Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering

Professor of Practice

237 Rhodes Hall

Ithaca, NY 14853

United States

http://www.orie.cornell.edu

Abu Dhabi Investment Authority

Global Head - Quantitative Research & Development

211 Corniche Road

Abu Dhabi, Abu Dhabi PO Box3600

United Arab Emirates

http://www.adia.ae

True Positive Technologies

Founder

NY

United States

http://www.truepositive.com

SCHOLARLY PAPERS

118

DOWNLOADS
Rank 6

SSRN RANKINGS

Top 6

in Total Papers Downloads

461,339

SSRN CITATIONS

193

CROSSREF CITATIONS

129

Ideas:
“  Machine learning (ML) is changing virtually every aspect of our lives. Today ML algorithms accomplish tasks that until recently only expert humans could perform. As it relates to finance, this is the most exciting time to adopt a disruptive technology that will transform how everyone invests for generations. Find out more at www.QuantResearch.org  ”

Scholarly Papers (118)

1.

The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)

Number of pages: 44 Posted: 06 Sep 2017 Last Revised: 04 Oct 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 21,179 (143)
Citation 1

Abstract:

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Machine learning, investment strategies, quantamental investing, backtest overfitting

2.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31 Posted: 17 Jul 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 19,716 (165)
Citation 26

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Risk parity, tree graph, cluster, dendogram, linkage, metric space

3.

The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of pages: 15 Posted: 21 May 2019 Last Revised: 30 May 2019
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 18,538 (189)
Citation 37

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Flash crash, liquidity, flow toxicity, market microstructure, VPIN

4.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,876 (232)
Citation 31

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Flash crash, liquidity, flow toxicity, volume imbalance, market microstructure, probability of informed trading, VPIN

5.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Marcos Lopez de Prado, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 13,524 (349)
Citation 13

Abstract:

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

6.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 21 May 2019 Last Revised: 30 May 2019
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 13,370 (360)
Citation 21

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high frequency trading, volume clock, low frequency trading, market microstructure

7.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 07 May 2020
David H. Bailey, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 12,649 (401)
Citation 13

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Sharpe ratio, Efficient frontier, IID, Normal distribution, Skewness, Excess kurtosis, Track record

8.
Downloads 12,464 ( 416)
Citation 13

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Marcos Lopez de Prado, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 12,462 (406)
Citation 12

Abstract:

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

The Probability of Backtest Overfitting

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 21 Sep 2016
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Marcos Lopez de Prado, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 2 (816,076)
Citation 1
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Abstract:

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backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation

9.

Advances in Financial Machine Learning (Chapter 1)

Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61 Posted: 19 Jan 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 11,959 (451)

Abstract:

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big data, machine learning, high performance computing, investment strategies, quantamental investing, backtest overfitting

10.

Three Quant Lessons from COVID-19 (Presentation Slides)

Number of pages: 19 Posted: 31 Mar 2020 Last Revised: 22 Aug 2021
Marcos Lopez de Prado, Marcos Lopez de Prado and Alex Lipton
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Hebrew University of Jerusalem
Downloads 11,836 (459)

Abstract:

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COVID-19, nowcasting, machine learning, Monte Carlo, backtesting, backtest overfitting

11.

The 10 Reasons Most Machine Learning Funds Fail

Journalof Portfolio Management, Forthcoming
Number of pages: 21 Posted: 18 Jan 2018 Last Revised: 01 Jul 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 10,208 (603)
Citation 7

Abstract:

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Big Data, Machine Learning, High Performance Computing, Investment Strategies, Quantamental Investing, Backtest Overfitting

12.

Advances in Financial Machine Learning: Lecture 1/10 (seminar slides)

Number of pages: 57 Posted: 21 Oct 2018 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 8,322 (862)

Abstract:

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Machine learning, artificial intelligence, asset management

13.

A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies

Number of pages: 32 Posted: 09 Mar 2020 Last Revised: 24 Mar 2020
Alex Lipton, Marcos Lopez de Prado and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 7,602 (1,016)

Abstract:

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optimal trading strategy, Heat potentials, Ornstein-Uhlenbeck process, mean-reversion

14.

