Quantitative Research Through Investment Tournaments (Presentation Slides)

22 Pages Posted: 11 Sep 2019 Last revised: 1 Nov 2021

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering; Abu Dhabi Investment Authority; True Positive Technologies

Date Written: September 3, 2019


Traditionally, the development of investment strategies has required domain-specific knowledge and access to restricted datasets. These two barriers exist by design: (a) Financial knowledge is hoarded by firms, and protected as trade secrets, and (b) Financial data is expensive, making it inaccessible to the broad scientific community.

This presentation explores how these two barriers impact the quality of quantitative research, and how investment tournaments can help deliver better investment outcomes by overcoming those two barriers.

Keywords: backtest overfitting, selection bias, false investment strategy, tournaments, machine learning

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

Suggested Citation

López de Prado, Marcos and López de Prado, Marcos, Quantitative Research Through Investment Tournaments (Presentation Slides) (September 3, 2019). Available at SSRN: https://ssrn.com/abstract=3447561 or http://dx.doi.org/10.2139/ssrn.3447561

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

Abu Dhabi Investment Authority ( email )

211 Corniche Road
Abu Dhabi, Abu Dhabi PO Box3600
United Arab Emirates

HOME PAGE: http://www.adia.ae

True Positive Technologies ( email )

United States

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

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