Michael J. Lewis

New York University (NYU) - Courant Institute of Mathematical Sciences

New York University

New York, NY 10012

United States

Bank of America

United States

  • New York University (NYU) - Courant Institute of Mathematical Sciences

  • Bank of America

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Detection of False Investment Strategies Using Unsupervised Learning Methods

Number of pages: 25 Posted: 23 Apr 2018 Last Revised: 07 May 2019
Marcos Lopez de Prado, Marcos Lopez de Prado and Michael J. Lewis
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 7,846 (1,473)
Citation 6

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Backtest overfitting, selection bias, multiple testing, quantitative investments, machine learning, financial fraud

2.

Improved Portfolio Diversification Through Unsupervised Learning

Number of pages: 29 Posted: 19 Oct 2023
Michael J. Lewis
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 85 (500,519)

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Risk parity, tree graph, cluster, recursive, inverse rank-one update, metric space