Marcos López de Prado
Marcos López de Prado is a quantitative finance researcher and practitioner — head of ADIA Lab and Global Head of Quantitative R&D at the Abu Dhabi Investment Authority, previously a Senior Managing Director at Guggenheim Partners and a Research Affiliate at Lawrence Berkeley National Laboratory, with academic appointments at Cornell University. He is the author of Advances in Financial Machine Learning (2018) and Machine Learning for Asset Managers (2020). In this vault he is the central methodological authority on judging trading-strategy evidence: he co-authored the proofs of Pseudo-Mathematics and Financial Charlatanism on backtest overfitting, formalised the Deflated Sharpe Ratio, and developed purged cross-validation and Combinatorial Purged Cross-Validation. His work supplies the evidence standard the vault uses to grade Markov-model profitability claims.
Connections
- Pseudo-Mathematics and Financial Charlatanism — proposes_model, source: https://ssrn.com/abstract=2308659
- Combinatorial Purged Cross-Validation — proposes_model, source: https://en.wikipedia.org/wiki/Purged_cross-validation
- Deflated Sharpe Ratio — proposes_model, source: https://ssrn.com/abstract=2460551
- Out-of-Sample Backtesting — relates, source: https://www.garp.org/hubfs/Whitepapers/a1Z1W0000054x6lUAA.pdf