Michael J. Lewis

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

New York University

New York, NY 10012

United States

Goldman Sachs

200 West Street

New York, NY 10282

United States

SCHOLARLY PAPERS

2

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SSRN CITATIONS

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CROSSREF CITATIONS

4

Scholarly Papers (2)

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 and Michael J. Lewis
Cornell University - Operations Research & Industrial Engineering and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 4,708 (1,839)
Citation 5

Abstract:

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

2.

Confidence and Power of the Sharpe Ratio under Multiple Testing

Number of pages: 13 Posted: 11 Jun 2018 Last Revised: 28 Feb 2019
Marcos Lopez de Prado and Michael J. Lewis
Cornell University - Operations Research & Industrial Engineering and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 910 (26,845)
Citation 3

Abstract:

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