Michael J. Lewis

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

New York University

New York, NY 10012

United States

True Positive Technologies

12 East 49th Street, Floor 37

New York, NY 10017

United States

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Detection of False Investment Strategies Using Unsupervised Learning Methods

Number of pages: 26 Posted: 23 Apr 2018 Last Revised: 20 May 2018
Marcos Lopez de Prado and Michael J. Lewis
Lawrence Berkeley National Laboratory and True Positive Technologies
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Abstract:

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