PRESS COVERAGE
DATE |
|
TITLE/EVENT |
PUBLICATION |
SUBJECT |
11/03/2024 | Mannix, Rob | The Quants who Kicked the Hornets' Nest - to Champion Causality | Risk.net | A small but influential cadre says the multi-trillion-dollar factor investing industry is based on flawed science. |
06/03/2024 | Cornell Engineering | Prof. Lopez de Prado Receives Bernstein Fabozzi/Jacobs Levy Award | Cornell University | Lopez de Prado's article, published in The Journal of Portfolio Management, identifies a significant logical inconsistency within the factor investing literature. |
20/12/2022 | ADIA Lab | Can Factor Investing Become Scientific? | ADIA Lab Seminar Series | The ADIA Lab Seminar Series aims to explore the latest trends and technologies in Data Science, Artificial Intelligence, Machine Learning, and High-Performance Computing across all major fields of study. |
02/12/2022 | ADMO | ADIA Lab announces Advisory Board, academic collaborations and inaugural research award on first day of operations | Abu Dhabi Media Office | ADIA Lab, the independent research institute dedicated to basic and applied research in data and computational sciences, commenced operations today, the 51st National Day of the UAE. As part of its launch, the Lab announced the composition of its Advisory Board, the details of its first academic collaborations, and launched a US$ 100,000 research award. |
06/24/2022 |
Kilburn, Faye | 'Corrective' algo tells quant firm when it's wrong |
Risk.net |
"The idea of corrective AI, also known as meta-labelling, was developed by Marcos Lopez de Prado, an expert machine learning." |
02/20/2022 |
England, Andrew | Abu Dhabi Wealth Fund bets on scientific approach using quant experts |
The Financial Times |
Among the recruits is Marcos Lopez de Prado, a professor and quant expert at Cornell University, who is global head of quantitative research and development at ADIA |
02/11/2022 |
Mannix, Rob | ADIA wealth fund is building supergroup of quant investing |
Risk.net |
Other quants say the idea is captivating. I find it fascinating; a lot of interesting stuff should come out, says Jean-Philippe Bouchaud, the chairman of Capital Fund Management. If he had the time and the money, he d try something similar, he says |
02/04/2021 |
Cornell Engineering | "Buy-Side Quant of the Year": CFEM Professor Marcos L pez de Prado and Collaborator Alex Lipton Earn Highest Honors in Risk Awards 2021 |
Cornell University |
"Marcos L pez de Prado and Alex Lipton have been named Buy-Side Quant of the Year in the Risk Awards 2021 for their contributions towards solving the problems of stop-loss and profit-taking in optimal trading." |
02/02/2021 |
Abu Dhabi Investment Authority | Marcos Lopez de Prado and co-author named Quants of the Year at Risk Awards 2021 |
Adia.ae |
"Dr. Marcos Lopez de Prado, Global Head - Quantitative Research & Development in ADIA s Strategy & Planning Department, has been named Buy-Side Quant of the Year by Risk.net, alongside his co-author Dr. Alexander Lipton, a professor at the Hebrew University of Jerusalem and a Connection Science Fellow at the Massachusetts Institute of Technology." |
02/01/2021 |
Risk.net Staff | Buy-Side Quant of the Year: Alex Lipton and Marcos Lopez de Prado |
Risk.net |
"The problem of estimating stop-loss and profit-taking levels is normally solved by two separate models using the circuitous route of Monte Carlo simulations. But work published this year by Alex Lipton and Marcos Lopez de Prado takes a novel, more direct tack." |
09/14/2020 |
Bajet, Roselle | Professor López de Prado Appointed Global Head of Quantitative Research and Development |
Cornell University |
"The Abu Dhabi Investment Authority (ADIA), one of the largest sovereign wealth funds, has announced that it has appointed Marcos López de Prado as Global Head of Quantitative Research and Development." |
06/19/2020 |
Cesa, Mauro | Lipton and de Prado on Covid-19 and optimal trading strategies |
Risk Magazine |
"While reading de Prado s book on quantitative investments, Lipton saw the possibility of solving an open question in that volume using a technique called heat potentials. I got in touch with Marcos and we decided to work on that, recalls Lipton. When Covid struck, they decided to work together to model the pandemic too." |
02/28/2020 |
Nguyen, Lili | The Future is Bright... for those who survive |
QuantMinds |
"Asset managers should focus their efforts on researching theories, not backtesting trading rules [...] Only a theory can establish the mechanism that causes the patterns that the strategy is presumably profiting from." |
