Marcos M. Lopez de Prado

COLLABORATION NETWORK

Below is a summarized collaboration network, which makes it easy to visualize three main clusters: Pure Mathematics (centered around Paul Erdős and the Fields-Nevanlinna medallists), Mathematical Finance (centered around the Carr-Geman-Madan-Yor team) and Financial Econometrics (centered around the Nobel Laureates in Economics).

NODES EDGES

RED: Fields Medal, Abel Prize or Nevanlinna Prize.
BLUE: Nobel Prize in Physics.
GREEN: Nobel Prize in Economics.
SQUARED: Wolf Prize or Chauvenet Prize. RED: Mathematical publication.
BLUE: Physics publication.
GREEN: Financial Econometrics publication.

An author collaboration network. [Source: American Mathematical Society, SSRN]

Contrary to common belief, modern mathematical research is a highly collaborative enterprise, where teams of researchers pursue a common interest and build upon each others' innovations. A formalized field lends itself to team-working because concepts can be rigorously defined and debated (see the Polymath project for astonishing examples of massive collaboration).

CO-AUTHORS

Below is a partial list (in alphabetic order) of the ~30 co-authors with whom I have had the fortune to do research and publish some of our results.

NAME	FIELD	PUBLICATIONS	COMMENTS
Dr. Robert Almgren	Market Microstructure High Frequency Trading	[1]	Founder, Quantitative Brokers. Faculty, Financial Mathematics, Courant Institute of Mathematical Sciences, NYU. Known for: Almgren-Chriss Optimal Execution model. Co-inventor, U.S. Patent #7630930, "Method and system for portfolio optimization from ordering information".
Dr. Alexander Antonov	Pricing	[1]	The Free-Boundary SABR Model (negative interest rates) Known for: Quant of the Year, 2016. Risk Magazine
Dr. David H. Bailey	Experimental Mathematics Computational Research Mathematical Finance	[1], [2], [3], [4], [5], [6], [7], [8], [9], [10], [11], [12], [13], [14], [15], [16], [17], [18], [19]	Complex Systems Lead, Lawrence Berkeley National Laboratory. Research Fellow, Department of Computer Science, University of California, Davis. Former Researcher at NASA's Ames Research Center. Known for: Bailey-Borwein-Plouffe formula. FFT algorithms. Spigot Algorithms. The NAS parallel benchmarks. Winner of the Sidney Fernbach Award (IEEE Computer Society). Winner of the Chauvenet Prize (Mathematical Association of America). Winner of the Hasse Prize (Mathematical Association of America). Winner of the Gordon Bell Prize (Association of Computing Machinery). Winner of the Levi L. Conant Prize (American Mathematical Society). Winner of the Test of Time Award (ACM/IEEE Supercomputing Conference). NERSC's π project (National Energy Research Scientific Computing Center). David's research was featured in The Simpsons! Six books on Experimental Mathematics, one book on supercomputing, and over 200 papers. Erdös #2, Einstein #3 (AMS).
Dr. Wes Bethel	Computer Science	[1]	Senior Scientist, Department of Computational Research, Lawrence Berkeley National Laboratory. Distinguished Scientist Award, ACM. Known for: Coordinating Principal for the SciDAC Visualization and Analytics Center for Enabling Technology (VACET).
Dr. Jonathan M. Borwein, FAMS, FRSC, FAAAS, FBAS, FAA	Variational Analysis Computational Research Mathematical Finance	[1], [2], [3], [4], [5], [6], [7], [8]	Laureate Professor of Mathematics, University of Newcastle, Australia. Fellow of the American Mathematical Society. Fellow of the Royal Society of Canada. Fellow of the Australian Academy of Science. Fellow of the American Association for the Advancement of Science. Foreign member of the Bulgarian Academy of Sciences. Known for: Bailey-Borwein-Plouffe formula. Borwein integral. Borwein's algorithm. Winner of the Chauvenet Prize (Mathematical Association of America). Past President of the Canadian Mathematical Society. ISI Highly Cited Mathematician. Erdös #2, Einstein #3 (AMS).
Dr. Stephen P. Boyd	Convex optimization Stochastic Control Dynamical Systems	[1]	Samsung Professor, School of Engineering, Stanford University. Member of the National Academy of Engineering. Fellow of the IEEE, SIAM, and INFORMS. Distinguished Lecturer of the IEEE Control Systems Society. Known for: IEEE Control Systems Award, 2013. "Convex Optimization" Erdös #2, Einstein #4 (AMS).
