Marcos Lopez de Prado
Marcos Lopez de Prado
Professor of Practice, School of Engineering, Cornell University
Verified email at cornell.edu - Homepage
Title
Cited by
Cited by
Year
The microstructure of the ‘Flash Crash’: Flow toxicity, liquidity crashes and the probability of informed trading
D Easley, M Lopez de Prado, M O'Hara
The Journal of Portfolio Management 37 (2), 118-128, 2010
5472010
Flow toxicity and Liquidity in a high frequency world
D Easley, M Lopez de Prado, M O’Hara
Review of Financial Studies 25 (5), 1457-1493, 2012
4572012
Advances in Financial Machine Learning
M Lopez de Prado
Wiley 1, 1-400, 2018
281*2018
Advances in Financial Machine Learning
M Lopez de Prado
https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp …, 2018
278*2018
The Volume Clock: Insights into the High Frequency Paradigm
D Easley, M Lopez de Prado, M O'Hara
The Journal of Portfolio Management, 2012
1712012
The Sharpe Ratio Efficient Frontier
DH Bailey, M Lopez de Prado
The Journal of Risk, 2012
1512012
Pseudo-mathematics and financial charlatanism: The effects of backtest overfitting on out-of-sample performance
DH Bailey, J Borwein, M Lopez de Prado, QJ Zhu
Notices of the American Mathematical Society 61 (5), 458-471, 2014
1502014
Discerning Information from Trade Data
D Easley, M O'Hara
http://ssrn.com/abstract=1989555, 2015
139*2015
Solving the optimal trading trajectory problem using a quantum annealer
G Rosenberg, P Haghnegahdar, P Goddard, P Carr, K Wu, ML De Prado
IEEE Journal of Selected Topics in Signal Processing 10 (6), 1053-1060, 2016
1212016
Building diversified portfolios that outperform out of sample
ML De Prado
The Journal of Portfolio Management 42 (4), 59-69, 2016
1172016
The probability of backtest overfitting
DH Bailey, J Borwein, M Lopez de Prado, QJ Zhu
Journal of Computational Finance, forthcoming, 2016
922016
The deflated Sharpe ratio: correcting for selection bias, backtest overfitting, and non-normality
DH Bailey, ML De Prado
The Journal of Portfolio Management 40 (5), 94-107, 2014
882014
The Exchange of Flow Toxicity
D Easley, M Lopez de Prado, M O'Hara
The Journal of Trading 6 (2), 8-13, 2011
512011
VPIN and the flash crash: A rejoinder
D Easley, MML de Prado, M O'Hara
Journal of Financial Markets 17, 47-52, 2014
432014
Measuring loss potential of hedge fund strategies
M Lopez de Prado, A Peijan
Journal of Alternative Investments 7 (1), 7-31, 2004
392004
Machine learning for asset managers
MML de Prado
Elements in Quantitative Finance, 2020
332020
The 10 reasons most machine learning funds fail
ML De Prado
The Journal of Portfolio Management 44 (6), 120-133, 2018
282018
Optimal Execution Horizon
D Easley, M Lopez de Prado, M O'Hara
272012
Detection of false investment strategies using unsupervised learning methods
M López de Prado, MJ Lewis
Quantitative Finance 19 (9), 1555-1565, 2019
252019
High-frequency trading: New realities for traders, markets and regulators
D Easley, MML de Prado, M O'Hara
Incisive Media, 2013
252013
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Articles 1–20