02/17/2020 |
Nguyen, Lananh | Is that a Robot at My Desk? How to Survive on Wall St |
The Washington Post |
"Even the highest-paid jobs for portfolio managers could disappear as firms use data scientists to solve some of the most complex investment problems, according to Marcos Lopez de Prado, a Cornell University professor and the former head of machine learning at AQR Capital Management LLC. Many of the 6.1 million people employed in the finance and insurance industries will lose their jobs because they aren't trained to work alongside algorithms, Lopez de Prado said." |
12/20/2019 |
Gunia, Amy | 'It's a Matter of When.' How Machines Are Taking Over the World's Stock Markets |
Time Magazine |
"There is no reason to not expect that eventually these machines will be able to solve many tasks that we cannot solve. It s a matter of when, it s not a matter of if." |
12/06/2019 |
Nguyen, Lananh | Robots in Finance Could Wipe Out Some of Its Highest-Paying Jobs |
Bloomberg News |
"Financial machine learning creates a number of challenges for the 6.14 million people employed in the finance and insurance industry, many of whom will lose their jobs -- not necessarily because they are replaced by machines, but because they are not trained to work alongside algorithms, Lopez de Prado told the U.S. House Committee on Financial Services." |
10/25/2019 |
Gang, Yaelle | The benefits of crowdsourcing investment research |
Canadian Investment Review |
"There s a crisis in financial research because of statistical shortfalls, says Marcos López de Prado, a professor of practice at Cornell University s school of engineering and chief investment officer of True Positive Technologies." |
10/08/2019 |
Lee, Justina | The Master of Robots Left AQR. Now He's Coming for Wall Street |
"The man dubbed the world s top quant has a message for Wall Street firms lavishing millions on machine-learning programs: Most of you are doing it wrong." |
|
10/01/2019 |
Campanelli, Sondra | L pez de Prado Launches ML Firm to Tackle Hedge Fund Underperformance, Fees |
machineByte |
"Individual economic factors do not work equally well under all financial regimes. There are no all-weather factors, and it is important to weight factors according to their idoneity under the prevailing financial regime. Recognising those regimes requires machine learning techniques." |
09/19/2019 |
Mannix, Rob | Some Quant Shops Doomed to Struggle -- L pez de Prado |
Risk |
"Quant shops that stick too stubbornly to theory when devising strategies will trail behind maths-driven empiricists who analyse data with no preconceptions. That s according to Marcos L pez de Prado, the former head of machine learning at AQR and founder of a new venture that aims to disrupt the traditional quant asset management business." |
09/05/2019 |
Nguyen, Lili | A conversation with "Quant of the Year 2019" Marcos L pez de Prado |
QuantMinds |
"Individual economic factors do not work equally well under all financial regimes. There are no all-weather factors, and it is important to weight factors according to their idoneity under the prevailing financial regime. Recognising those regimes requires machine learning techniques." |
09/03/2019 |
Cornell Engineering | ORIE Adds Marcos Lopez de Prado to Cornell Financial Engineering Manhattan |
Cornell University |
"We are delighted to welcome Marcos at CFEM. He has been instrumental in developing and advancing our Financial Data Science certificate, and he brings over 20 years of quant experience into our classroom, said Victoria Averbukh, Director of CFEM. "Before formally joining CFEM, Professor Lopez de Prado taught his graduate course 'Advances in Financial Machine Learning' as a CFEM practitioner." |
04/17/2019 |
Kilburn, Faye | Baselines for applying machine learning to investing |
Risk |
"The newly founded quarterly Journal of Financial Data Science offers some guidance on this score. The journal, created to address the relatively poor track record of algorithms in forecasting, is edited by Joseph Simonian, director of quant research at Natixis Investment Managers, Frank Fabozzi, professor of finance at the Edhec Business School, and Marcos Lopez de Prado, a principal at AQR Capital Management." |
04/05/2019 |
Basak, Sonali et al. | AQR Head of Machine Learning Set to Leave After Seven Months |
Bloomberg |