Dr. Neil J. Calkin	Graph Theory Combinatorial Methods Number Theory	[1], [2]	Professor of Mathematics, Clemson University. Known for: Calkin-Wilf Tree. Co-founder, Electronic Journal of Combinatorics (one of the oldest electronic journals). Neil's work was featured in Numberphile & Numberphile2! Erdös #1 (AMS).
Dr. Peter P. Carr	Mathematical Finance Stochastic Processes Optimal Control	[1], [2]	Managing Director, Global Head of Market Modelling, Morgan Stanley. Executive Director of the Math Finance program at NYU's Courant Institute. Treasurer of the Bachelier Finance Society Trustee for the Museum of Mathematics in New York. Known for: Quant of the Year by Risk Magazine in 2003. ISA Medal for Science in 2008. Financial Engineer of the Year 2010, International Association of Financial Engineers (IAFE) and Sungard. Over 70 publications in academic and industry-oriented journals. Associate editor for 8 journals related to mathematical finance.
Dr. David A. Easley	Market Microstructure High Frequency Trading Computer Science	[1], [2], [3], [4], [5], [6], [7], [8], [9], [10]	Chair of the Economics Department, Cornell University. Professor, Computer Science, Cornell University. Fellow of the Econometric Society. Chair of the NASDAQ-OMX Economic Advisory Board. Known for: PIN Theory. "Networks, Crowds and Markets", with Jon Kleinberg.
Dr. Frank Fabozzi	Mathematical Finance	[1], [2], [3], [4], [5]	Editor of the Journal of Portfolio Management. Professor of Finance at EDHEC Business School. Member, board of directors BlackRock's complex of closed-end funds. Known for: Kalotay-Williams-Fabozzi model of short rates. The Handbook of Fixed Income Securities.
Dr. Matthew D. Foreman	Set Theory Mathematical Finance	[1]	Professor of Mathematics, University of California, Irvine. Known for: Martin's maximum. Banach-Tarski paradox. "Handbook of Set Theory", with Akihiro Kanamori. Five publications in Annals of Mathematics. Erdös #2 (AMS).
Dr. Phil Goddard	Quantum Physics Quantum Computing	[1]	Head of Research, 1QBit. President and Principal Consultant, Goddard Consulting. Visiting Lecturer, Beedie School of Business, Simon Fraser University. Ph.D. in Engineering from the University of Cambridge.
Dr. Ming Gu	Optimization and Numerical Methods	[1]	Faculty, Department of Mathematics, University of California, Berkeley.
Dr. Terry Hendershott	Market Microstructure High Frequency Trading	[1]	Chair, Operations and Information Technology, University of California, Berkeley. Known for: NYSE-Euronext Award, WFA Meetings. NASDAQ Award, FMA.
Dr. Charles Jones	Market Microstructure High Frequency Trading	[1]	Professor of Finance, Columbia University. Known for: FINRA Economic Advisory Committee. NASDAQ Economic Advisory Board. Roger F. Murray Prize, Q Group. NYSE-Euronext Award, WFA Meetings. Best Paper Award, Review of Financial Studies.
Dr. Michael Kearns	Machine Learning High Frequency Trading Operations Research	[1]	Chair, Department of Computer and Information Science, University of Pennsylvania. Quantitative Portfolio Manager, SAC Capital. Former Co-Head of Systematic Trading, Bank of America. Known for: Long-time collaborator of Les Valiant, FRS. Best Paper Award, Journal of Trading, 2010. "The Computational Complexity of Machine Learning".
Dr. David J. Leinweber	Machine Learning Mathematical Finance	[1], [2]	Founder, Center for Innovative Financial Technology, Lawrence Berkeley National Laboratory. Research Fellow, Department of Finance, University of California, Berkeley. Known for: Co-founder, IAC (acquired by Investment Technology Group). "Nerds on Wall Street".
Dr. Oliver Linton , FBA	Market Microstructure High Frequency Trading	[1]	Professor, Political Economy, University of Cambridge. Fellow of the British Academy. Fellow of the Econometric Society. Fellow of the Institute of Mathematical Statistics. Fellow of the International Statistical Institute. Fellow of Trinity College, Cambridge. Known for: Mathematics Prize, London School of Economics.
Dr. Alexander Lipton	Mathematical Finance	[1], [2], [3], [4]	Professor, Dean's Fellow, Business School at The Hebrew University of Jerusalem. Chief Technical Officer at SilaMoney. Connection Science Fellow at MIT. Visiting Professor of Financial Engineering at EPFL. Known for: Quant of the Year 2000, Risk Magazine. Buy-Side Quant of the Year 2021, Risk Magazine.
Dr. Albert Menkveld	Market Microstructure High Frequency Trading	[1]	Professor of Finance, VU University Amsterdam. Known for: Best Paper Award, American Finance Association. NYSE-Euronext Award, WFA Meetings. Royal Dutch Economic Association Award.
