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
Valuing private equity analytically
A framework that includes liquidity and market completeness for PE valuation
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
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
The probability of backtest overfitting
The authors propose a general framework to assess the probability of backtest overfitting (PBO).
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.