"[T]he firm bought certain intellectual property owned by Lopez de Prado, including multiple patent applications related to machine learning [...] Lopez de Prado will remain at AQR for a short period of time to help with the transfer of his technologies to the firm, according to the statement. He plans to use the proceeds from his sale of IP rights to launch a firm, which will develop machine learning algorithms for institutional investors, according to a person familiar with his thinking." |
01/29/2019 |
Lopez de Prado, Marcos | Fund industry must use the right type of machine learning |
The Financial Times |
"We need ML to develop better financial theories and we need financial theories to restrict ML s propensity to overfit. Without this theory-ML interplay, investors are placing their trust on high-tech horoscopes." |
01/29/2019 |
Tuttle, Beecher | The most intelligent man in finance made this unfortunate prediction about quant jobs |
eFinancialCareers |
Your firm must set up a research factory, where tasks of the assembly line are clearly divided into subtasks, where the role of each quant is to specialize in a particular subtask. |
01/29/2019 |
Instance, Rosie | The Journal of Portfolio Management names Marcos Lopez de Prado "2019 Quant of the Year" |
The Journal of Portfolio Management |
For many years, Marcos has led the way towards the adoption of machine learning techniques in finance, said Frank J. Fabozzi, Editor of JPM. His many publications have introduced innovative ways of thinking about financial problems and solving them in practice. Our Quant of the Year award recognizes the totality of work by a researcher, and I think Marcos name was in everyone s mind from the onset of the selection process. |
12/27/2018 |
Buerkle, Tom | Welcome the new AI investment overlords |
Nasdaq |
"Hedge fund AQR recently hired prominent data scientist Marcos Lopez de Prado to spearhead its machine-learning efforts." |
12/24/2018 |
Baert, Rick | Believers say AI could soften market volatility, not amplify it |
Pensions & Investments |
Quantitative trading that already relies heavily on AI "has improved liquidity conditions by reducing bid-ask spreads and microstructural volatility" the volatility associated with price discovery, said Marcos Lopez de Prado, principal and head of machine learning at AQR Capital Management LLC, Greenwich, Conn. |
12/21/2018 |
Schatzker, Erik | AQR Accepts 0.8% of Job Seekers as Firm Ramps Up Hiring in 2018 |
Bloomberg |
Of the more than 35,000 people who applied to the Greenwich, Connecticut-based firm in 2018, only 270 got jobs, according to AQR. That acceptance rate -- just 0.77 percent -- is below the 4 percent that Goldman Sachs Group Inc., widely considered the choosiest of the big Wall Street banks, reported in 2017 [...] AQR s senior-level recruits in 2018 include Marcos Lopez de Prado, formerly with Guggenheim Partners and now head of machine learning; and Howard Mansell, who left Facebook Inc. to become head of research engineering. |
11/27/2018 |
Butcher, Sarah | The 20 top people in machine learning and data science in finance |
eFinancialCareers |
Some ML researchers working in finance. |
10/21/2018 |
Walker, Owen | NASA says quantum computing is the future for funds |
Financial Times |
"The use of quantum computing in the investment industry has been considered for several years, with Marcos Lopez de Prado, who recently left Guggenheim Partners for quant specialist AQR Capital Management, one of its biggest proponents." |
10/09/2018 |
Asmundsson, Jon | The Big Problem With Machine Learning Algorithms |
Bloomberg Markets |
Machine learning algorithms will always identify a pattern, even if there is none, he says. In other words, the algorithms can view flukes as patterns and hence are likely to identify false strategies. It takes a deep knowledge of the markets to apply machine learning successfully to financial series, L pez de Prado says. |
10/04/2018 |
Schatzker, Erik |
Quant Investor Cliff Asness Hasn t Smashed His Screen This Year Yet |
Bloomberg Markets |
"We ve just made a big hire in machine learning, Marcos L pez de Prado. We ve been doing versions of machine learning here in isolated groups for a while, but now it s such a big effort. We think it has applications across a ton of what we do. One of the reasons we were comfortable hiring Marcos is that he s very comfortable with trying to fuse machine learning with a need for some economics behind it. He s not a just let the machines run wild guy." "[...] I think we just hired a howitzer. Processing the big data first which is what Marcos is about if you re marginally better at it, can be a marginal advantage forever." |
