Marcos Lopez de Prado

Guggenheim Partners, LLC

Senior Managing Director

330 Madison Avenue

New York, NY 10017

United States

http://www.QuantResearch.org

Lawrence Berkeley National Laboratory

Research Fellow

1 Cyclotron Road

Berkeley, CA 94720

United States

http://www.lbl.gov

Harvard University - RCC

Postdoctoral Research Fellow

26 Trowbridge Street

Cambridge, MA 02138

United States

http://www.rcc.harvard.edu

SCHOLARLY PAPERS

62

DOWNLOADS
Rank 28

SSRN RANKINGS

Top 28

in Total Papers Downloads

152,992

CITATIONS
Rank 7,518

SSRN RANKINGS

Top 7,518

in Total Papers Citations

63

Scholarly Papers (62)

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,974 (115)
Citation 14

Abstract:

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,038 (142)
Citation 22

Abstract:

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

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 M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 6,992 (612)

Abstract:

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 M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 0
  • Add to Cart

Abstract:

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

4.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,878 (480)
Citation 5

Abstract:

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

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 M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 6,523 (381)
Citation 1

Abstract:

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

6.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,310 (726)
Citation 5

Abstract:

Liquidity Provision, Flow Toxicity, Market Microstructure, VPIN

7.

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
Guggenheim Partners, LLC and UBS Wealth Managment Research
Downloads 6,024 (799)
Citation 3

Abstract:

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

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 Guggenheim Partners, LLC
Downloads 5,519 (688)
Citation 4

Abstract:

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

9.

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
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,539 (1,326)
Citation 1

Abstract:

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

10.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,135 (1,442)
Citation 1

Abstract:

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

11.

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
Guggenheim Partners, LLC and University of California, Irvine
Downloads 2,914 (2,460)
Citation 3

Abstract:

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

12.
Downloads 2,715 ( 3,306)
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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,715 (3,227)
Citation 2

Abstract:

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

13.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,495 (3,793)
Citation 1

Abstract:

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

14.

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
Guggenheim Partners, LLC
Downloads 2,309 (2,983)

Abstract:

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

15.

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
Guggenheim Partners, LLC
Downloads 2,299 (3,124)

Abstract:

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

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
Guggenheim Partners, LLC
Downloads 2,154 (2,869)

Abstract:

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

17.

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 Guggenheim Partners, LLC
Downloads 1,969 (2,699)

Abstract:

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

18.

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 Guggenheim Partners, LLC
Downloads 1,909 (4,057)
Citation 1

Abstract:

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

19.

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, Guggenheim Partners, LLC and Universidad Complutense de Madrid (UCM)
Downloads 1,768 (5,404)

Abstract:

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

20.

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 Guggenheim Partners, LLC
Downloads 1,565 (5,872)

Abstract:

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

21.

Kinetic Component Analysis

Number of pages: 24 Posted: 08 Apr 2014 Last Revised: 08 Aug 2016
Marcos Lopez de Prado and Riccardo Rebonato
Guggenheim Partners, LLC and University of Oxford - Mathematical Institute
Downloads 1,477 (3,984)

Abstract:

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

22.

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
Guggenheim Partners, LLC
Downloads 1,360 (7,495)

Abstract:

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

23.

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
Guggenheim Partners, LLC, Vince Strategies LLC and Western Michigan University
Downloads 1,182 (7,788)

Abstract:

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

24.

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
Guggenheim Partners, LLC
Downloads 1,168 (10,617)

Abstract:

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

25.

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 Guggenheim Partners, LLC
Downloads 1,142 (6,196)

Abstract:

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

26.

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
Guggenheim Partners, LLC
Downloads 1,092 (11,082)

Abstract:

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

27.

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 J. Calkin and Marcos Lopez de Prado
Clemson University and Guggenheim Partners, LLC
Downloads 995 (9,940)

Abstract:

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

28.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 979 (15,242)

Abstract:

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

29.

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
Guggenheim Partners, LLC
Downloads 962 (15,608)

Abstract:

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

30.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 850 (19,047)

Abstract:

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

31.

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 J. Calkin and Marcos Lopez de Prado
Clemson University and Guggenheim Partners, LLC
Downloads 655 (15,197)

Abstract:

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

32.

