Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering

Adjunct Professor

237 Rhodes Hall

Ithaca, NY 14853

United States

http://www.orie.cornell.edu

AQR Capital Management, LLC

Principal, Head of Machine Learning

One Greenwich Plaza

Greenwich, CT 06830

United States

http://www.aqr.com

SCHOLARLY PAPERS

93

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262,846

CITATIONS

287

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 (93)

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: 21 May 2019 Last Revised: 30 May 2019
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,800 (138)
Citation 63

Abstract:

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

2.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 16,397 (163)

Abstract:

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Machine learning, investment strategies, quantamental investing, backtest overfitting

3.

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, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,999 (176)
Citation 81

Abstract:

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

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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 11,551 (316)
Citation 22

Abstract:

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

5.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 10,271 (403)
Citation 1

Abstract:

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

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 and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 10,159 (414)
Citation 37

Abstract:

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

7.
Downloads 9,980 ( 433)
Citation 12

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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 9,980 (428)
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

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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 0
Citation 2
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backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation

8.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 8,741 (550)

Abstract:

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

9.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 8,303 (615)
Citation 34

Abstract:

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

10.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 6,729 (878)

Abstract:

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

11.

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 and Maureen O'Hara
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,585 (917)
Citation 7

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Liquidity Provision, Flow Toxicity, Market Microstructure, VPIN

12.

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
Cornell University - Operations Research & Industrial Engineering and UBS Wealth Managment Research
Downloads 6,345 (971)
Citation 14

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

13.

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, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,540 (1,227)
Citation 19

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

14.

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
Cornell University - Operations Research & Industrial Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,250 (1,341)
Citation 2

Abstract:

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

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 Cornell University - Operations Research & Industrial Engineering
Downloads 4,475 (1,795)
Citation 3

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
Cornell University - Operations Research & Industrial Engineering
Downloads 4,017 (2,162)
Citation 2

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.

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 and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 3,944 (2,237)
Citation 17

Abstract:

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

18.

The 7 Reasons Most Econometric Investments Fail

Number of pages: 39 Posted: 23 Apr 2019
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 3,832 (2,345)

Abstract:

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Machine learning, artificial intelligence, asset management

19.

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
Cornell University - Operations Research & Industrial Engineering and University of California, Irvine
Downloads 3,811 (2,364)
Citation 2

Abstract:

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

20.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 3,761 (2,425)

Abstract:

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

21.

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 and Riccardo Rebonato
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads 3,752 (2,434)

Abstract:

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

22.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 3,709 (2,499)
Citation 3

Abstract:

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

23.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 3,683 (2,533)

Abstract:

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

24.

Detection of False Investment Strategies Using Unsupervised Learning Methods

Number of pages: 25 Posted: 23 Apr 2018 Last Revised: 07 May 2019
Marcos Lopez de Prado and Michael J. Lewis
Cornell University - Operations Research & Industrial Engineering and True Positive Technologies
Downloads 3,540 (2,686)
Citation 1

Abstract:

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

25.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 3,446 (2,804)

Abstract:

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

26.
Downloads 3,278 ( 3,078)
Citation 8

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, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,278 (3,006)
Citation 4

Abstract:

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

27.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 3,121 (3,357)
Citation 4

Abstract:

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

28.

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, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,776 (4,089)
Citation 7

Abstract:

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

29.

Ten Financial Applications of Machine Learning (Presentation Slides)

Number of pages: 20 Posted: 18 Jun 2018 Last Revised: 08 Apr 2019
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 2,742 (4,174)

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

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 Cornell University - Operations Research & Industrial Engineering
Downloads 2,594 (4,578)
Citation 1

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Marker forecasters ranking; Guru ranking; Market forecast

31.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 2,396 (5,224)
Citation 4

Abstract:

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

32.

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, Cornell University - Operations Research & Industrial Engineering and Universidad Complutense de Madrid (UCM)
Downloads 2,367 (5,334)

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

33.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 2,306 (5,580)

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

34.

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
Cornell University - Operations Research & Industrial Engineering, Vince Strategies LLC and Western Michigan University
Downloads 2,241 (5,844)
Citation 2

Abstract:

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

35.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 2,110 (6,457)
Citation 5

Abstract:

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

36.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 1,956 (7,377)

Abstract:

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

37.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,747 (8,921)
Citation 6

Abstract:

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Empirical research, false discovery, multiple testing, physics envy

38.

Advances in Financial Machine Learning: Lecture 1/10

Number of pages: 38 Posted: 21 Oct 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,744 (8,944)

Abstract:

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Machine learning, artificial intelligence, asset management

39.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,676 (9,528)

Abstract:

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

40.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,668 (9,597)

Abstract:

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

41.

Backtesting

Number of pages: 33 Posted: 16 May 2015 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,657 (9,693)

Abstract:

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

42.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 1,623 (10,041)
Citation 4

Abstract:

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

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,608 (10,219)
Citation 2

Abstract:

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

44.

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), Cornell University - Operations Research & Industrial Engineering, University of Technology Sydney, Australia and Western Michigan University
Downloads 1,593 (10,351)
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

45.

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, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and Cornell University - Operations Research & Industrial Engineering
Downloads 1,590 (10,376)
Citation 1

Abstract:

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

46.

Advances in Financial Machine Learning: Lecture 2/10

Number of pages: 31 Posted: 30 Sep 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,418 (12,499)
Citation 1

Abstract:

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Machine learning, artificial intelligence, asset management

47.