09/12/2018 |
Williamson, Christine |
Pension & Investments |
"Innovation and research are at the core of what we do, driving us to develop diversifying solutions to meet our clients' evolving needs. With a distinguished academic background and values consistent with ours, we look forward to partnering with Marcos to enhance our machine-learning initiatives," said David G. Kabiller, co-founder, in the release. |
|
09/12/2018 |
Burger, Dani |
AQR Builds Machine-Learning Strength Via Lopez De Prado Hire |
Bloomberg News |
"AQR Capital Management has appointed a head of machine learning for the first time in its two-decade history. Marcos Lopez de Prado is joining the $226 billion money manager to fill the freshly created role, according to a Wednesday statement. He left Guggenheim earlier this year after building their proprietary quantitative-strategy business, departing along with his team at the time." |
09/12/2018 |
AQR |
AQR |
"AQR Capital Management, LLC ( AQR ), a global quantitative investment management firm, today announced that Marcos L pez de Prado has joined the firm as a Principal and Head of Machine Learning. As Head of Machine Learning, Marcos will be part of AQR s research and portfolio management teams and will focus on further developing the machine learning tools and techniques used at the firm." |
|
07/18/2018 |
Lopez de Prado, M. |
TABB Forum |
Machine learning algorithms will transform how everyone invests for generations. While the most popular potential use of ML is predicting prices, this series explores alternative uses of ML in finance. |
|
07/18/2018 |
Low, R.; Li, T. and Marsh, T. |
BV-VPIN: Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets |
SSRN |
"We find that a rise in BV-VPIN effectively foreshadows high-levels of volatility in the equities indices of several countries. If a BV-VPIN futures contract exists, we show that it would exhibit safe haven characteristics during market downturns. In particular, a simple active portfolio management strategy that times investments in equities (risk-free asset) when BV-VPIN levels are low (high) outperforms a buy-and-hold strategy. Thus, we find support for the application of BV-VPIN in international equities." |
07/17/2018 |
Crosman, Penny |
American Banker |
"True Positive Technologies, which creates investment strategies for institutional investors with the use of machine learning, has been working with quantum computers since 2014 for portfolio optimization and scenario simulations. Dr. Marcos Lopez de Prado, who founded Guggenheim Partners Quantitative Investment Strategies business and is now CEO of True Positive, argues that quantum computing will solve financial firms' need for increased computing capacity in the future, while requiring less energy than traditional computers suck up." |
|
05/26/2018 |
Steenbarger, B. |
Forbes |
An interview on why most research findings in financial economics are false, and the implications for investors. |
|
02/06/2018 |
Guggenheim Partners |
Statement From Guggenheim Partners Regarding Quantitative Investment Strategies Unit |
Newswires |
"Guggenheim Partners today agreed to transfer its Quantitative Investment Strategies ( QIS ) unit to Dr. Marcos Lopez de Prado, who built that business and its technology as a Senior Managing Director of Guggenheim." |
11/01/2017 |
Wigglesworth, Robin |
Financial Times |
Marcos Lopez de Prado, a quant researcher and fellow at the Berkeley Lab, says: You need to decode markets and find the invisible patterns. The people that do that best have the best models and the most powerful computers. It gives you an edge. It's amazing what we could do with quantum computers." |
|
10/24/2017 |
Segal, J. |
How Universities Are Failing Finance Students |
Institutional Investor |
"The presence of financial academia is fading, something that was unthinkable 10 years ago," writes L pez de Prado. "The edge is not yet another reincarnation of the capital asset pricing model [...] FinTech, big data, machine learning, and even quantum computing will render formal finance education even more irrelevant, he believes." |
06/14/2017 |
Asmundsson, J. |
Quantum Computing Might Be Here Sooner Than You Think |
Bloomberg Markets |
