The 7 Reasons Most Econometric Investments Fail

39 Pages Posted: 23 Apr 2019

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

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

Date Written: April 16, 2019

Abstract

This presentation reviews the main reasons why investment strategies discovered through econometric methods fail. As a solution, it proposes the modernization of the statistical methods used by financial firms and academic authors.

This material is part of Cornell University's ORIE 5256 graduate course at the School of Engineering.

Keywords: Machine learning, artificial intelligence, asset management

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

Suggested Citation

López de Prado, Marcos, The 7 Reasons Most Econometric Investments Fail (April 16, 2019). Available at SSRN: https://ssrn.com/abstract=3373116 or http://dx.doi.org/10.2139/ssrn.3373116

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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