Marcos Lopez de Prado

Harvard University

1875 Cambridge Street

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 26,268

SSRN RANKINGS

Top 26,268

in Total Papers Downloads

2,386

SSRN CITATIONS
Rank 33,447

SSRN RANKINGS

Top 33,447

in Total Papers Citations

15

CROSSREF CITATIONS

10

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Optimal Execution Horizon

Downloads 1 ( 3,391)
Citation 10

Optimal Execution Horizon

Mathematical Finance, Vol. 25, Issue 3, pp. 640-672, 2015
Number of pages: 33 Posted: 05 Jun 2015
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Harvard University and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1 (828,687)
  • Add to Cart

Abstract:

Loading...

liquidity, flow toxicity, broker, VWAP, market microstructure, adverse selection, probability of informed trading, VPIN, OEH

2.

Microstructure in the Machine Age

Number of pages: 63 Posted: 25 Mar 2019
David Easley, Marcos Lopez de Prado, Maureen O'Hara and Zhibai Zhang
Cornell University - Department of Economics, Harvard University, Cornell University - Samuel Curtis Johnson Graduate School of Management and New York University (NYU) - NYU Tandon School of Engineering
Downloads 2,385 (7,380)
Citation 16

Abstract:

Loading...

Market Microstructure, Machine Learning, Features Importance, MDI, MDA, Futures