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue)
Number of pages: 22 Posted: 21 May 2019 Last Revised: 30 May 2019
David H. Bailey, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 7,090 (1,143)
Citation 14

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Sharpe ratio, Non-Normality, Probabilistic Sharpe ratio, Backtest overfitting, Minimum Track Record Length, Minimum Backtest Length

15.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 17 Jul 2019
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,865 (1,218)
Citation 14

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Liquidity Provision, Flow Toxicity, Market Microstructure, VPIN

16.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,765 (1,256)
Citation 32

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Trade Classification, Bulk Volume Classification, flow toxicity, volume imbalance, market microstructure

17.

The 7 Reasons Most Econometric Investments Fail (Presentation Slides)

Number of pages: 39 Posted: 23 Apr 2019 Last Revised: 16 Sep 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 6,741 (1,263)

Abstract:

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Machine learning, artificial intelligence, asset management

18.

Measuring Loss Potential of Hedge Fund Strategies

Number of pages: 25 Posted: 04 Jan 2005
Marcos Lopez de Prado, Marcos Lopez de Prado and Achim Peijan
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and UBS Wealth Managment Research
Downloads 6,608 (1,303)

Abstract:

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Hedge Fund, Value-at-Risk, risk, performance, drawdown, under-the-water, normal returns, non-normal returns, time-dependence, ARMA, Monte Carlo, skewness, kurtosis, mixture of gaussian distributions, survival probability, styles, investment strategies

19.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
David H. Bailey, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 6,249 (1,430)
Citation 5

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portfolio selection, quadratic programming, portfolio optimization, constrained efficient frontier, turning point, Kuhn-Tucker conditions, risk aversion

20.

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 5,968 (1,551)
Citation 6

Abstract:

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

21.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Marcos Lopez de Prado, Marcos Lopez de Prado and David Leinweber
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,951 (1,558)
Citation 1

Abstract:

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Hedging portfolios, robustness, portfolio theory, stationarity, subset corrrelations, Maeloc spread, ECM, ADF, KPSS, PCA, BTCD, MMSC

22.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,872 (1,581)

Abstract:

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machine learning, feature importance, prediction, out-of-sample, investments, risks, portfolio

23.

Advances in Financial Machine Learning: Lecture 3/10 (seminar slides)

Number of pages: 32 Posted: 30 Sep 2018 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,789 (1,631)
Citation 2

Abstract:

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Machine learning, artificial intelligence, asset management

24.

Tactical Investment Algorithms

Number of pages: 11 Posted: 30 Sep 2019 Last Revised: 01 Oct 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,616 (1,709)
Citation 3

Abstract:

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Backtest overfitting, selection bias, multiple testing, quantitative investments, machine learning, all-weather hypothesis, strategic investment algorithm, tactical investment algorithm.

25.

Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)

Number of pages: 33 Posted: 11 Jan 2016 Last Revised: 14 Aug 2016
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,472 (1,772)

Abstract:

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Risk parity, tree graph, cluster, dendogram, linkage, metric space

26.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,140 (1,977)

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Strategy selection, Capital Allocation, Stop-outs, algorithmic decision making

27.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Marcos Lopez de Prado, Marcos Lopez de Prado and Riccardo Rebonato
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of Oxford - Mathematical Institute
Downloads 5,120 (1,994)

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Kinetic Component Analysis, Time Series, Principal Component Analysis, LOWESS, Fourier Analysis, Kalman Filter

28.

What to Look for in a Backtest

Number of pages: 58 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,070 (2,029)
Citation 3

Abstract:

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum back-test length, performance degradation

29.

Advances in Financial Machine Learning: Lecture 2/10 (seminar slides)

Number of pages: 51 Posted: 30 Sep 2018 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,987 (2,088)
Citation 2

Abstract:

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Machine learning, artificial intelligence, asset management

30.

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013
Marcos Lopez de Prado, Marcos Lopez de Prado and Matthew Foreman
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of California, Irvine
Downloads 4,591 (2,435)
Citation 1

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Skewness, Kurtosis, Mixture of Gaussians, Moment Matching, Maximum Likelihood, EM algorithm

31.

Advances in High Frequency Strategies

Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42 Posted: 14 Jul 2012 Last Revised: 08 Aug 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,584 (2,442)
Citation 6

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High Frequency Trading, Market Microstructure, Trading Strategies, Execution, Market Making, Risk Modeling, Portfolio Optimization

32.

