User profiles for Marcos M. López de Prado
Marcos Lopez de PradoProfessor of Practice, School of Engineering, Cornell University Verified email at cornell.edu Cited by 4819 |
Flow toxicity and liquidity in a high-frequency world
…, MM López de Prado, M O'Hara - The Review of Financial …, 2012 - academic.oup.com
Order flow is toxic when it adversely selects market makers, who may be unaware they are
providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on …
providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on …
The volume clock: Insights into the high-frequency paradigm
…, MML De Prado, M O'Hara - The Journal of Portfolio …, 2012 - jpm.pm-research.com
Over the last two centuries, technological advantages have allowed some traders to be faster
than others. In this article, the authors argue that contrary to popular perception, speed is …
than others. In this article, the authors argue that contrary to popular perception, speed is …
[BOOK][B] Machine learning for asset managers
MML de Prado - 2020 - cambridge.org
… Marcos M. López de Prado … a degree of complexity that is beyond the grasp of classical
statistical tools (López de Prado 2019b). As a consequence, machine learning (ML) plays an …
statistical tools (López de Prado 2019b). As a consequence, machine learning (ML) plays an …
VPIN and the flash crash: A rejoinder
Andersen and Bondarenko's paper “VPIN and the Flash Crash” is essentially a comment on
our 2011 Journal of Portfolio Management paper using our measure of order toxicity, VPIN. …
our 2011 Journal of Portfolio Management paper using our measure of order toxicity, VPIN. …
The exchange of flow toxicity
…, MML de Prado, M O'Hara - The Journal of Trading …, 2011 - jot.pm-research.com
… Easley, López de Prado and O’Hara [2010b] presented evidence that the VPIN metric
anticipated the events of May 6, 2010 (also known as the flash crash), with as much as a two hour …
anticipated the events of May 6, 2010 (also known as the flash crash), with as much as a two hour …
[BOOK][B] Causal Factor Investing: Can Factor Investing Become Scientific?
MML de Prado - 2023 - books.google.com
Virtually all journal articles in the factor investing literature make associational claims, instead
of causal claims. Authors do not identify the causal graph consistent with the observed …
of causal claims. Authors do not identify the causal graph consistent with the observed …
Causal Factor Investing
MM López de Prado - Cambridge Books, 2023 - ideas.repec.org
Virtually all journal articles in the factor investing literature make associational claims, in denial
of the causal content of factor models. Authors do not identify the causal graph consistent …
of the causal content of factor models. Authors do not identify the causal graph consistent …
The Sharpe ratio efficient frontier
DH Bailey, M Lopez de Prado - Journal of Risk, 2012 - papers.ssrn.com
… Marcos M. López de Prado … López de Prado and Peijan (2004) showed that the implied
assumptions (namely, that returns are independent and identically distributed (IID) Normal) may …
assumptions (namely, that returns are independent and identically distributed (IID) Normal) may …
Spanish Heart Transplant Registry. 31th Official Report of the Heart Failure Association of the Spanish Society of Cardiology
…, J Delgado-Jimenez, JMA Del Prado… - Revista Española de …, 2020 - Elsevier
Introduction and objectives The present report describes the clinical characteristics and
outcomes of heart transplants in Spain and updates the data to 2019. Methods We describe the …
outcomes of heart transplants in Spain and updates the data to 2019. Methods We describe the …
[PDF][PDF] Bulk classification of trading activity
…, M Lopez de Prado, M O'Hara - Johnson School Research …, 2012 - academia.edu
The classification of the aggressor’s side of a trade is a critical concern in Market Microstructure
Theory. Among other uses, it is a key input necessary to identify information asymmetries …
Theory. Among other uses, it is a key input necessary to identify information asymmetries …