Dr. Yuryi Nevmyvaka	Machine Learning High Frequency Trading Operations Research	[1]	Quantitative Portfolio Manager, SAC Capital. Former Co-Head of Systematic Trading, Bank of America. Known for: Best Paper Award, Journal of Trading, 2010.
Dr. Richard Olsen	Market Microstructure High Frequency Trading	[1]	Founder, OlsenInvest. Known for: "Introduction to High Frequency Finance", with R. Gencay, M. Dacorogna, U. Muller and O. Pictet.
Dr. Maureen O'Hara	Market Microstructure High Frequency Trading	[1], [2], [3], [4], [5], [6], [7], [8], [9], [10]	Professor of Finance, Johnson Graduate School of Management, Cornell University. Chairman of the Board of Directors, Investment Technology Group. Member, CFTC-SEC Emerging Regulatory Issues Task Force. Member, Advisory Board, Office of Financial Research, U.S. Department of Treasury. Board of Trustees, TIAA-CREF. Fellow of the American Finance Association. Former President, American Finance Association. Former President, Western Finance Association. Former President, Society for Financial Studies. Former President, International Atlantic Economic Society. Former President, Financial Management Association. Known for: PIN Theory. "Market Microstructure Theory".
Dr. Achim Peijan	Mathematical Finance	[1]	Executive Director, Global Asset Allocation, UBS.
Dr. Eva del Pozo	Mathematical Finance	[1]	Professor of Mathematical Finance, Complutense University. Vice-Dean of Quality Assurance, Business School, Complutense University.
Dr. Riccardo Rebonato	Mathematical Finance	[1]	Head of Rates and FX Analytics at Pacific Investment Management Company (PIMCO). Visiting Lecturer of Mathematical Finance at University of Oxford. Adjunct professor at Imperial College, London. Board of directors of the International Swaps and Derivatives Association (ISDA). Board of trustees for the Global Association of Risk Professionals (GARP). Former Global Head of Market Risk and Global Head of the Quantitative Research Team at the Royal Bank of Scotland (RBS) Former Head of the Complex Derivatives Trading Desk and Research Group at Barclays Capital. Known for: Portfolio Management under Stress. Volatility and Correlation: The Perfect Hedger and the Fox. Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress. Volatility and Correlation in the Pricing of Equity, FX and Interest-Rate Options.
Dr. Oliver Ruebel	Computer Science	[1]	Senior Scientist, Department of Computational Research, Lawrence Berkeley National Laboratory.
Dr. Horst Simon	Computer Science Supercomputing Algorithms	[1], [2], [3]	Deputy Director, Lawrence Berkeley National Laboratory. Former Director, National Energy Research Scientific Computing Center (NERSC). Founding Director, Berkeley Lab's Computational Research Division. Known for: Sparse matrix algorithms. Algorithms for large-scale eigenvalue problems. Domain decomposition algorithms for unstructured domains in parallel processing. Twice Winner of the Gordon Bell Prize, ACM (1998, 2009). Member of the NASA team that developed the NAS Parallel Benchmarks. Co-editor of the biannual TOP500 world rank of Supercomputers.
Dr. George Sofianos	Market Microstructure High Frequency Trading	[1]	Head of Equity Execution Strategies, Goldman Sachs. Former Head of Research at NYSE. Former Researcher, Federal Reserve Bank of New York.
Dr. Michael Sotiropoulos	Market Microstructure High Frequency Trading	[1]	Managing Director, Quantitative Research, Bank of America Merrill Lynch.
Ralph Vince	Computer Science Game Theory	[1]	Founder and CEO, LSP Partners. Known for: Co-inventor of the Dow Jones LSP Indices. Optimal f model.
Dr. Kesheng Wu	Computer Science	[1], [2], [3], [4], [5], [6]	Senior Scientist, Department of Computational Research, Lawrence Berkeley National Laboratory. Distinguished Scientist Award, ACM. Known for: Co-inventor of FastBit. R&D 100 Award, R&D Magazine.
Dr. Jim Zhu	Variational Analysis Computational Research Mathematical Finance	[1], [2], [3], [4], [5], [6]	Professor of Mathematics, Western Michigan University. Known for: "Techniques of Variational Analysis", with J.M. Borwein.
Dr. Jean-Pierre Zigrand	Market Microstructure High Frequency Trading	[1]	Professor, Department of Finance, London School of Economics.
Dr. Vincent Zoonekynd	Causal Inference Factor Investing	[1], [2]	Quantitative Research and Development Lead, Abu Dhabi Investment Authority (ADIA).