Beyond Econometrics: A Roadmap Towards Financial Machine Learning

Number of pages: 31 Posted: 22 Apr 2019 Last Revised: 23 Sep 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,315 (2,726)
Citation 12

Abstract:

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machine learning, artificial intelligence, econometrics, financial economics

33.

Machine Learning Asset Allocation (Presentation Slides)

Number of pages: 35 Posted: 18 Oct 2019 Last Revised: 01 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,262 (2,775)
Citation 1

Abstract:

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Monte Carlo, convex optimization, de-noising, clustering, shrinkage

34.

A Robust Estimator of the Efficient Frontier

Number of pages: 16 Posted: 18 Oct 2019 Last Revised: 04 Mar 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,079 (3,004)
Citation 2

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Monte Carlo, convex optimization, de-noising, clustering, shrinkage.

35.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,064 (3,021)

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Market Microstructure, VPIN, Order Flow, Informed Traders, Liquidity Providers, Adverse Selection

36.

Advances in Financial Machine Learning: Lecture 4/10 (seminar slides)

Number of pages: 198 Posted: 30 Sep 2018 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,876 (3,273)
Citation 2

Abstract:

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Machine learning, artificial intelligence, asset management

37.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
David H. Bailey, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,868 (3,289)
Citation 1

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Trading baskets, hedging baskets, equal risk contribution, maximum diversification, subset correlation

38.

Advances in Financial Machine Learning: Numerai's Tournament (seminar slides)

Number of pages: 40 Posted: 25 Nov 2019 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,841 (3,333)

Abstract:

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Machine Learning, Artificial Intelligence, Asset Management

39.
Downloads 3,794 ( 3,395)
Citation 10

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,794 (3,325)
Citation 8

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liquidity, flow toxicity, broker, VWAP, market microstructure, adverse selection, probability of informed trading, VPIN, OEH

40.

Machine Learning for Asset Managers (Chapter 1)

Cambridge Elements, 2020
Number of pages: 45 Posted: 27 Apr 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,754 (3,452)

Abstract:

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Machine Learning, Unsupervised Learning, Supervised Learning, Clustering, Classification, Labeling, Portfolio Construction

41.

Advances in Financial Machine Learning: Lecture 7/10 (seminar slides)

Number of pages: 64 Posted: 15 Oct 2018 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,663 (3,599)
Citation 1

Abstract:

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Machine learning, artificial intelligence, asset management

42.

Estimation of Theory-Implied Correlation Matrices

Number of pages: 18 Posted: 20 Nov 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,660 (3,606)
Citation 2

Abstract:

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hierarchical clustering, economic classification, correlation estimation, knowledge graph

43.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Amir Salehipour, Amir Salehipour, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, University of Technology Sydney (UTS)University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,505 (3,893)
Citation 1

Abstract:

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Marker forecasters ranking; Guru ranking; Market forecast

44.

Ten Applications of Financial Machine Learning

Number of pages: 16 Posted: 22 Apr 2019 Last Revised: 01 Oct 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,425 (4,056)
Citation 5

Abstract:

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machine learning, econometrics, financial economics, artificial intelligence

45.

Advances in Financial Machine Learning: Lecture 5/10 (seminar slides)

Number of pages: 27 Posted: 30 Sep 2018 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,389 (4,120)
Citation 3

Abstract:

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Machine learning, artificial intelligence, asset management

46.

Codependence (Presentation Slides)

Number of pages: 34 Posted: 15 Jan 2020 Last Revised: 06 Feb 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,228 (4,498)
Citation 1

Abstract:

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Machine learning, artificial intelligence, asset management

47.

Advances in Financial Machine Learning: Lecture 9/10 (seminar slides)

Number of pages: 41 Posted: 29 Oct 2018 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,223 (4,505)

Abstract:

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Machine learning, artificial intelligence, asset management

48.

Advances in Financial Machine Learning: Lecture 8/10 (seminar slides)

Number of pages: 82 Posted: 21 Oct 2018 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,207 (4,540)

Abstract:

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Machine learning, artificial intelligence, asset management

49.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
David Easley, Marcos Lopez de Prado, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,048 (4,972)
Citation 5

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Flash crash, liquidity, flow toxicity, market microstructure, probability of informed trading, VPIN

50.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,032 (5,012)
Citation 1

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Risk Concentration, Eigenvectors, Eigen-risk decomposition, Risk-on/Risk-off

51.

