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Lopez de Prado, Marcos


 SSRN Author Rank: 39 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
 

RCC at Harvard University


 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
92,441
Total
Citations
69
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 |
The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Accepted Paper Series
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
16,655
(72)
15

2.  
Flow Toxicity and Liquidity in a High Frequency World | Show Abstract | Download |
Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Accepted Paper Series
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
14,878
(87)
21

3.  
The Exchange of Flow Toxicity | Show Abstract | Download |
The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Accepted Paper Series
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
6,286
(458)
6

4.  
Measuring Loss Potential of Hedge Fund Strategies | Show Abstract | Download |
Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004
Accepted Paper Series
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Peijan, Achim
UBS Wealth Managment Research
Posted:
04 Jan 05
5,973
(501)
4

5.  
The Volume Clock: Insights into the High Frequency Paradigm | Show Abstract | Download |
The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Accepted Paper Series
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
5,547
(579)
6

6.  
The Sharpe Ratio Efficient Frontier | Show Abstract | Download |
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Accepted Paper Series
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
24 Apr 11
Last Revised:
23 Apr 14
4,852
(727)
3

7.  
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance | Show Abstract | Download |
Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Accepted Paper Series
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
4,650
(777)
 

8.  
Advances in Cointegration and Subset Correlation Hedging Methods | Show Abstract | Download |
Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Accepted Paper Series
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Leinweber, David
Lawrence Berkeley National Laboratory
Posted:
08 Aug 11
Last Revised:
31 Jan 14
3,721
(1,133)
1

9.  
A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm | Show Abstract | Download |
Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Accepted Paper Series
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Foreman, Matthew
University of California, Irvine
Posted:
22 Sep 11
Last Revised:
27 Oct 13
2,728
(1,994)
3

10.  
Bulk Classification of Trading Activity | Show Abstract | Download |
Johnson School Research Paper Series No. 8-2012
Working Paper Series
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:
02 Apr 13
2,570
(2,232)
6

11.  
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:
23 Mar 14
2,164
(2,999)
 

12.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Sep 12
Last Revised:
26 May 14
1,871
(3,832)
 

13.  
Advances in High Frequency Strategies | Show Abstract | Download |
Doctoral Dissertation, Complutense University, Madrid, 2011
Working Paper Series
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
14 Jul 12
Last Revised:
20 Aug 12
1,832
(3,984)
 

14.  
Optimal Execution Horizon | Show Abstract | Download |
Mathematical Finance, 2013
Accepted Paper Series
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
1,798
(4,149)
2

15.  
VPIN and the Flash Crash: A Comment | Show Abstract | Download |
Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Accepted Paper Series
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
1,676
(4,672)
1

16.  
Balanced Baskets: A New Approach to Trading and Hedging Risks | Show Abstract | Download |
Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Accepted Paper Series
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
24 May 12
Last Revised:
08 Sep 12
1,582
(5,172)
1

17.  
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
1,485
(5,804)
 

18.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Jan 13
Last Revised:
25 Mar 13
1,469
(5,908)
 

19.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
12 Aug 13
Last Revised:
26 May 14
1,262
(7,550)
 

20.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 Jan 13
Last Revised:
29 Jun 14
1,196
(8,290)
 

21.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Sep 12
Last Revised:
26 May 14
1,167
(8,638)
 

22.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
22 Apr 13
Last Revised:
29 Jun 14
931
(12,345)
 

23.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Rebonato, Riccardo
University of Oxford - Mathematical Institute
Posted:
08 Apr 14
Last Revised:
16 May 14
866
(13,792)
 

24.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
11 Feb 13
Last Revised:
26 May 14
795
(15,693)
 

25.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Nov 12
Last Revised:
26 May 14
779
(16,155)
 

26.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
23 Sep 12
Last Revised:
28 Jul 14
762
(16,726)
 

27.  
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
702
(18,789)
 

28.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
08 Nov 12
Last Revised:
26 May 14
675
(19,866)
 

29.  
Stochastic Flow Diagrams | Show Abstract | Download |
Algorithmic Finance 2014, 3:1-2, 21-42
Accepted Paper Series
Calkin, Neil J.
Clemson University
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 Jan 14
Last Revised:
27 May 14
569
(25,189)
 

30.  
Calkin, Neil J.
Clemson University
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
16 Jan 14
Last Revised:
27 May 14
297
(56,889)
 

31.  
Bailey, David H.
Lawrence Berkeley National Laboratory
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
01 Jul 14
Last Revised:
28 Jul 14
293
(58,049)
 

32.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
20 Jan 14
Last Revised:
26 May 14
246
(70,074)
 

33.  
Lopez de Prado, Marcos
Guggenheim Partners, LLC
Posted:
14 Jul 14
Last Revised:
28 Jul 14
164
(107,611)
 


Records 1 - 33 of 33 matches
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