Forthcoming, 2016
Number of Pages in PDF File: 12
Rosenberg, Gili
1QBit
Haghnegahdar, Poya
1QBit
Goddard, Phil
1QBit
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Wu, Kesheng
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
24 Aug 15
Last Revised:
16 May 16
104
(38,633)
 

49.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Vince, Ralph
LSP Partners, LLC
Zhu, Qiji Jim
Western Michigan University
Posted:
29 Jun 15
96
(111,827)
 

50.  
Mathematics and Economics: A Reality Check | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Portfolio Management, Vol. 43, No. 1, 2016
Number of Pages in PDF File: 6
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
13 Aug 16
Last Revised:
21 Aug 16
0
(144,431)
 

51.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Borwein, Jonathan M.
Royal Society of Canada
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
29 Feb 16
Last Revised:
20 Jul 16
0
(19,715)
 

52.  
Backtest Overfitting in Financial Markets | Show Abstract | Download This Paper | Open PDF in Browser |
Automated Trader, 2016, 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
Salehipour, Amir
University of Newcastle, Australia
Zhu, Qiji Jim
Western Michigan University
Posted:
15 Feb 16
0
(40,462)
 

53.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
11 Jan 16
Last Revised:
14 Aug 16
0
(14,804)
 

54.  
Building Diversified Portfolios that Outperform Out-of-Sample | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Portfolio Management, 2016, Forthcoming
Number of Pages in PDF File: 31
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
28 Dec 15
Last Revised:
24 May 16
0
(6,640)
 

55.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Nov 15
0
(39,983)
 

56.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
07 Oct 15
Last Revised:
14 May 16
0
(101,490)
 

57.  
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:
09 Sep 15
Last Revised:
07 Mar 16
0
(51,481)
 


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