Exit Strategies for COVID-19: An Application of the K-SEIR Model (Presentation Slides)

Number of pages: 52 Posted: 22 Apr 2020
Alex Lipton, Marcos Lopez de Prado and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,983 (5,150)

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COVID-19, pandemic, SEIR, case fatality rate, reproductive numbers, lockdowns

52.

Advances in Financial Machine Learning: Lecture 10/10 (seminar slides)

Number of pages: 44 Posted: 14 Nov 2019 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,907 (5,372)

Abstract:

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Machine learning, artificial intelligence, asset management

53.

Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 21-42
Number of pages: 23 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Neil Calkin, Marcos Lopez de Prado and Marcos Lopez de Prado
Clemson University and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,872 (5,469)
Citation 4

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Time Series, Graph Theory, Topology, Financial Flows, Macro Trading

54.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 17 Posted: 07 Dec 2013 Last Revised: 03 Sep 2019
Marcos Lopez de Prado, Marcos Lopez de Prado, Ralph Vince and Qiji Jim Zhu
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, Vince Strategies LLC and Western Michigan University
Downloads 2,827 (5,619)
Citation 2

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Growth-optimal portfolio, risk management, Kelly Criterion, finite investment horizon, drawdown

55.

Stop-Outs Under Serial Correlation and 'The Triple Penance Rule'

Journal of Risk, 2014
Number of pages: 35 Posted: 16 Jan 2013 Last Revised: 10 Jun 2016
David H. Bailey, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,826 (5,624)
Citation 3

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Downside, time under water, stop-out, triple penance, serial correlation, Sharpe ratio

56.

Advances in Financial Machine Learning: Lecture 6/10 (seminar slides)

Number of pages: 107 Posted: 07 Oct 2018 Last Revised: 29 Jun 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,812 (5,660)
Citation 2

Abstract:

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Machine learning, artificial intelligence, asset management

57.

Three Machine Learning Solutions to the Bias-Variance Dilemma (Seminar Slides)

Number of pages: 27 Posted: 28 May 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,766 (5,830)

Abstract:

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Bias, variance, MVUE, BLUE, econometrics, machine learning, ensemble, cross-validation, regularization

58.

Interpretable Machine Learning: Shapley Values (Seminar Slides)

Number of pages: 24 Posted: 21 Jul 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,758 (5,859)

Abstract:

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Machine learning, interpretability, deduction, induction, abduction, attribution

59.

Clustered Feature Importance (Presentation Slides)

Number of pages: 35 Posted: 06 Mar 2020 Last Revised: 28 May 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,757 (5,865)

Abstract:

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machine learning, feature importance, permutation importance, mean decrease accuracy

60.

Clustering (Presentation Slides)

Number of pages: 34 Posted: 10 Jan 2020 Last Revised: 06 Feb 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,650 (6,241)
Citation 1

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machine learning, artificial intelligence, asset management

61.

The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach

Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12 Posted: 15 Feb 2012 Last Revised: 20 Jan 2014
David H. Bailey, Marcos Lopez de Prado, Marcos Lopez de Prado and Eva del Pozo
Lawrence Berkeley National Laboratory, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Universidad Complutense de Madrid (UCM)
Downloads 2,638 (6,277)

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Portfolio theory, Sharpe ratio, pairwise correlation, indifference curve, diversification

62.

Overfitting: Causes and Solutions (Seminar Slides)

Number of pages: 24 Posted: 26 Feb 2020 Last Revised: 02 Mar 2020
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,581 (6,502)

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Machine learning, econometrics, backtest overfitting, selection bias, multiple testing, false discoveries

63.

Backtesting

Number of pages: 33 Posted: 16 May 2015 Last Revised: 05 Jul 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,548 (6,653)

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

64.

Q&A on Financial Machine Learning (Course Materials)

Number of pages: 4 Posted: 07 Oct 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,397 (7,336)

Abstract:

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financial machine learning, econometrics, big data

65.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,380 (7,424)
Citation 2

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backtest, historical simulation, probability of backtest overfitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

66.

The Future of Empirical Finance

Journal of Portfolio Management, 41(4), Summer 2015
Number of pages: 12 Posted: 20 May 2019 Last Revised: 30 May 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,326 (7,706)

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Empirical research, false discovery, multiple testing, physics envy

67.

