Marcos Lopez de Prado

Harvard University

1875 Cambridge Street

Cambridge, MA 02138

United States

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1.

Optimal Execution Horizon

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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
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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
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Citation 16

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