Marcos L pez de Prado, a senior managing director at Guggenheim Partners LLC who s also a scientific adviser at 1QBit and a research fellow at the U.S. Department of Energy s Lawrence Berkeley National Laboratory, says it s all about context. The reason quantum computing is so exciting is its perfect marriage with machine learning, he says. I would go as far as to say that currently this is the main application for quantum computing. |
05/22/2017 |
Hope, B. |
The Quants Run Wall Street Now |
Wall Street Journal |
"Guggenheim Partners LLC built what it calls a supercomputing cluster for $1 million at the Lawrence Berkeley National Laboratory in California to help crunch numbers for Guggenheim s quant investment funds, says Marcos Lopez de Prado, a Guggenheim senior managing director. Electricity for the computers costs another $1 million a year." |
04/27/2017 |
Melin, M. |
JPMorgan: Hierarchical Risk Parity Portfolio Building Method Beats Markowitz |
ValueWalk |
"Harry Markowitz s modern portfolio theory has been a staple concept among many noncorrelated portfolio builders [...] JPMorgan s Quantitative and Derivatives Strategy team thinks there is a better method to construct portfolios [...] In the studies, the HRP portfolio method outperformed based on several noncorrelated standards." |
04/22/2017 |
Bauer, M. |
Quantum computing is going commercial with the potential to disrupt everything |
Newsweek |
Comments on IBM's announcement that they will produce a commercial quantum computing, with services delivered via cloud. |
07/24/2016 |
Steenbarger, B. |
Reason And Rationality: The Psychological Keys To Investing Success |
Forbes |
"A remarkable post recently appeared on Google Plus. A quiet researcher in mathematical finance who manages a large portfolio decided to speak out." |
05/11/2016 |
Staff |
D-Wave Systems Launches Quantum for Quants Online Community |
Inside HPC |
Launch of QuantumForQuants.org. |
05/11/2016 |
Dawes, T. |
D-Wave launches Quantum for Quants at Budapest derivatives conference |
CanTech Letter |
Launch of QuantumForQuants.org. |
04/10/2016 |
Thomas, Z. |
Quantum computing: Game changer or security threat? |
BBC |
A BBC discussion on the future of quantum computing. |
04/05/2016 |
Mack, B. |
What can Quantum Computing achieve for Quants? |
Global Derivatives |
An interview on financial applications of quantum computing. |
03/04/2016 |
Cater, S. |
Machine learning with Marcos Lopez de Prado |
Global Derivatives 2016 |
An interview on Machine Learning applications to investing. |
02/12/2016 |
Zweig, J. |
Chasing Hot Returns in SmartBeta Funds Can Be a Dumb Idea |
Because computers and access to data are proliferating, the odds that strategies are based on statistical flukes without theoretical support is rising, warns Marcos L pez de Prado, a senior managing director at Guggenheim Partners, an investment firm in New York that manages about $240 billion. For now, our best shot is to educate the public, he says, because not everyone in the industry is going to come clean. |
|
12/09/2015 |
Clark, J. and S. Kishan |
Quantum Computers Entice Wall Street Vowing Higher Returns |
Bloomberg News |
Bloomberg features a recent paper with Peter Carr (Courant
Institute), Kesheng Wu (Berkeley Lab) and scientisits from 1QBit. |
06/01/2015 | Orr, L. | The Backtesting Crisis | Chief Investment Officer | "Managers who cherry-pick for optimal results aren t even the worst abusers, argues Guggenheim s top quant." |
05/27/2015 | Automated Trader | Machine Learning is the new C++ | Automated Trader | Article on Global Derivatives 2015's round table about Big Data. |
04/26/2015 | Bailey, D. and J. Borwein | Lessons from the Flash Crash regulatory fiasco | The Huffington Post | "[...] Regulators have admitted that the Flash Crash was due to order imbalance, as Easley et al. had explained five years earlier." |
04/06/2015 | Hope, B. | How Computers Trawl a Sea of Data for Stock Picks | Wall Street Journal | Professors from University of California, Davis, and several other institutions warned in an April 2014 research paper of a trend of overfitting in math-based trading by hedge funds and other money managers, in which random correlations are interpreted wrongly as strong relationships. They concluded that pseudo-mathematics and financial charlatanism were running rampant on Wall Street. Such bad math, they wrote, is a large part of the reason why so many algorithmic and systematic hedge funds do not live up to the elevated expectations generated by their managers. |
03/09/2015 | Scott, C. |
Journal of Portfolio Management Announces Advisory Board Member |
Journal of Portfolio Management |