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

IEEE Journal of Selected Topics in Signal Processing, Forthcoming, 2016, NYU Tandon Research Paper No. 2649376
Number of pages: 12 Posted: 24 Aug 2015 Last Revised: 26 Jun 2017
Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos Lopez de Prado and Marcos Lopez de Prado
1QBit, 1QBit, 1QBit, New York University Finance and Risk Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,172 (8,586)
Citation 2

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Qubit, quantum computer, optimal trading trajectory, portfolio optimization, quantum annealing

68.

Financial Machine Learning in 10 Minutes (Presentation Slides)

Number of pages: 11 Posted: 18 May 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,114 (8,962)

Abstract:

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Machine learning, artificial intelligence, backtest overfitting

69.

Escaping The Sisyphean Trap: How Quants Can Achieve Their Full Potential (Seminar Slides)

Number of pages: 23 Posted: 21 Sep 2021
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,106 (9,032)

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Quantitative investing, scientific method, machine learning, Sisyphean trap, hedge funds

70.

Mathematics and Economics: A Reality Check

Journal of Portfolio Management, Vol. 43, No. 1, 2016
Number of pages: 6 Posted: 13 Aug 2016 Last Revised: 03 Sep 2021
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,102 (9,062)
Citation 1

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Graph theory, topology, discrete math, information theory, signal processing, machine learning, parallel processing, quantum supercomputing, experimental techniques

71.

The Myth and Reality of Financial Machine Learning (Presentation Slides)

Number of pages: 33 Posted: 20 Feb 2018 Last Revised: 29 May 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,090 (9,149)

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machine learning, supercomputing, pattern recognition, black box, investing

72.

The Topology of Macro Financial Flows: An Application of Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 43-85
Number of pages: 44 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Neil Calkin, Marcos Lopez de Prado and Marcos Lopez de Prado
Clemson University and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,089 (9,165)
Citation 3

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Time Series, Graph Theory, Topology, Financial Flows, Macro Trading

73.

How Long Does It Take to Recover from a Drawdown?

Number of pages: 43 Posted: 22 Apr 2013 Last Revised: 29 Jun 2014
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,050 (9,453)

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drawdown, time under water, stop-out, triple penance, serial correlation, Sharpe ratio

74.

A Journey Through the 'Mathematical Underworld' of Portfolio Optimization

Number of pages: 26 Posted: 11 Feb 2013 Last Revised: 05 Jul 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,031 (9,599)

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portfolio selection, quadratic programming, portfolio optimization, constrained efficient frontier, turning point, Kuhn-Tucker conditions, risk aversion

75.

Market Microstructure in the Age of Machine Learning

Number of pages: 48 Posted: 11 Jun 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,017 (9,695)

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Market microstructure, machine learning, feature importance, prediction, out-of-sample

76.

Backtest Overfitting in Financial Markets

Automated Trader, 2016, Forthcoming
Number of pages: 8 Posted: 15 Feb 2016
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Marcos Lopez de Prado, Marcos Lopez de Prado, Amir Salehipour, Amir Salehipour and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of Technology Sydney (UTS)University of Technology Sydney, Australia and Western Michigan University
Downloads 1,943 (10,324)

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

77.

Intraday Patterns in Natural Gas Futures: Extracting Signals from High-Frequency Trading Data

Number of pages: 26 Posted: 09 Sep 2015 Last Revised: 07 Mar 2016
Jung Heon Song, Marcos Lopez de Prado, Marcos Lopez de Prado, Horst Simon and Kesheng Wu
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,875 (10,937)

Abstract:

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Time series analysis, non-uniform FFT, co-integration

78.

Finance is Not Excused: Why Finance Should Not Flout Basic Principles of Statistics

Forthcoming, Significance (Royal Statistical Society), 2021
Number of pages: 11 Posted: 29 Jul 2021
David H. Bailey, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,758 (12,118)

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Multiple testing, selection bias, publication bias, false discovery rate, true positive rate, deflated Sharpe ratio

79.

Supercomputing for Finance: A Gentle Introduction (Presentation Slides)

Number of pages: 20 Posted: 30 Jan 2017 Last Revised: 01 Feb 2017
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,728 (12,461)

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multi-threading, asynchronicity, callback, parallelism, distributed computing, scheduling

80.

