Marcos M. Lopez de Prado

SCHEDULED EVENTS

DATE	ORGANIZER	TITLE/EVENT	VENUE	SUBJECT
01/21/2023	MunichRe	Towards Robust Portfolios	MunichRe	Munich Re has launched the FIVE Robust Multi-Asset Index (VROBUST) applying the HRP methodology on a broadly diversified portfolio consisting of global equity indices, government bonds and commodities.
05/15/2020	QuantMinds International	Portfolio Construction in the Age of Machine Learning	Hamburg, Germany	The objective of this course is to train quants in the application of machine learning techniques for portfolio construction.
02/24/2020	Columbia Financial Engineering	Portfolio Construction in the Age of Machine Learning	Columbia University	Standard portfolio construction techniques fail to deliver the expected goals. In this seminar, we review the reasons for that failure, and how machine learning can help.
01/09/2020	Master of Mathematical Finance	Financial Machine Learning: Separating Fact from Fiction	Ontario, Canada	Despite the hype that surrounds machine learning, we can identify 10 applications where machine learning delivers better results than classical statistical methods.
12/06/2019	Financial Services Committee	Robots on Wall Street: The Impact of AI on Capital Markets and Jobs in the Financial Services Industry	U.S. House of Representatives	Prof. Lopez de Prado's testimony before U.S. Congress regarding the impact of AI on financial jobs.
11/07/2019	University of Virginia	The Present and Future of Quantitative Research	University of Virginia	A review of why modern financial problems are beyond the grasp of econometrics.
11/05/2019	ThinkNum	Ten Financial Applications of Machine Learning	The Times Center, NYC	Ten examples where machine learning is playing a key role in finance.
10/15/2019	EQD Conference	The Nested-Clustered Optimization Algorithm	Hong Kong	The NCO algorithm can reduce transaction costs by more than 2/3, relative to standard methods such as Black-Litterman.
09/17/2019	University of Oxford	A Robust Estimator of the Efficient Frontier	Mathematical Institute, Oxford	A contrast between the present paradigm in quantitative research, and the emerging one.
09/16/2019	AlphaEvents	The Present and Future of Quantitative Finance	London	A contrast between the present paradigm in quantitative research, and the emerging one.
09/10/2019	QuantMinds	The 7 Reasons Econometric Funds Fail (and what can be done about it)	Boston	A discussion of why factor investing has failed, and how to fix it.
06/19/2019	RiskMathics	Financial Machine Learning	Mexico DF	A seminar on the foundations of financial machine learning.
05/30/2019	Nomura	Current Topics in Financial Machine Learning	NY	I'll discuss important financial problems where ML offers practical solutions.
05/14/2019	QuantMinds International	Machine Learning: Separating Fact from Fiction	Vienna	A seminar that aims at cutting through the hype, with 10 examples where machine learning is playing a key role in finance.
04/06/2019	Columbia University	Beyond Econometrics	NY	In this presentation I'll describe the reasons why Financial researchers should modernize their quantitative toolkit.
03/19/2019	AI and Data Science in Trading	Machine Learning for Financial Research	NY	A review of research protocols for financial machine learning.
02/05/2019	Journal of Portfolio Management	The Machine Learning Revolution?	NY	A discussion of what is new and old in financial machine learning.
01/28/2019	Columbia University	Financial Engineering Practitioners Seminar	NY	Top ten applications of Financial Machine Learning.
11/13/2018	Cornell University	Impact of AI and New Technologies on Asset Management	CornellTech	The panel will discuss how AI is changing the asset management industry.
11/08/2018	ISDA	Financial Markets in the Machine Age	ISDA	A conversation with Scott O'Malia, CEO of ISDA and former CFTC Commissioner.
11/06/2018	London Business School	Uncovering Behavioral Biases with Machine Learning	LBS	ML provides an objective benchmark against which behavioral biases can be observed and quantified. In this presentation we will illustrate this point with three examples.
11/01/2018	TABB Forum	Why Most Machine Learning Funds Fail, and what can be done about it	TABB Forum	Solutions to the crisis in financial research.
