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).
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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
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.