Marcos Lopez de Prado

AQR Capital Management, LLC

Principal, Head of Machine Learning

One Greenwich Plaza

Greenwich, CT 06830

United States

http://www.aqr.com

Cornell University - Operations Research & Industrial Engineering

Lecturer

237 Rhodes Hall

Ithaca, NY 14853

United States

http://www.orie.cornell.edu

RCC - Harvard University

Postdoctoral Research Fellow

1875 Cambridge Street

Cambridge, MA 02138

United States

http://www.rcc.harvard.edu

SCHOLARLY PAPERS

88

DOWNLOADS
Rank 16

SSRN RANKINGS

Top 16

in Total Papers Downloads

221,150

CITATIONS

64

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 (88)

1.

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: 22 Oct 2010 Last Revised: 31 Jan 2011
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,562 (135)
Citation 15

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

2.

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 and Maureen O'Hara
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,687 (168)
Citation 22

Abstract:

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

3.

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
AQR Capital Management, LLC
Downloads 13,704 (212)

Abstract:

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Machine learning, investment strategies, quantamental investing, backtest overfitting

4.

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, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University
Downloads 10,754 (335)
Citation 1

Abstract:

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

5.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 20 Aug 2012
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 9,347 (447)
Citation 5

Abstract:

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

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, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University
Downloads 8,982 (472)

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, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University
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Abstract:

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

7.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31 Posted: 28 Dec 2015 Last Revised: 24 May 2016
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 8,234 (556)

Abstract:

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

8.

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: 23 Apr 2014
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 7,654 (632)
Citation 4

Abstract:

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

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
AQR Capital Management, LLC
Downloads 6,519 (857)

Abstract:

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

10.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 27 Jan 2011 Last Revised: 27 Feb 2012
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,489 (866)
Citation 5

Abstract:

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Liquidity Provision, Flow Toxicity, Market Microstructure, VPIN

11.

Measuring Loss Potential of Hedge Fund Strategies

Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004
Number of pages: 25 Posted: 04 Jan 2005
Marcos Lopez de Prado and Achim Peijan
AQR Capital Management, LLC and UBS Wealth Managment Research
Downloads 6,220 (928)
Citation 3

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

12.

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 and Maureen O'Hara
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,137 (1,284)
Citation 1

Abstract:

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

13.

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 and David Leinweber
AQR Capital Management, LLC and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,006 (1,340)
Citation 1

Abstract:

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

14.

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
AQR Capital Management, LLC
Downloads 4,552 (1,576)

Abstract:

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

15.

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 and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 3,989 (1,995)

Abstract:

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

16.

What to Look for in a Backtest

Number of pages: 58 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 3,641 (2,369)

Abstract:

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

17.

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 and Matthew Foreman
AQR Capital Management, LLC and University of California, Irvine
Downloads 3,606 (2,404)
Citation 3

Abstract:

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

18.

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
AQR Capital Management, LLC
Downloads 3,419 (2,615)

Abstract:

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

19.

Kinetic Component Analysis

Number of pages: 24 Posted: 08 Apr 2014 Last Revised: 08 Aug 2016
Marcos Lopez de Prado and Riccardo Rebonato
AQR Capital Management, LLC and University of Oxford - Mathematical Institute
Downloads 3,317 (2,774)

Abstract:

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

20.

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: 01 Jul 2014 Last Revised: 05 Jul 2015
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 3,247 (2,890)

Abstract:

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

21.

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
AQR Capital Management, LLC
Downloads 3,244 (2,892)

Abstract:

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

22.

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
AQR Capital Management, LLC
Downloads 3,119 (3,096)

Abstract:

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

23.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 3,100 (3,129)

Abstract:

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

24.
Downloads 3,075 ( 3,171)
Citation 2

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 and Maureen O'Hara
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,075 (3,103)
Citation 2

Abstract:

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

25.

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 and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 2,873 (3,556)
Citation 1

Abstract:

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

26.

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 and Maureen O'Hara
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,682 (3,994)
Citation 1

Abstract:

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

27.

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 2,677 (4,008)

Abstract:

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

28.

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 and Eva del Pozo
Lawrence Berkeley National Laboratory, AQR Capital Management, LLC and Universidad Complutense de Madrid (UCM)
Downloads 2,263 (5,319)

Abstract:

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

29.

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 and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 2,245 (5,389)

Abstract:

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

30.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017
David H. Bailey, Jonathan Borwein, Amir Salehipour and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney, Australia and AQR Capital Management, LLC
Downloads 2,050 (6,253)

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Marker forecasters ranking; Guru ranking; Market forecast

31.

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
AQR Capital Management, LLC
Downloads 2,047 (6,274)

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

32.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 25 Posted: 07 Dec 2013 Last Revised: 05 Jul 2015
Marcos Lopez de Prado, Ralph Vince and Qiji Jim Zhu
AQR Capital Management, LLC, Vince Strategies LLC and Western Michigan University
Downloads 1,994 (6,562)

Abstract:

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

33.

