User profiles for Marcos M. López de Prado

Marcos Lopez de Prado

Professor 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 …

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 …

[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 …

VPIN and the flash crash: A rejoinder

D Easley, MML de Prado, M O'Hara - Journal of Financial Markets, 2014 - Elsevier
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. …

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 …

[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 …

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 …

The Sharpe ratio efficient frontier

DH Bailey, M Lopez de Prado - Journal of Risk, 2012 - papers.ssrn.com
Marcos M. López de PradoLópez de Prado and Peijan (2004) showed that the implied
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 …

[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 …