Michael J. Lewis

True Positive Technologies

12 East 49th Street, Floor 37

New York, NY 10017

United States

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

New York University

New York, NY 10012

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Detection of False Investment Strategies Using Unsupervised Learning Methods

Number of pages: 24 Posted: 23 Apr 2018 Last Revised: 19 Aug 2018
Marcos Lopez de Prado and Michael J. Lewis
AQR Capital Management, LLC and True Positive Technologies
Downloads 2,676 (4,013)

Abstract:

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

2.

What is the Optimal Significance Level for Investment Strategies?

Number of pages: 25 Posted: 11 Jun 2018 Last Revised: 25 Jun 2018
Marcos Lopez de Prado and Michael J. Lewis
AQR Capital Management, LLC and True Positive Technologies
Downloads 550 (45,439)

Abstract:

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True positive, false positive, power, significance, recall, multiple testing, non-Normal returns, clustering, machine learning