Follow
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
5692010
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
4802012
Advances in Financial Machine Learning
M Lopez de Prado
Wiley 1, 1-400, 2018
393*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
1842012
Building diversified portfolios that outperform out of sample
ML De Prado
The Journal of Portfolio Management 42 (4), 59-69, 2016
1662016
The Sharpe Ratio Efficient Frontier
DH Bailey, M Lopez de Prado
The Journal of Risk, 2012
1652012
Pseudomathematics and financial charlatanism: The effects of backtest over fitting on out-of-sample performance
DH Bailey, JM Borwein, ML de Prado, QJ Zhu
Notices of the AMS 61 (5), 458-471, 2014
1572014
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
1482016
The probability of backtest overfitting
DH Bailey, J Borwein, M Lopez de Prado, QJ Zhu
Journal of Computational Finance, forthcoming, 2016
982016
Discerning Information from Trade Data
D Easley, M O'Hara
http://ssrn.com/abstract=1989555, 2015
982015
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
962014
Bulk classification of trading activity
D Easley, M Lopez de Prado, M O’Hara
Johnson School Research Paper Series 8 (6), 14, 2012
632012
Machine learning for asset managers
MML de Prado
Elements in Quantitative Finance, 2020
612020
The Exchange of Flow Toxicity
D Easley, M Lopez de Prado, M O'Hara
The Journal of Trading 6 (2), 8-13, 2011
522011
VPIN and the flash crash: A rejoinder
D Easley, MML de Prado, M O'Hara
Journal of Financial Markets 17, 47-52, 2014
452014
The 10 reasons most machine learning funds fail
ML De Prado
The Journal of Portfolio Management 44 (6), 120-133, 2018
432018
Measuring loss potential of hedge fund strategies
M Lopez de Prado, A Peijan
Journal of Alternative Investments 7 (1), 7-31, 2004
402004
Microstructure in the machine age
D Easley, M López de Prado, M O’Hara, Z Zhang
The Review of Financial Studies 34 (7), 3316-3363, 2021
342021
Detection of false investment strategies using unsupervised learning methods
M López de Prado, MJ Lewis
Quantitative Finance 19 (9), 1555-1565, 2019
322019
An open-source implementation of the critical-line algorithm for portfolio optimization
DH Bailey, ML de Prado
Algorithms 6 (1), 169-196, 2013
302013
The system can't perform the operation now. Try again later.
Articles 1–20