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

33 Pages Posted: 20 Feb 2018 Last revised: 29 May 2018

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering; True Positive Technologies

Date Written: February 9, 2018

Abstract

In recent years, Machine Learning (ML) has been able to master tasks that until now only a few human experts could perform.

Some of the most successful hedge funds in history apply ML every day. However, myths about Financial ML have proliferated:

a) The Sisyphus paradigm is applicable to ML,

b) ML is a black-box,

c) Generic ML solutions work in Finance,

d) Traditional quants know about ML,

e) There are many ML Portfolio Managers.

In this presentation we will review the rationale behind those claims. Additional details can be found at:

https://ssrn.com/abstract=3104847.

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

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

Suggested Citation

López de Prado, Marcos, The Myth and Reality of Financial Machine Learning (Presentation Slides) (February 9, 2018). Available at SSRN: https://ssrn.com/abstract=3120557 or http://dx.doi.org/10.2139/ssrn.3120557

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

True Positive Technologies ( email )

NY
United States

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

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