Advances in Financial Machine Learning: Lecture 9/10

Number of pages: 44 Posted: 29 Oct 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,397 (12,816)

Abstract:

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Machine learning, artificial intelligence, asset management

48.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,306 (14,234)

Abstract:

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

49.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,283 (14,615)

Abstract:

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

50.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,267 (14,870)

Abstract:

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

51.

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, Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,234 (15,535)
Citation 1

Abstract:

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

52.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,226 (15,690)

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

53.

Optimal Trading Rules Without Backtesting

Number of pages: 29 Posted: 29 Sep 2014 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,172 (16,809)

Abstract:

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

54.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,148 (17,370)

Abstract:

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

55.

Advances in Financial Machine Learning: Lecture 7/10

Number of pages: 39 Posted: 15 Oct 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,130 (17,807)

Abstract:

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Machine learning, artificial intelligence, asset management

56.

Financial Machine Learning in 10 Minutes (Presentation Slides)

Number of pages: 11 Posted: 18 May 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,127 (17,874)

Abstract:

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Machine learning, artificial intelligence, backtest overfitting

57.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 1,092 (18,701)

Abstract:

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

58.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,032 (20,290)
Citation 1

Abstract:

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

59.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 1,007 (21,112)
Citation 4

Abstract:

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Trading, optimization, backtesting, overfitting, simulation

60.

Market Microstructure in the Age of Machine Learning

Number of pages: 48 Posted: 11 Jun 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 996 (21,470)

Abstract:

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

61.

Advances in Financial Machine Learning: Lecture 5/10

Number of pages: 27 Posted: 30 Sep 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 989 (21,655)

Abstract:

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Machine learning, artificial intelligence, asset management

62.

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
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 969 (22,324)

Abstract:

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

63.

Advances in Financial Machine Learning: Lecture 4/10

Number of pages: 28 Posted: 30 Sep 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 958 (22,683)

Abstract:

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Machine learning, artificial intelligence, asset management

64.

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

Number of pages: 10 Posted: 23 Nov 2015
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 946 (23,108)

Abstract:

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Portfolio optimization, quantum computers, algorithm complexity

65.

Deflating the Sharpe Ratio

Number of pages: 43 Posted: 14 Jul 2014 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 936 (23,459)

Abstract:

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

66.

Advances in Financial Machine Learning: Lecture 3/10

Number of pages: 28 Posted: 30 Sep 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 932 (23,643)
Citation 1

Abstract:

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Machine learning, artificial intelligence, asset management

67.

Advances in Financial Machine Learning: Lecture 6/10

Number of pages: 29 Posted: 07 Oct 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 930 (23,681)

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Machine learning, artificial intelligence, asset management

68.

Advances in Quantitative Meta-Strategies

Number of pages: 39 Posted: 13 May 2015
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 925 (23,882)
Citation 1

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

69.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 894 (25,142)

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

70.

Mathematics & Economics: A Reality Check (Presentation Slides)

Number of pages: 14 Posted: 13 Oct 2016
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 879 (25,727)

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

71.

Financial Quantum Computing (Presentation Slides)

Number of pages: 22 Posted: 07 Oct 2016 Last Revised: 16 Jul 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 852 (26,882)

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Portfolio Optimization, Quantum Computers, Algorithm Complexity

72.

Advances in Financial Machine Learning: Lecture 8/10

Number of pages: 21 Posted: 21 Oct 2018 Last Revised: 07 Nov 2018
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 809 (28,880)

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Machine learning, artificial intelligence, asset management

73.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 805 (29,077)

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

74.

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
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 798 (29,551)
Citation 1

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

75.

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, Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 778 (30,473)
Citation 4

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

76.

Confidence and Power of the Sharpe Ratio under Multiple Testing

Number of pages: 13 Posted: 11 Jun 2018 Last Revised: 28 Feb 2019
Marcos Lopez de Prado and Michael J. Lewis
Cornell University - Operations Research & Industrial Engineering and True Positive Technologies
Downloads 763 (31,387)
Citation 1

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

77.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 761 (31,455)

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

78.

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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 687 (36,149)
Citation 1

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

79.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 648 (39,000)
Citation 2

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

80.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 574 (45,878)

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Forecasting, Model confidence set, Model selection, Multiple testing

81.

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
Cornell University - Operations Research & Industrial Engineering and EDHEC Business School
Downloads 569 (46,419)

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

82.

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
Cornell University - Operations Research & Industrial Engineering and Lawrence Berkeley National Laboratory
Downloads 463 (60,183)

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

83.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 460 (60,687)

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

84.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 452 (62,004)

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

85.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 447 (63,009)

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

86.

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
Cornell University - Operations Research & Industrial Engineering, Vince Strategies LLC and Western Michigan University
Downloads 428 (66,235)

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

87.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 384 (75,571)

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

88.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 373 (77,886)
Citation 1

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Big data, machine learning, high performance computing

89.

Do Financial Gurus Produce Reliable Forecasts?

Number of pages: 20 Posted: 13 Mar 2019
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 Cornell University - Operations Research & Industrial Engineering
Downloads 189 (157,944)

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Marker forecasters ranking; Guru ranking; Market forecast

90.

Ten Applications of Financial Machine Learning

Posted: 22 Apr 2019
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering

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machine learning, econometrics, financial economics, artificial intelligence

91.

Beyond Econometrics: A Roadmap Towards Financial Machine Learning

Posted: 22 Apr 2019
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering

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machine learning, artificial intelligence, econometrics, financial economics

92.

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., Cornell University - Operations Research & Industrial Engineering and EDHEC Business School

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Econometrics, machine learning, data science

93.

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 Cornell University - Operations Research & Industrial Engineering

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