Optimal Trading Rules Without Backtesting

Number of pages: 29 Posted: 29 Sep 2014 Last Revised: 05 Jul 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,664 (13,228)

Abstract:

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Trading rule, backtest overfitting, profit-taking, stop-loss

81.

The Past and Future of Quantitative Research (Presentation Slides)

Number of pages: 22 Posted: 11 Sep 2019 Last Revised: 17 Sep 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,663 (13,242)

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backtest overfitting, selection bias, false investment strategy, tournaments, machine learning

82.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,611 (13,913)

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Liquidity, flow toxicity, broker, VWAP, market microstructure, adverse selection, probability of informed trading, VPIN, OEH

83.

A Data Science Solution to the Multiple-Testing Crisis in Financial Research

Number of pages: 27 Posted: 11 May 2018 Last Revised: 11 Dec 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,605 (13,987)
Citation 4

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Backtest overfitting, selection bias, multiple testing, quantitative investments, machine learning, financial fraud, smart beta, factor investing.

84.

How the Sharpe Ratio Died, and Came Back to Life

Number of pages: 33 Posted: 03 May 2018 Last Revised: 29 May 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,604 (14,001)

Abstract:

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

85.

Statistical Overfitting and Backtest Performance

"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 (Forthcoming).
Number of pages: 10 Posted: 09 Oct 2014 Last Revised: 05 Jul 2015
David H. Bailey, Stephanie Ger, Marcos Lopez de Prado, Marcos Lopez de Prado, Alexander Sim and Kesheng Wu
Lawrence Berkeley National Laboratory, Northwestern University - Department of Engineering Sciences and Applied Mathematics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,523 (15,171)
Citation 4

Abstract:

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backtest, historical simulation, backtest over-fitting, investment strategy, optimization, Sharpe ratio, performance degradation

86.

The Sharp Razor: Performance Evaluation with Non-Normal Returns

Number of pages: 45 Posted: 23 Sep 2012 Last Revised: 28 Jul 2014
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,523 (15,171)

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Portfolio selection, Normality, Serial Correlation, Probabilistic Sharpe Ratio, Minimum Track Record Lenght, Sharpe Ratio Efficient Frontier

87.

Quantum Computing (in 5 Minutes or Less) (Presentation Slides)

Number of pages: 10 Posted: 23 Nov 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,479 (15,944)

Abstract:

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Portfolio optimization, quantum computers, algorithm complexity

88.

Illegitimate Science: Why Most Empirical Discoveries in Finance Are Likely Wrong, and What Can Be Done About It (Presentation Slides)

Number of pages: 15 Posted: 27 Apr 2015 Last Revised: 05 Jul 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,441 (16,586)
Citation 1

Abstract:

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Multiple testing, selection bias, backtest overfitting, p-values

89.

Recent Trends in Empirical Finance

Journal of Portfolio Management, Vol. 41, No. 4, 2015
Number of pages: 8 Posted: 20 May 2019 Last Revised: 30 May 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,382 (17,665)

Abstract:

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Econometrics, reproducibility, false positive, selection bias, multiple testing, empirical analysis

90.

Determining Optimal Trading Rules Without Backtesting

Number of pages: 39 Posted: 12 Sep 2015
Peter Carr, Marcos Lopez de Prado and Marcos Lopez de Prado
New York University Finance and Risk Engineering and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,382 (17,665)
Citation 5

Abstract:

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Trading, optimization, backtesting, overfitting, simulation

91.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,373 (17,847)

Abstract:

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Skewness, Kurtosis, Mixture of Gaussians, Moment Matching, Maximum Likelihood, EM algorithm

92.

Detection of False Investment Strategies through FWER and FDR (Seminar Slides)

Number of pages: 30 Posted: 01 Apr 2021
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,356 (18,186)

Abstract:

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Multiple testing, p-values, p-hacking, selection bias, familywise error rate, false discovery rate

93.

Financial Quantum Computing (Presentation Slides)

Number of pages: 22 Posted: 07 Oct 2016 Last Revised: 16 Jul 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,308 (19,131)
Citation 1

Abstract:

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Portfolio Optimization, Quantum Computers, Algorithm Complexity

94.