10/05/2018	Yale University	Asset Management in the Machine Learning Age	Yale School of Management	A discussion of how machine learning is changing the asset management industry. A recap of the conference can be found here.
07/11/2018	J.P. Morgan	Advances in Financial Machine Learning	383 Madison Avenue, New York, NY	Recent breakthroughs in financial machine learning.
07/10/2018	Risk Magazine	Quant Congress 2018	Risk Magazine	Spotlight on Quantum Computing in Finance.
07/03/2018	QuantNews	The 7 Reasons Most Machine Learning Funds Fail	QuantNews	A webinar on the reasons most ML funds do not deliver performance as advertised.
06/22/2018	RiskMathics	Risk & Trading Conference	RiskMathics	I'll present my new book, Advances in Financial Machine Learning.
06/08/2018	Cornell University	Market Microstructure in the Age of Machine Learning	Johnson School	A review of how machine learning is changing market microstructure research.
05/29/2018	Citibank	The Myth and Reality of Financial Machine Learning	388 Greenwich Street, New York, NY	A discussion on the promise and perils of financial machine learning.
05/26/2018	Courant Institute for Mathematical Sciences	Cutting-Edge Topics in Finance	New York University	A presentation on advances in machine learning.
05/24/2018	Bloomberg	ML Research in Finance	BBQ	A presentation on advances in machine learning.
05/15/2018	QuantMinds International	Advances in Machine Learning	QuantMinds International	Round table on AI and ML applications to scientific research and businesses.
05/10/2018	Deutsche Bank	2018 Quantitative Strategy Conference	Deutsche Bank	The Myth and Reality of Financial Machine Learning.
05/02/2018	FinHub ML Conference	The 7 Reasons Most Machine-Learning Funds Fail	University of Toronto	Some of the most common pitfalls when applying ML techniques in Finance.
04/28/2018	Quantopian	Advances in Financial Machine Learning	Quantopian	A review of recent breakthroughs in Financial ML.
04/24/2018	Goldman Sachs	Stagnation in Academic Finance: Causes and Solutions	Goldman Sachs	A presentation on the reasons why Finance has not made substantial scientific progress over the past decades.
03/20/2018	Cornell University	Portfolio Management in the Machine Learning Age	Johnson School	Class at the PhD program.
03/07/2018	Society for Quantitative Analysis	Financial Machine Learning	SQA	The state of machine learning research and production in Finance.
03/02/2018	QuantTech	Machine Learning & AI in Quant Finance	QuantTech	ML and the introduction of industrial scale research to asset management.
02/09/2018	Evercore ISI	Financial Machine Learning	Evercore ISI	A review of how ML is changing financial research.
09/20/2017	BAML	Machine Learning in Finance	BAML	In this panel we will discuss how ML is changing Finance, and what will be the greatest disruptions in the near future.
09/05/2017	Cornell University	The 7 Reasons Most Machine-Learning Funds Fail	CornellTech	The rate of failure in quantitative finance is high, and particularly so in financial ML. However, that is a rare outcome, for reasons that will become apparent in this seminar.
04/29/2017	Quantopian	M achine Learning Portfolio Construction	Quantopian	I will discuss the issues involved in the current generational transition, from old quant approaches to ML.
03/30/2017	Columbia University	OOS Portfolio Construction	Mathematics in Finance	A key challenge in building an optimal portfolio is whether it will underperform out-of-sample. We will discuss procedures to improve out-of-sample performance.
02/08/2017	Institutional Investor	CIO Roundtable	U.S. Institute	Pitfalls and common mistakes made by investment firms entering the ML field.
11/30/2016	Aronson, Z.	A Solution to the Research Crisis	Stevens Institute of Technology	A Heath Lecture at Stevens, on the research crisis and one possible solution.
11/17/2016	CFA Institute	Equity Research & Valuation 2016	CFA Institute Conference	Why most discoveries in financial research are wrong, and what can we do about it.
11/10/2016	Society of Quantitative Analysts	Advances in Portfolio Construction	SQA	Recent breakthroughs in a post-Markowitz finance.
10/27/2016	Cubist Systematic Strategies	Hierarchical Risk Parity	Cubist Systematic Strategies	An example of ML-based portfolio construction.