"The Journal of Portfolio Management (JPM) announces that Marcos L pez de Prado, Senior Managing Director at Guggenheim Partners and Research Fellow at Lawrence Berkeley National Laboratory, has been named to the Journal s Advisory Board, effective March 1, 2015." |
02/25/2015 | Bershidsky, L. | Bloomberg |
"On Feb. 27 the VPIN for the RTS index spiked, reaching 52.5 percent -- way above the norm [...] March 3 was the first trading day after Saturday, March 1 -- the day Crimea's new, pro-Russian local government asked Russia for help in "securing peace" and Putin asked his rubber-stamp Parliament for permission to send troops to Ukraine. The RTS index dropped 12 percent as the rest of the market caught up with the insiders..." |
|
01/27/2015 | Scott. C. | Practical Applications of The Deflated Sharpe Ratio | Institutional Investor Journals | A Q&A on backtest overfitting and how to deflate the Sharpe ratio. |
01/16/2015 | Bengani, P. | Fiddling with figures | Automated Trader | Automated Trader features our work on backtest overfitting. |
10/30/2014 | Regan, Michael | Beware Overfitting Models Even if They Win Baseball Bets | Bloomberg News | An article intoducing readers to our Backtest Overfitting web application. |
10/25/2014 | Blumenthal, Robin; Salzman, Avi | Ghost in the Machine | Barron's | A quote regarding Prof. Harvey's revolutionary paper on cross-sectional returns and multiple-testing. |
10/01/2014 |
Scott, Cathy |
El-Erian, Bogle, Malkiel Among 30 Luminaries Discussing Hot-Button Issues in Finance | "What do the top luminaries in finance really think about smart beta, momentum investing, performance inflation and the ability to predict stock market crashes? Thirty well-recognized luminaries have written their frank assessment of these burning issues, and much more, for The Journal of Portfolio Management s 40th Anniversary Issue." | |
06/27/2014 |
Zweig, Jason |
WSJ features our research on backtest overfitting. |
||
05/10/2014 |
Rekenthaler, J. |
Voodoo Investment Strategies | Morningstar |
A nice essay on our work on backtest overfitting. |
04/28/2014 |
|
The Dangerous Mathematical Con of Hedge Funds and Financial Advisers |
Pacific Standard |
"Using too many trials to design investment algorithms renders them statistically useless and potentially devastating." |
04/23/2014 |
Institutional Investor Journals |
Institutional Investor Journals |
IIJournals interviewed David H. Bailey at the conclusion of our presentation at the Battle of the Quants 2014. |
|
04/17/2014 |
Conway, B. |
If an
investment process is driven by what looks good historically, there s a
greater chance the attractive-looking result is just a fluke. |
||
04/16/2014 |
By calling
it fraud, the academics command attention, and investors would be wise to
beware. With interest rates about to turn, and a stock market bull run ageing
fast, there have never been such temptations to eschew traditional bond and
equity investing and to follow the siren sales patter of those who claim to
see patterns in the historical data. |
|||
04/11/2014 |
Bloomberg |
Bloomberg
News |
Bloomberg News article discussing our latest article at
the Notices of the American Mathematical Society. "[M]athematicians in the 21st century have remained disappointingly silent with the regards to those in the investment community who, knowingly or not, misuse mathematical techniques such as probability theory, statistics and stochastic calculus. Our silence is consent, making us accomplices in these abuses." |
|
04/10/2014 |
CARMA |
Smoke
and mirrors strategy costing Mum and Dad investors billions |
Press Release by the University of Newcastle on occasion
of the publication of our paper on Backtest Overfitting. |
|
04/10/2014 |
American Mathematical
Society |
AMS, ScienceDaily & Eurekalert |
Press Release by the AMS on occasion of the publication of
our paper on Backtest Overfitting. |
|
02/13/2014 |
Risk
Magazine |
Incisive
Media |
Interview published by Risk Magazine and the organizers of
the Trading and Investment Risk 2014 Conference. |
|
01/15/2014 |
Algorithmic
Finance |
Interview published by the journal Algorithmic Finance. |
||
12/17/2013 |
Total
Trading |
HETCO s Head of Quant Trading & Research Marcos Lopez de
Prado at the Trading Show NYC 2013 |
A summary of my presentation at Trading Show NYC 2013. |
|
05/20/2013 |
Faille, C. |
AllAboutAlpha.com |
A nice summary of what the "triple penance rule"
is about. |
|
05/10/2013 |
O'Hara, M. and D. Easley |
"Being fast is not enough.
