Zobrazeno 1 - 10
of 141
pro vyhledávání: '"Marcos Lopez de Prado"'
Autor:
Marcos Lopez de Prado
Publikováno v:
The Journal of Financial Data Science. 4:10-30
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::739ce8ec7352d873e73a0fa907e2d193
https://doi.org/10.3905/jfds.2022.1.101
https://doi.org/10.3905/jfds.2022.1.101
Autor:
David H. Bailey, Marcos Lopez de Prado
Publikováno v:
Significance. 18:22-25
Financial investment strategies are often designed and tested using historical market data. But this can frequently give rise to “optimal” strategies that are statistical mirages and perform poorly out in the real world, as David H. Bailey and Ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0268464bf891c46883f5d2a739778701
https://doi.org/10.1111/1740-9713.01588
https://doi.org/10.1111/1740-9713.01588
Autor:
David H. Bailey, Marcos Lopez de Prado
Publikováno v:
The American Mathematical Monthly. 128:825-831
The late Jonathan M. Borwein excelled at a wide range of mathematical fields. He is perhaps best known for his work in experimental mathematics and optimization. But his interests extended far beyo...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::472cfe40d7523326d43595f0928c001d
https://doi.org/10.1080/00029890.2021.1965068
https://doi.org/10.1080/00029890.2021.1965068
Publikováno v:
Journal of Risk and Financial Management; Volume 15; Issue 6; Pages: 248
This article develops a detailed epidemiological multi-factor model, the K-susceptible–exposed–infected–removed (K-SEIR) model, and several simpler sub-models as its building blocks. The general model enables us to account for all the relevant
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::53fa489bbe1f544b87f3b09a2a0a4053
Publikováno v:
The Review of Financial Studies. 34:3316-3363
Understanding modern market microstructure phenomena requires large amounts of data and advanced mathematical tools. We demonstrate how machine learning can be applied to microstructural research. We find that microstructure measures continue to prov
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f2f233476ee5483cec21fc688b5be815
https://doi.org/10.1093/rfs/hhaa078
https://doi.org/10.1093/rfs/hhaa078
Autor:
Marcos Lopez de Prado
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ab7e5788cd1f80ae932a3fd667edae6
https://doi.org/10.2139/ssrn.4205613
https://doi.org/10.2139/ssrn.4205613
Publikováno v:
The Journal of Financial Data Science. 1:124-138
As algorithms replace a growing number of tasks performed by humans in the markets, there have been growing concerns about an increased likelihood of cascading events, similar to the Flash Crash of May 6, 2010. To address these concerns, researchers
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3e47f7311f816a18a0fc09c451aaf10f
https://doi.org/10.3905/jfds.2019.1.4.124
https://doi.org/10.3905/jfds.2019.1.4.124
Publikováno v:
Quantitative Finance. 19:1555-1565
In this paper we address the problem of selection bias under multiple testing in the context of investment strategies. We introduce an unsupervised learning algorithm that determines the number of ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::91c2402271753cf0ee507e0fd0f51639
https://doi.org/10.1080/14697688.2019.1622311
https://doi.org/10.1080/14697688.2019.1622311
Autor:
Marcos Lopez de Prado
Publikováno v:
The Journal of Financial Data Science. 1:99-110
Most discoveries in empirical finance are false, as a consequence of selection bias under multiple testing. Although many researchers are aware of this problem, the solutions proposed in the literature tend to be complex and hard to implement. In thi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d4701f79f6e7a9715c4ecf0f680ab0a6
https://doi.org/10.3905/jfds.2019.1.099
https://doi.org/10.3905/jfds.2019.1.099
Autor:
Marcos Lopez de Prado
Publikováno v:
The Journal of Portfolio Management. :jpm.2022.1.403
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb0bb2ae51437027ff01b7b56849e902
https://doi.org/10.3905/jpm.2022.1.403
https://doi.org/10.3905/jpm.2022.1.403