10/11/2016	Kolm, P.	Mathematics and Economics: A Reality Check	New York University	A presentation at Courant, on modern mathematics applied to Finance.
10/06/2016	Terrapinn	The Trading Show 2016	Terrapin	My presentation will describe Quantum Computing applications to Finance.
09/27/2016	D-Wave	Quantum Computing meeting	Los Alamos National Laboratory	A gathering of players in the Quantum Computing space, including: NASA, Google, LANL, IBM and others.
08/13/2016	Meucci, A.	ARPM Bootcamp	NYU	A presentation on Machine Learning applications with Python.
08/03/2016	Evercore ISI	Annual Quant Conference	Evercore ISI	Mathematical techniques to deliver out-of-sample performance.
07/13/2016	Risk Magazine	Quant Summit USA 2016	Risk Magazine	I will discuss Machine Learning applications to portfolio mangement.
06/07/2016	CNBC	Exponential Finance 2016	Singularity U.	In New York, I will present our results on quantum computing applications to Finance. Past speakers include Blythe Masters, Ray Kurzweil, Daniel Nadler and Bob Pisani.
05/09/2016	ICBI	Quantum Computing in Finance	Global Derivatives Trading & Risk Management 2016	In Budapest, I will discuss applications of quantum computing algorithms to financial problems. Other speakers include Damiano Brigo, Peter Carr, Rama Cont, Emanuel Derman, Darrell Duffie, Bruno Dupire, Jim Gatheral, Paul Glasserman, John Hull, Alex Lipton, Dilip Madan, Fabio Mercurio, and Riccardo Rebonato.
04/25/2016	Bloomberg	Building Portfolios that Outperform Out-Of-Sample	Bloomberg HQ	A machine learning application to portfolio construction.
04/09/2016	Quantopian	Quant Conference 2016	Quantopian	Other speakers include Emanuel Derman, Michael Kearns and Wes McKinney.
04/01/2016	Columbia University & Bloomberg	Hierarchical Risk Parity: A machine learning application	Columbia University	I will discuss a method to build diversified portfolios that outperform quadratic optimizers out-of-sample.
03/29/2016	Kolm, P.	Quant Seminar at Courant Institute of Mathematical Sciences	New York University	This talk will discuss how to build portfolios that outperform out-of-sample.
02/24/2016	Institutional Investor	CIO Roundtable	U.S. Institute	My talk will discuss the current role of Big Data, Machine Learning and HPC technologies in investment management.
02/09/2016	Princeton University	Quantitative Asset Management	Princeton University	I will talk about Financial Big Data & Machine Learning at this graduate course.
11/23/2015	Bloomberg	Quantum Computing in Finance	Bloomberg HQ	A talk on quantum computing applications to Finance.
10/10/2015	Cornell University	Optimal Execution	Cornell University	Ph.D. seminar on execution strategies.
10/07/2015	Terrapinn	Financial Quantum Computing	The Trading Show 2015	I will discuss advances in quantum computing applications to Finance.
07/15/2015	Incisive Media	Quant Congress USA 201 5	Risk Magazine	I will give the plenary address.
05/18/2015	ICBI	Correcting for Backtest Overfitting & Selection Bias	Global Derivatives Trading & Risk Management 2015	In Amsterdam, I will discuss recent advances on Strategy Selection. Other speakers include: Riccardo Rebonato (PIMCO), Attilio Meucci (KKR), Buzz Gregory (Goldman Sachs), John Hull (U. Toronto), Darrell Duffie (Stanford), Emanuel Derman (Columbia), Paul Glasserman (Columbia), Jim Gatheral (Baruch), Rama Cont (Imperial College).
05/14/2015	Battle of the Quants	Quantitative Meta-Strategies	Battle of the Quants, NYC	I will discuss advances in quantitative approaches to manage investment strategies.
05/12/2015	Nomura	Global Quantitative Investment Strategies Conference	Nomura	I'll be discussing recent advances in Quantitative Meta-Strategies. Other speakers include: Andrew Ang (U. Columbia), Mark Carhart (Kepos), Ross Garon (Cubist Systematic Strategies), Brett Hammond (MSCI), Scott Williamson (BlackRock), etc.