Deflating the Sharpe Ratio

Number of pages: 43 Posted: 14 Jul 2014 Last Revised: 05 Jul 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,301 (19,304)

Abstract:

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Sharpe ratio, Non-Normal returns, IID, Multiple Testing, Selection Bias

95.

Mathematics & Economics: A Reality Check (Presentation Slides)

Number of pages: 14 Posted: 13 Oct 2016
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,193 (22,018)

Abstract:

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Graph Theory, Topology, Discrete Math, Information Theory, Signal Processing, Machine Learning, Parallel Processing, Quantum Supercomputing, Experimental Techniques

96.

Who Needs a Newtonian Finance?

Journalof Portfolio Management, Vol. 44, No. 1, 2017
Number of pages: 5 Posted: 18 Jan 2018 Last Revised: 19 Jan 2018
Marcos Lopez de Prado, Marcos Lopez de Prado and Frank J. Fabozzi
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and EDHEC Business School
Downloads 1,168 (22,708)

Abstract:

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Financial Mathematics, Calculus, Machine Learning, Graph Theory, Supercomputing, Big Data

97.

Advances in Quantitative Meta-Strategies

Number of pages: 39 Posted: 13 May 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,145 (23,368)
Citation 1

Abstract:

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Multiple testing, performance evaluation, decision theory, structural break, stop-out, strategy selection.

98.

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, 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 1,141 (23,506)
Citation 3

Abstract:

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

99.

The False Strategy Theorem: A Financial Application of Experimental Mathematics

American Mathematical Monthly, forthcoming
Number of pages: 7 Posted: 03 Aug 2018 Last Revised: 23 Aug 2018
Marcos Lopez de Prado, Marcos Lopez de Prado and David H. Bailey
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Lawrence Berkeley National Laboratory
Downloads 1,097 (24,909)
Citation 1

Abstract:

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Selection bias, multiple testing, False Strategy theorem, experimental mathematics

100.

Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform

Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of pages: 26 Posted: 30 Aug 2014 Last Revised: 05 Mar 2016
Jung Heon Song, Marcos Lopez de Prado, Marcos Lopez de Prado, Horst Simon and Kesheng Wu
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,055 (26,336)
Citation 1

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In-homogeneous Time Series, Non-Uniform Fourier Transform, High Frequency Trading, Sampling Frequency, Volume Time

101.

Stochastic Flow Diagrams Add Topology to the Econometric Toolkit

Number of pages: 45 Posted: 20 Jan 2014 Last Revised: 05 Jul 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,008 (28,138)

Abstract:

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Time Series, Graph Theory, Topology, Financial Flows, Macro Trading

102.

Type I and Type II Errors in Finance (Presentation Slides)

Number of pages: 21 Posted: 25 Jun 2018 Last Revised: 14 Jun 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 989 (28,914)

Abstract:

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

103.

Online Tools for Demonstration of Backtest Overfitting

Number of pages: 13 Posted: 23 Apr 2015 Last Revised: 01 Dec 2015
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Amir Salehipour, Amir Salehipour, Marcos Lopez de Prado, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, University of Technology Sydney (UTS)University of Technology Sydney, Australia, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 978 (29,338)
Citation 3

Abstract:

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Backtest overfitting, multiple testing, Sharpe Ratio, Deflated Sharpe Ratio, investment strategy

104.

A Practical Solution to the Multiple-Testing Crisis in Financial Research (Presentation Slides)

Number of pages: 30 Posted: 18 May 2018 Last Revised: 29 May 2018
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 955 (30,362)
Citation 1

Abstract:

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Backtest overfitting, selection bias, multiple testing, quantitative investments, machine learning, financial fraud, smart beta, factor investing

105.

Generalized Optimal Trading Trajectories: A Financial Quantum Computing Application

Number of pages: 11 Posted: 09 Mar 2015 Last Revised: 05 Jul 2015
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 949 (30,636)
Citation 4

Abstract:

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High-performance computing, integer optimization, quantum computing, adiabatic process

106.

Three Quant Lessons from COVID-19

Risk Magazine, April 2020.
Number of pages: 6 Posted: 21 Apr 2020 Last Revised: 01 May 2020
Alex Lipton, Marcos Lopez de Prado and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 939 (31,109)
Citation 1

Abstract:

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COVID-19, pandemic, SEIR, case fatality rate, reproductive numbers, lockdowns

107.

