Three Quant Lessons from COVID-19 (Presentation Slides)
19 Pages Posted: 31 Mar 2020 Last revised: 8 May 2020
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: Suggested Citation
López de Prado, Marcos and 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
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