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 and Marcos Lopez de Prado
Clemson University and AQR Capital Management, LLC
Downloads 1,840 (7,562)

Abstract:

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

34.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
David H. Bailey, Jonathan Borwein and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia) and AQR Capital Management, LLC
Downloads 1,787 (7,985)

Abstract:

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

35.

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
AQR Capital Management, LLC
Downloads 1,566 (9,879)

Abstract:

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

36.

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
AQR Capital Management, LLC
Downloads 1,545 (10,113)

Abstract:

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

37.

The Future of Empirical Finance

Journal of Portfolio Management, 41(4). Summer 2015. Forthcoming.
Number of pages: 12 Posted: 24 May 2015 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 1,528 (10,268)

Abstract:

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Empirical research, false discovery, multiple testing, physics envy

38.

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 and Marcos Lopez de Prado
Clemson University and AQR Capital Management, LLC
Downloads 1,484 (10,771)

Abstract:

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

39.

Backtest Overfitting in Financial Markets

Automated Trader, 2016, Forthcoming
Number of pages: 8 Posted: 15 Feb 2016
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC, University of Technology Sydney, Australia and Western Michigan University
Downloads 1,449 (11,199)

Abstract:

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

40.

Ten Financial Applications of Machine Learning

Number of pages: 20 Posted: 18 Jun 2018 Last Revised: 12 Oct 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 1,437 (11,325)

Abstract:

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

41.

Backtesting

Number of pages: 33 Posted: 16 May 2015 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 1,417 (11,601)

Abstract:

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

42.

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
1QBit, 1QBit, 1QBit, New York University Finance and Risk Engineering, Lawrence Berkeley National Laboratory (Berkeley Lab) and AQR Capital Management, LLC
Downloads 1,356 (12,482)

Abstract:

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

43.

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: 21 Aug 2016
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 1,270 (13,779)

Abstract:

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

44.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 1,234 (14,429)

Abstract:

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

45.

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
AQR Capital Management, LLC
Downloads 1,206 (14,943)

Abstract:

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

46.

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, Alexander Sim and Kesheng Wu
Lawrence Berkeley National Laboratory, Northwestern University - Department of Engineering Sciences and Applied Mathematics, AQR Capital Management, LLC, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,111 (17,003)

Abstract:

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

47.

Recent Trends in Empirical Finance

Journal of Portfolio Management, Vol. 41, No. 4, 2015 Forthcoming
Number of pages: 8 Posted: 03 Aug 2015 Last Revised: 04 Aug 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 1,050 (18,432)

Abstract:

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

48.

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
AQR Capital Management, LLC
Downloads 1,048 (18,482)

Abstract:

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

49.

Optimal Trading Rules Without Backtesting

Number of pages: 29 Posted: 29 Sep 2014 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 1,037 (18,766)

Abstract:

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

50.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 1,015 (19,355)

Abstract:

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

51.

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
AQR Capital Management, LLC
Downloads 939 (21,808)

Abstract:

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

52.

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
AQR Capital Management, LLC
Downloads 899 (23,221)

Abstract:

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

53.

Determining Optimal Trading Rules Without Backtesting

Number of pages: 39 Posted: 12 Sep 2015
Peter Carr and Marcos Lopez de Prado
New York University Finance and Risk Engineering and AQR Capital Management, LLC
Downloads 865 (24,562)

Abstract:

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Trading, optimization, backtesting, overfitting, simulation

54.

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, Horst Simon and Kesheng Wu
Lawrence Berkeley National Laboratory (Berkeley Lab), AQR Capital Management, LLC, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 836 (25,841)

Abstract:

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

55.

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

Number of pages: 10 Posted: 23 Nov 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 822 (26,437)

Abstract:

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Portfolio optimization, quantum computers, algorithm complexity

56.

Advances in Quantitative Meta-Strategies

Number of pages: 39 Posted: 13 May 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 822 (26,437)

Abstract:

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

57.

Deflating the Sharpe Ratio

Number of pages: 43 Posted: 14 Jul 2014 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 821 (26,478)

Abstract:

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

58.

Mathematics & Economics: A Reality Check (Presentation Slides)

Number of pages: 14 Posted: 13 Oct 2016
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 772 (28,833)

Abstract:

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

59.

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, Horst Simon and Kesheng Wu
Lawrence Berkeley National Laboratory (Berkeley Lab), AQR Capital Management, LLC, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 726 (31,361)

Abstract:

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

60.

Financial Machine Learning in 10 Minutes (Presentation Slides)

Number of pages: 11 Posted: 18 May 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 712 (32,176)

Abstract:

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Machine learning, artificial intelligence, backtest overfitting

61.