Mathematical Appendices to: 'The Probability of Backtest Overfitting'

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 8 Posted: 23 Feb 2015 Last Revised: 05 Jul 2015
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Marcos Lopez de Prado, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 918 (32,143)
Citation 5

Abstract:

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

108.

How Hard Is It to Pick the Right Model? MCS and Backtest Overfitting

Number of pages: 27 Posted: 03 Jan 2018 Last Revised: 15 Jun 2018
Diego Aparicio, Marcos Lopez de Prado and Marcos Lopez de Prado
University of Navarra, IESE Business School and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 852 (35,629)

Abstract:

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Forecasting, Model confidence set, Model selection, Multiple testing

109.

Finance as an Industrial Science

Journal of Portfolio Management, Vol. 43, No. 4, 2017
Number of pages: 7 Posted: 05 Aug 2017 Last Revised: 02 Jun 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 723 (44,540)

Abstract:

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Big data, machine learning, high performance computing

110.

Multi-Period Integer Portfolio Optimization Using a Quantum Annealer

Number of pages: 21 Posted: 07 Oct 2015 Last Revised: 14 May 2016
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 720 (44,789)

Abstract:

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Integer programming, multi-period optimization, np-complete, quantum computer, quantum annealer

111.

Do Financial Gurus Produce Reliable Forecasts?

Number of pages: 20 Posted: 13 Mar 2019
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Amir Salehipour, Amir Salehipour, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, University of Technology Sydney (UTS)University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 560 (62,038)

Abstract:

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Marker forecasters ranking; Guru ranking; Market forecast

112.

Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)

Number of pages: 44 Posted: 29 Jun 2015
Marcos Lopez de Prado, Marcos Lopez de Prado, Ralph Vince and Qiji Jim Zhu
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, Vince Strategies LLC and Western Michigan University
Downloads 558 (62,338)

Abstract:

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Growth-optimal portfolio, risk management, Kelly Criterion, finite investment horizon, drawdown

113.

Mathematical Appendices to: 'Stop-Outs Under Serial Correlation'

Journal of Risk, 2014, Forthcoming
Number of pages: 13 Posted: 20 Oct 2014
David H. Bailey, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 488 (73,617)

Abstract:

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Downside, time under water, stop-out, triple penance, serial correlation, Sharpe ratio

114.

Mitigation Strategies for COVID-19: Lessons from the K-SEIR Model

Number of pages: 45 Posted: 16 Jun 2020
Alex Lipton, Marcos Lopez de Prado and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 439 (83,547)
Citation 1

Abstract:

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COVID-19, pandemic, SEIR, K-SEIR, epidemiology, case fatality rate, reproductive numbers, lockdowns

115.

Testimony before the U.S. House of Representatives – Committee on Financial Services – Task Force on Artificial Intelligence

Number of pages: 13 Posted: 30 Dec 2019
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 192 (198,010)

Abstract:

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machine learning, artificial intelligence, automation, jobs

116.

Crowdsourced Investment Research through Tournaments

Journal of Financial Data Science, Vol. 2, No. 1, 2020, https://jfds.pm-research.com/content/2/1/86
Posted: 25 Sep 2019 Last Revised: 24 May 2020
Marcos Lopez de Prado, Marcos Lopez de Prado and Frank J. Fabozzi
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and EDHEC Business School

Abstract:

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tournaments, backtests, data abstraction, investment strategies forecasting, overfitting

117.

Order from Chaos: How Data Science is Revolutionizing Investment Practice

Journalof Portfolio Management, Forthcoming
Posted: 10 Sep 2018 Last Revised: 12 Sep 2018
Joseph Simonian, Marcos Lopez de Prado, Marcos Lopez de Prado and Frank J. Fabozzi
Natixis Investment Managers, L.P., Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and EDHEC Business School

Abstract:

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Econometrics, machine learning, data science

118.

Being Honest in Backtest Reporting: A Template for Disclosing Multiple Tests

Journalof Portfolio Management, Forthcoming
Posted: 17 Aug 2018 Last Revised: 04 Sep 2018
Frank J. Fabozzi, Marcos Lopez de Prado and Marcos Lopez de Prado
EDHEC Business School and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority

Abstract:

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selection bias, multiple testing, false positive, machine learning, clustering