We, along with Marcos Lopez de Prado of the Lawrence Berkeley National
Laboratory, have argued that HFT companies increasingly rely on strategic
sequential trading . This consists of algorithms that analyse financial big
data in an attempt to recognise the footprints left by specific market
participants. |
||
04/10/2013 |
Murphy, B. |
Enthought |
Press release announcing the introduction of Enthought Canopy. |
|
04/08/2013 |
Krieger,
L. |
Supercomputers could generate early-warning system for stock
market crashes |
"[...] Using the lab's Cray XE6 "Hopper" supercomputer, the Leinweber team found one precursor to a flash crash that
a supercomputer could identify. Called Volume-synchronized Probability of INformed trading, or VPIN, it detected an imbalance
between buy and sell orders, and growing volatility, about 45 minutes before
[the] crash". |
|
05/25/2012 |
Zweig,
Jason |
Wall
Street Journal |
The Wall Street Journal reports on the collaboration between Lawrence Berkeley National Laboratory and the inventors of VPIN. |
|
05/01/2012 |
CFTC |
U.S. Commodity
Futures Trading Commission |
The CFTC uses two of our papers in setting the legal
definition of High Frequency Trading. |
|
11/09/2011 |
Lash, Herbert |
Reuters |
This Reuters article discusses how VPIN could be used to
design dynamic circuit breakers. |
|
10/06/2011 |
Carver,
Laurie |
US regulators ask DOE lab to study flash-crash forecasting
tool |
Risk
Magazine |
Risk Magazine reports that U.S. regulators have asked a National Laboratory to study methods to prevent flash-crashes, VPIN being one of the options considered. |
09/06/2011 |
Carver,
Laurie |
Risk
Magazine |
Risk Magazine features VPIN as a possible way to prevent OTC flash crash. |
|
03/07/2011 |
Grant,
Justin |
Advanced
Trading |
Interview with "Advanced Trading" Magazine. |
|
02/19/2011 |
Demos,
Telis |
Financial
Times |
Financial Times refers to Maureen O'Hara's research on the "flash crash". |
|
12/01/2010 |
Glaser,
Linda |
Stock market 'flash' crashes now predictable, thanks to
Cornell-developed metric |
Cornell
Chronicle |
Cornell University featured the VPIN papers in its newspaper. |
11/05/2010 |
Kardos, Donna |
Dow Jones |
Richard Ketchum, chairman and chief executive of the Financial Industry Regulatory Authority, mentioned the VPIN study Friday during a meeting of the Joint CFTC-SEC Advisory Committee. |
|
10/30/2010 |
Mehta,
Nina |
`Toxic' Orders Can Predict Likelihood of Stock Market
Crashes, Study Says |
Bloomberg
News |
A formula for measuring how fast the best-informed traders increase their share of market volume may help regulators prevent crashes such as the May 6 plunge. It became the second most read news article that day. |
RELATED NEWS
DATE |
AUTHOR |
TITLE/EVENT |
PUBLICATION |
SUBJECT |
02/25/2020 |
Jaeger, Markus; Stephan Kruegel; Dimitri Marinelli; Jochen Papenbrock; Peter Schwendner |
Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI |
Munich Reinsurance Company |
"... we find that HRP better matches the volatility target, and shows better risk-adjusted performances." |
02/06/2020 |
Borochin, Paul; Stephen Rush |
A Network Analysis of Information Diffusion in the Financial Sector |
University of Miami |
"We find that the VPIN network based on firm-specific informed trading predicts firm-specific risk and performance significantly better than the firm-specific return network." |
11/23/2017 |
Massot, M., S. Nawn and R. Pascual |
Bulk Volume Classification Under the Microscope: Estimating the Net Order Flow |
University of the Balearic Islands |
"Supporting ELO s (2016) claim that BVC relies on all sources of buying and selling pressure, we find that BVC renders more accurate estimates of the NOF than of the trade-based OI." |
08/21/2015 |
Nature |
Registered clinical trials make positive findings vanish |
Nature |
Like in most experimental research areas, Financial studies
should pre-register the trials to be conducted. Otherwise,
empirical finance
will become a pathological science, a collection of "cold fusion" claims. |
06/09/2015 | Jiang, J. | Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity | Brock University St. Catharines, Ontario | "Summarizing from our empirical research, we conclude that VPIN can be employed as an effective risk management tool and can be put into practice in the prevalent high-frequency trading mechanism of the current financial world." |
05/03/2015 | The Economist | False Hope: Most trading strategies are not tested rigorously enough | The Economist | The Economist features Cam Harvey's excellent paper on backtesting, which in turn refers to our NAMS article (May, 2014), "Pseudo-Mathematics and Financial Chalatanism". |
04/21/2015 | Miedema, D. and S. Lynch | Flash Crash Arrest Lays Bare Regulatory Lapses at All Levels | Reuters |
In "The
Microstructure of the Flash Crash", Profs. Easley, O'Hara and I explained
how the flash crash of May 6th 2010 was caused by
order imbalance.