05/01/2015	Geczy, C.	Lucky Factors	Jacobs Levy Center Forum	Paper discussant with Prof. Campbell Harvey (Duke University). Other participants include Rob Stambaugh (Wharton), Bryan Kelly (Chicago), Cliff Asness (AQR), Bob Litterman (Kepos), Ron Kahn (BlackRock), Mark Carhart (Kepos), etc.
10/21/2014	Kolm, Petter	Mathematics in Finance	Courant Institute of Mathematical Sciences, NYU	I will discuss selection bias, or why most published investment strategies are likely to be wrong.
09/30/2014	Berkeley Lab	Quant Conference at U.C. Berkeley	U.C. Berkeley	I will give a talk on recent advances in financial Big Data, Machine Learning and High-Performance Computing.
09/30/2014	Industrial Engineering & Operations Research	Why Most Published Investment Strategies Are Likely To Be False Positives	U.C. Berkeley	I will discuss how Selection Bias may have compromised many Financial studies published in the academic literature, and what can be done to overcome this crisis.
09/03/2014	Cornell Financial Engineering Manhattan	What to look for in a backtest	CFEM	The majority of backtests marketed to investors or published in academic journals do not report the number of trials carried out in order to achieved a particular result. We will discuss the implications for Out-Of-Sample performance.
07/23/2014	International Association for Quantitative Finance	The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality	New York University	I will present our new research on how to deflate the Sharpe ratio for various inflationary effects, including backtest overfitting. It is based on this new paper, forthcoming in the Journal of Portfolio Management.
07/16/2014	Incisive Media	Quant Congress USA 2014	Risk Magazine	I will give the plenary address.
06/20/2014	RiskMathics	Risk Management & Trading Conference	RiskMathics	I will speak about Smart Execution Algorithms. Other speakers include John Hull, Emanuel Derman, Marco Avellaneda, Paul Wilmott and Nick Leeson.
06/18/2014	Carr, P.	Morgan Stanley Quant seminar	Morgan Stanley	I will discuss recent papers.
06/02/2014	International Association for Quantitative Finance	2014 Annual Conference	IAQF	I will take part in the panel on High Frequency Trading, with Bob Litzenberger and Larry Tabb.
04/29/2014	Bloomberg University	The effects of Backtest-Overfitting on Out-Of-Sample performance	Bloomberg Quant Seminar	At Bloomberg University, NYC, I will discuss some of the reasons why systematic funds fail.
04/24/2014	Columbia University	Optimal Execution Horizon	Mathematics of Finance Program	At Columbia, I'll discuss the Optimal Execution Horizon (OEH) model.
04/12/2014	Princeton University	The Probability of Backtest Overfitting	Princeton Quant Trading Conference	At Princeton, I'll discuss the Probability of Backtest Overfitting (PBO).
04/03/2014	Risk Magazine / Incisive Media	Algorithmic Trading, Execution and Market Making	Risk's Algorithmic Conference	In London, I will discuss techniques to conceal trading intentions and prevent adverse selection.
03/26/2014	Battle of the Quants	Investing in Backtesting: How to Spot Overfitting	Battle of the Quants, NYC	David H. Bailey and I will discuss the consequences that Backtest Overfitting has on Out-Of-Sample performance, in absence and in presence of memory effects. It is based on our paper, forthcoming in the Notices of the American Mathematical Society.
01/13/2014	International Association for Quantitative Finance (IAQF) / Thalesians	Pseudo-Mathematics and Financial Charlatanism	New York University	In this talk, I will discuss some of the reasons why quantitative investments often do not perform as advertised, and ways experienced investors are misled by charlatans. It is based on a recent paper co-authored with Jon M. Borwein, David H. Bailey and Jim Zhu.
12/03/2013	High Frequency Trading World	Quant Invest 2013	Terrapinn	In NYC, Marcos will explain how to estimate the time that a strategy or trader may remain under water, and the implications for hedge fund managers.
11/21/2013	High Frequency Trading World	Interview by Total Trading	Terrapinn	A recent interview.
