Marcos López de Prado

Marcos López de Prado is a hedge fund manager, entrepreneur, inventor and Cornell professor. He is currently global head of quantitative R&D at the Abu Dhabi Investment Authority (ADIA). Before ADIA, he founded True Positive Technologies (TPT), which researches and develops investment IP. Before TPT, he was a partner and the first head of machine learning at AQR Capital Management. As a senior managing director at Guggenheim Partners, he also founded and led its quantitative investment strategies business.

López de Prado, who won Risk.net’s Buy-side Quant of the Year award in 2021, is also a research fellow at Lawrence Berkeley National Laboratory (US Department of Energy, Office of Science).

Book contributions by Marcos López de Prado

High-Frequency Trading

Edited by David Easley, Marcos López de Prado and Maureen O’Hara

Articles by Marcos López de Prado

Investments

A closed-form solution for optimal mean-reverting strategies

The heat potentials method is used to find the optimal profit-taking and stop-loss levels

15 Jun 2020

Original research

The probability of backtest overfitting

The authors propose a general framework to assess the probability of backtest overfitting (PBO).

19 Sep 2016

Original research

Stop-outs under serial correlation and the triple penance rule

This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.

23 Nov 2015

Structured products

Balanced baskets: a new approach to trading and hedging risks

27 Sep 2012

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