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
Guggenheim Partners, LLC
Downloads 625 (13,390)

Abstract:

Empirical research, false discovery, multiple testing, physics envy

33.

Backtesting

Number of pages: 33 Posted: 16 May 2015 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 589 (15,139)

Abstract:

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

34.

Deflating the Sharpe Ratio

Number of pages: 43 Posted: 14 Jul 2014 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 540 (30,812)

Abstract:

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

35.

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, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 531 (20,289)

Abstract:

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

36.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 505 (11,813)

Abstract:

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

37.

Optimal Trading Rules Without Backtesting

Number of pages: 29 Posted: 29 Sep 2014 Last Revised: 05 Jul 2015
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 481 (24,589)

Abstract:

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

38.

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
Guggenheim Partners, LLC
Downloads 473 (36,265)

Abstract:

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

39.

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 D Simon and Kesheng Wu
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 414 (35,454)

Abstract:

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

40.

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
Guggenheim Partners, LLC
Downloads 370 (23,166)

Abstract:

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

41.

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
Guggenheim Partners, LLC
Downloads 358 (27,267)

Abstract:

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

42.

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 Newcastle, Australia, Guggenheim Partners, LLC and Western Michigan University
Downloads 311 (40,516)

Abstract:

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

43.

Advances in Quantitative Meta-Strategies

Number of pages: 39 Posted: 13 May 2015
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 308 (37,197)

Abstract:

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

44.

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 Guggenheim Partners, LLC
Downloads 228 (83,864)

Abstract:

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

45.

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
Guggenheim Partners, LLC
Downloads 209 (57,871)

Abstract:

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

46.

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 M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 170 (56,023)

Abstract:

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

47.

Determining Optimal Trading Rules Without Backtesting

Number of pages: 39 Posted: 12 Sep 2015
Peter Carr and Marcos Lopez de Prado
New York University (NYU) - Courant Institute of Mathematical Sciences and Guggenheim Partners, LLC
Downloads 141 (33,190)

Abstract:

Trading, optimization, backtesting, overfitting, simulation

48.

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 (NYU) - Courant Institute of Mathematical Sciences, Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 104 (22,740)

Abstract:

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

49.

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
Guggenheim Partners, LLC, Vince Strategies LLC and Western Michigan University
Downloads 96 (100,702)

Abstract:

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

50.

Finance as an Industrial Science

Journal of Portfolio Management, Vol. 43, No. 4, 2017
Posted: 05 Aug 2017 Last Revised: 13 Aug 2017
Marcos Lopez de Prado
Guggenheim Partners, LLC

Abstract:

Big data, machine learning, high performance computing

51.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Newcastle, Australia and Guggenheim Partners, LLC
Downloads 0 (25,510)

Abstract:

Marker forecasters ranking; Guru ranking; Market forecast

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
Guggenheim Partners, LLC
Downloads 0 (32,622)

Abstract:

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

53.

Mathematics & Economics: A Reality Check (Presentation Slides)

Number of pages: 14 Posted: 13 Oct 2016
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 0 (41,930)

Abstract:

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

54.

Financial Quantum Computing (Presentation Slides)

Number of pages: 13 Posted: 07 Oct 2016
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 0 (74,309)

Abstract:

Portfolio Optimization, Quantum Computers, Algorithm Complexity

55.

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
Guggenheim Partners, LLC
Downloads 0 (20,630)

Abstract:

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

56.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
David H. Bailey, Jonathan M. Borwein and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia) and Guggenheim Partners, LLC
Downloads 0 (10,070)

Abstract:

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

57.

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), Guggenheim Partners, LLC, University of Newcastle, Australia and Western Michigan University
Downloads 0 (22,119)

Abstract:

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

58.

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
Guggenheim Partners, LLC
Downloads 0 (5,005)

Abstract:

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

59.

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
Guggenheim Partners, LLC
Downloads 0 (1,436)

Abstract:

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

60.

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

Number of pages: 10 Posted: 23 Nov 2015
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 0 (34,857)

Abstract:

Portfolio optimization, quantum computers, algorithm complexity

61.

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
Guggenheim Partners, LLC
Downloads 0 (84,173)

Abstract:

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

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 D Simon and Kesheng Wu
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 0 (36,618)

Abstract:

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