11/19/2013	ICBI	Portfolio Optimisation & Quantitative Investment Summit	ICBI	The event will take place in Chicago. I will discuss robust portfolio optimization with higher moments. Other speakers include John Jull, Bruno Dupire, Emanuel Derman, Paul Glasserman, Dilip Madan, Lisa Goldberg, George Constantinides, Mike Giles, etc.
11/13/2013	RiskMathics	International Algorithmic and High Frequency Trading Summit	RiskMathics	I will speak about Smart Execution Algorithms. Other speakers include John Hull, Emanuel Derman, Marco Avellaneda, Nassim Taleb and Nick Leeson.
10/23/2013	Risk Magazine	Risk USA 2013	Incisive Media	At the 20th edition of the Risk USA Conference, I will present new developments in drawdown risk management.
10/22/2013	Risk Magazine	Risk USA 2013	Incisive Media	I'll be chairing the conference's stream on Risk Management. Speakers include Vineer Bhansali (Managing Director, PIMCO), Jayesh Bhansali (Managing Director, Head of Global Derivatives and Quantitative Portfolio Management, TIAA-CREF), Fred Gjerstad (Senior Vice President & Head of Investment Risk, STATE STREET), Benjamin Bowler (Global Head of Equity Derivatives Research, BANK OF AMERICA MERRILL LYNCH) and Maureen O'Hara (Professor of Finance, CORNELL UNIVERSITY and Chairman of the Board, ITG).
10/11/2013	JPMorgan Equity Trading	How long does it take to recover from a drawdown?	JPMorgan	We will explain how to model the probability that a hedge fund or portfolio manager recovers from a drawdown, and how long it will take.
10/10/2013	Cont, R.	Backtesting the performance of trading strategies: pitfalls and solutions	Imperial College London	We prove that high performance is easily achievable after backtesting a relatively small number of alternative strategy configurations, a practice we denote “backtest overfitting”. Because financial analysts rarely report the number of configurations tried for a given backtest, investors cannot evaluate the degree of overfitting in most investment proposals.
10/10/2013	PIMCO	Execution of large blocks	PIMCO	In London, I will discuss new developments in the High-Frequency Trading space.
09/24/2013	Kolm, P.	Mathematics in Finance	Courant Institute of Mathematical Sciences	At the Courant Institute (NYU), Marcos will discuss his research on portfolio optimization with higher moments.
09/12/2013	Stoikov, S.	The Triple Penance Rule	Cornell University	At Cornell Financial Engineering Manhattan (CFEM), I will discuss the "Triple Penance Rule" and how it affects hedge funds' hiring and firing practices of portfolio managers.
08/27/2013	Quantitative Work Alliance	How long does it take to recover from a Drawdown?	QWAFAFEW	In NYC, I will discuss the "Triple Penance Rule", and a new procedure to set up the stop-out limits of investment strategies.
07/18/2013	Risk Magazine	Quant Congress USA 2013	Incisive Media	In NYC, Marcos will present a paper recently published by the Journal of Investment Strategies. The title of the presentation is "Managing Risks in a Risk-On/Risk-Off Environment". Other speakers include Emanuel Derman, Riccardo Rebonato, Dilip Madan, Peter Carr, Damiano Brigo, etc.
07/11/2013	SAC Capital	Scientific Horizon's Seminar	SAC Capital	I will discuss advances in quantitative performance evaluation and capital allocation.
06/24/2013	High Frequency Trading World	Quant Invest 2013	Terrapinn	In Chicago, Marcos will give a presentation with the title "The Sharp Razor: Deflating the Sharpe ratio by asking for a Minimum Track Record Length". Other speakers include C.F.T.C. Commissioner Bart Chilton, Singapore Exchange CIO Bob Caisley, David Leinweber, etc.
06/13/2013	RiskMathics	High Frequency Trading Workshop	RiskMathics	I will discuss recent advances in Big Data, Machine Learning and High Frequency Trading. Other speakers include John C. Hull, Marco Avellaneda and World Chess Champion Garry Kasparov.
05/28/2013	Quantitative Work Alliance	The Sharpe Ratio Efficient Frontier	QWAFAFEW	In NYC, Marcos will present the paper of the same title, which appeared last Winter in the Journal of Risk.
