Three Quant Lessons from COVID-19 (Presentation Slides)

19 Pages Posted: 31 Mar 2020 Last revised: 8 May 2020

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

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

Alex Lipton

Hebrew University of Jerusalem; Massachusetts Institute of Technology (MIT)

Date Written: March 27, 2020

Abstract

Many quantitative firms have suffered substantial losses as a result of the COVID-19 selloff. In this note we highlight three lessons that quantitative researchers could learn.

Keywords: COVID-19, nowcasting, machine learning, Monte Carlo, backtesting, backtest overfitting

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

Suggested Citation

López de Prado, Marcos and Lipton, Alex, Three Quant Lessons from COVID-19 (Presentation Slides) (March 27, 2020). Available at SSRN: https://ssrn.com/abstract=3562025 or http://dx.doi.org/10.2139/ssrn.3562025

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

Alex Lipton

Hebrew University of Jerusalem ( email )

Mount Scopus
Jerusalem, IL Jerusalem 91905
Israel

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
9,545
Abstract Views
20,969
rank
547
PlumX Metrics