Finance as an Industrial Science

2 Pages Posted: 5 Aug 2017 Last revised: 19 Jan 2018

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering; AQR Capital Management, LLC

Date Written: January 18, 2018

Abstract

Finance cannot become a rigorous science (in the Popperian or Lakatosian sense), however it can still operate as an “industrial science”. This article describes the scientific method by which industrial finance discovers through experimentation, and avoids false discoveries.

Keywords: Big data, machine learning, high performance computing

JEL Classification: G0, G1, G2, G15, G24, E44

Suggested Citation

López de Prado, Marcos, Finance as an Industrial Science (January 18, 2018). Journal of Portfolio Management, Vol. 43, No. 4, 2017. Available at SSRN: https://ssrn.com/abstract=3010799

Marcos López de Prado (Contact Author)

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

HOME PAGE: http://www.orie.cornell.edu

AQR Capital Management, LLC

One Greenwich Plaza
Greenwich, CT 06830
United States

HOME PAGE: http://www.aqr.com

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