05/03/2013	Financial and Risk Engineering Department	Big Data Finance	New York University	The workshop “Big Data Finance” will assess the importance of Big Data in Finance today and in the near future, and will consider the impact of big data on financial engineering, financial analysis, management and regulation. Other speakers include CFTC Commissioner Scott O'Malia, Robert Almgren and Petter Kolm.
04/23/2013	Kolm, P.	Mathematics in Finance	Courant Institute of Mathematical Sciences	At the Courant Institute (NYU), Marcos will discuss his research on "Drawdown-based Stop-Outs and the 'Triple Penance' Rule".
03/20/2013	International Association of Financial Engineers (IAFE) / Thalesians	Concealing the trading footprint by determining the Optimal Execution Horizon	New York University	A presentation on our recent paper "Optimal Execution Horizon" (with Maureen O'Hara and David Easley), forthcoming in Mathematical Finance.
03/14/2013	Standard & Poor's Capital IQ	Low-Latency and the Dynamics of Real-Time Decision-Making	Standard & Poor's	A presentation at the annual S&P investors' event, in NYC.
03/06/2013	NYC QPUG	The CLA Python class for Portfolio Optimization	Enthought	At NYC's Cornell Club, Marcos will present his recent paper "An Open-Source Implementation of the Critical Line Algorithm for Portfolio Optimization".
02/22/2013	Global SIP 2013	Symposium on Signal and Information Processing in Finance and Economics	IEEE	Technical Committee for the IEEE GlobalSIP-2013 Symposium on Signal and Information Processing in Finance and Economics.
01/30/2013	Trader Forum	The Volume Clock: Insights into the High Frequency Paradigm	Institutional Investors	In NYC, I will speak at the Trader Forum organized by Institutional Investor's Conferences Division. The topic of the presentation will be the paper of the same title, which appeared last Fall in the Journal of Portfolio Management.
11/16/2012	Deutsche Bank Quantitative Strategies	2012 Global Quantitative Strategy Conference	Deutsche Bank	Marcos will present the paper "Markowitz meets Darwin: Portfolio Oversight and Evolutionary Divergence".
11/14/2012	RiskMathics	International Algorithmic and High Frequency Trading Summit	RiskMathics	I will speak about Smart Execution Algorithms. Other speakers include John Hull, Marco Avellaneda and David Leinweber.
11/12/2012	Risk Magazine	Risk USA 2012	Incisive Media	Marcos will coordinate the workshop: "Advances in execution and liquidity discovery".
11/09/2012	Center for Financial Engineering	19th Annual Workshop on Financial Engineering: Quantitative Asset Allocation	Columbia University	My talk will address the need for deflating Sharpe ratios by asking for the proper track record length.
10/12/2012	JPMorgan Equity Trading	Equity Quantitative Conference 2012	JPMorgan	Marcos will talk about the choices available to low frequency traders in high frequency markets, in London.
09/28/2012	Mathematics Department	Lecture at Rutgers' Mathematical Finance Program	Rutgers University	I will discuss Optimal Execution Strategies.
08/16/2012	SYMMYS	Event at the "Advanced Risk and Portfolio Management" program	New York University	Attilio Meucci invited Maureen O'Hara and me to give a talk and participate at SYMMYS' Annual Charity event.
07/12/2012	Risk Magazine	Quant Congress USA 2012	Incisive Media	I will coordinate the High Frequency stream at the Quant Congress USA, and give the evening plenary address.
06/01/2012	IAFE	Low Frequency Traders in High Frequency Markets: A Survival Guide	International Association of Financial Engineers	Marcos will speak at the 20th Annual Conference. Robert Engle will receive the 2011 IAFE/SunGard Financial Engineer of the Year Award.
09/14/2011	Eurex	Eurex Quant Seminars	Eurex	In NYC, I'll discuss why the May 6 2010 Flash Crash was a liquidty crisis, and what exchanges can do to minimize the impact of similar episodes in the future.
07/12/2011	Risk Magazine	Quant Congress USA 2011	Incisive Media	Marcos will discuss the measuring of flow toxicity in the high frequency domain.

Technical Committee for the IEEE GlobalSIP-2013 Symposium on Signal and Information Processing in Finance and Economics.