Financial Machine Learning in 10 Minutes (Presentation Slides)

11 Pages Posted: 18 May 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: May 12, 2018

Abstract

Most publications in Financial ML seem concerned with forecasting prices. While these are worthy endeavors, Financial ML can offer so much more. In this presentation, we review a few important applications that go beyond price forecasting:

1. Portfolio construction

2. Structural breaks

3. Bet sizing

4. Feature importance

5. Detection of false investment strategies (backtest overfitting).

Keywords: Machine learning, artificial intelligence, backtest overfitting

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

Suggested Citation

López de Prado, Marcos, Financial Machine Learning in 10 Minutes (Presentation Slides) (May 12, 2018). Available at SSRN: https://ssrn.com/abstract=3177534 or http://dx.doi.org/10.2139/ssrn.3177534

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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