Financial Quantum Computing (Presentation Slides)

Number of pages: 22 Posted: 07 Oct 2016 Last Revised: 16 Jul 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 707 (32,501)

Abstract:

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Portfolio Optimization, Quantum Computers, Algorithm Complexity

62.

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
AQR Capital Management, LLC
Downloads 699 (32,999)

Abstract:

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

63.

Online Tools for Demonstration of Backtest Overfitting

Number of pages: 13 Posted: 23 Apr 2015 Last Revised: 01 Dec 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney, Australia, AQR Capital Management, LLC and Western Michigan University
Downloads 685 (34,027)

Abstract:

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

64.

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
AQR Capital Management, LLC
Downloads 653 (36,217)

Abstract:

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

65.

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, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University
Downloads 600 (40,511)

Abstract:

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

66.

Market Microstructure in the Age of Machine Learning

Number of pages: 48 Posted: 11 Jun 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 572 (43,129)

Abstract:

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

67.

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 551 (45,244)

Abstract:

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

68.

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
AQR Capital Management, LLC
Downloads 544 (45,959)

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

69.

A Practical Solution to the Multiple-Testing Crisis in Financial Research

Number of pages: 39 Posted: 11 May 2018 Last Revised: 25 Jun 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 462 (56,686)

Abstract:

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

70.

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 and Marcos Lopez de Prado
Massachusetts Institute of Technology (MIT), Department of Economics and AQR Capital Management, LLC
Downloads 411 (65,147)

Abstract:

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Forecasting, Model confidence set, Model selection, Multiple testing

71.

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
AQR Capital Management, LLC
Downloads 403 (66,761)

Abstract:

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

72.

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

Number of pages: 44 Posted: 29 Jun 2015
Marcos Lopez de Prado, Ralph Vince and Qiji Jim Zhu
AQR Capital Management, LLC, Vince Strategies LLC and Western Michigan University
Downloads 359 (76,450)

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

73.

Advances in Financial Machine Learning: Lecture 5/10

Number of pages: 27 Posted: 30 Sep 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 358 (76,701)

Abstract:

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Machine learning, artificial intelligence, asset management

74.

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

Journal of Risk, 2014, Forthcoming
Number of pages: 13 Posted: 20 Oct 2014
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 353 (77,918)

Abstract:

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

75.

Advances in Financial Machine Learning: Lecture 2/10

Number of pages: 31 Posted: 30 Sep 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 339 (81,957)

Abstract:

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Machine learning, artificial intelligence, asset management

76.

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 and Frank J. Fabozzi
AQR Capital Management, LLC and EDHEC Business School
Downloads 330 (84,221)

Abstract:

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

77.

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
AQR Capital Management, LLC
Downloads 283 (100,139)

Abstract:

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

78.

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 and David H. Bailey
AQR Capital Management, LLC and Lawrence Berkeley National Laboratory
Downloads 280 (100,929)

Abstract:

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

79.

Advances in Financial Machine Learning: Lecture 4/10

Number of pages: 28 Posted: 30 Sep 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 273 (103,546)

Abstract:

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Machine learning, artificial intelligence, asset management

80.

Significance Thresholds of 5% Are Suboptimal in Finance (Presentation Slides)

Number of pages: 27 Posted: 25 Jun 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 265 (106,906)

Abstract:

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

81.

Finance as an Industrial Science

Journal of Portfolio Management, Vol. 43, No. 4, 2017
Number of pages: 2 Posted: 05 Aug 2017 Last Revised: 19 Jan 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 259 (109,485)

Abstract:

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Big data, machine learning, high performance computing

82.

Advances in Financial Machine Learning: Lecture 6/10

Number of pages: 29 Posted: 07 Oct 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 236 (120,416)

Abstract:

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Machine learning, artificial intelligence, asset management

83.

Advances in Financial Machine Learning: Lecture 3/10

Number of pages: 28 Posted: 30 Sep 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 194 (146,086)

Abstract:

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Machine learning, artificial intelligence, asset management

84.

Advances in Financial Machine Learning: Lecture 7/10

Number of pages: 39 Posted: 15 Oct 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 149 (186,272)

Abstract:

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Machine learning, artificial intelligence, asset management

85.

Advances in Financial Machine Learning: Lecture 1/10

Number of pages: 38 Posted: 21 Oct 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 99

Abstract:

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Machine learning, artificial intelligence, asset management

86.

Advances in Financial Machine Learning: Lecture 8/10

Number of pages: 21 Posted: 21 Oct 2018
Marcos Lopez de Prado
AQR Capital Management, LLC
Downloads 57

Abstract:

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Machine learning, artificial intelligence, asset management

87.

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 and Frank J. Fabozzi
Natixis Investment Managers, L.P., AQR Capital Management, LLC and EDHEC Business School

Abstract:

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Econometrics, machine learning, data science

88.

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 and Marcos Lopez de Prado
EDHEC Business School and AQR Capital Management, LLC

Abstract:

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