Our explanation contrasted with the official SEC-CFTC report, which blamed a large
mutual fund's order of 75,000 futures contracts for the debacle (supposedly originated by
Waddell & Reed). Five years after that event, the U.S. Department
of Justice has finally filed criminal charges against a high-frequency trader for causing
that order imbalance: "His conduct was at least significantly responsible for the order imbalance that in turn was one of the conditions that led to the flash crash," CFTC head of enforcement Aitan Goelman told a conference call with journalists. |
04/19/2015 | Onan, M., A. Salih and B. Yasar | Determinants of Implied Volatility Slope of S&P500 Options | European Financial Management Association | "We document that order flow toxicity measured by Volume Synchronized Probability of Informed Trading (VPIN, Easley et al., 2012) is an important determinant of the slope of the volatility skew besides transactions costs and net buying pressure [...] Model-free risk-neutral skewness measure which is highly correlated with slope is also significantly associated with VPIN." |
02/25/2015 | Silva, F. and E. Volkova |
Can VPIN Forecast Geopolitical Events? An Application to the Crimean Crisis |
Cornell University |
"We compute the Volume-synchronized Probability of Informed Trading (VPIN) for the Russian main equity index and for individual stocks, finding that for the index level and for most of the stocks it raises considerably between one and three trading days before market prices reflect the invasion [...] Our results provide additional support for the use of VPIN as a measure of monitoring the likelihood of undesirable (geopolitical) events." |
01/18/2015 | Cheung, W., R. Chou, A. Lei | Exchange-Traded Barrier Option and VPIN | Journal of Futures Markets | "In this study, we provide the first direct evidence of the validity of VPIN outside the US market [...] Our results show that VPIN has significantly incremental predictive power on MCE after controlling for volatility and volume." |
12/28/2014 | CFA Institute | The Volume Clock (Digest Summary) | CFA Digest | CFA recommended reading. |
12/28/2014 | CFA Institute | Flow Toxicity & Liquidity (Digest Summary) | CFA Digest | CFA recommended reading. |
09/30/2014 |
Panayides, Marios; Shohfi, Thomas; Smith, Jared |
Comparing Trade Flow Classification Algorithms in the Electronic Era: The Good, the Bad, and the Uninformative | "We find that, despite the use of quote data, Lee and Ready underperforms the other methods, particularly during intervals of high trade and/or quote frequency. The bulk volume algorithm (BVC) demonstrates superiority with respect to data efficiency, accuracy, and the ability to capture informative trade flow." | |
09/22/2014 |
Michaels, Dave |
SEC Finds Misrepresentations by Hedge Funds, Bowden Says |
Bloomberg News |
Some hedge funds misrepresent their performance in advertising and marketing materials. "SEC examiners also found examples of hedge funds presenting modeled or back-tested performance as actual results and flipping between valuation methodologies, Bowden said." My co-authors and I denounced some of these practices in the May 2014 issue of the Notices of the American Mathematical Society. |
09/10/2014 |
Bechler, Kyle; Ludkovski, Michael |
Optimal Execution with Dynamic Order Flow Imbalance |
University of California, Santa Barbara |
Profs. Bechler and Ludkovski examine how VPIN helps achieve optimal execution by adding market microstructure features to the standard transaction cost minimization problem. |
09/10/2014 |
Rush, Stephen |
Twenty Years of VPIN | Prof. Rush implemented VPIN in R, and applied this microstructural theory on a large dataset of stocks. He concludes that VPIN evidences an increased probability of toxicity contagion over the last 20 years. | |
05/16/2014 |
Barry, M. |
An implementation of
our PBO method
in R language. |
||
04/19/2014 |
Song, J, K. Wu and H. Simon |
Parameter Analysis of the VPIN (Volume Synchronized Probability of Informed Trading) Metric |
Constantin Zopounidis, Editor. Quantitative Financial Risk Management: Theory and Practice. 2014. Wiley. |
"VPIN (Volume synchronized Probability of Informed trading) is a leading indicator of liquidity-induced volatility. It is best known for having produced a signal more than hours before the Flash Crash of 2010. On that day, the market saw the biggest one-day point decline in the Dow Jones Industrial Average, which culminated to the market value of $1 trillion disappearing, but only to recover those losses twenty minutes later (Lauricella 2010)." |
02/13/2014 |
Haran, B. |
Numberphile |
Numberphile recently
featured my friend, coleague and co-author David H.
Bailey. This video explains how David's Spigot
algorithm was used in The Simpsons "Marge in
Chains" episode. |
|
10/28/2013 |
Yildiz, S., R.
Van Ness and B. Van Ness |
Analysis of the Determinants of VPIN, HFTs' Order Flow
Toxicity and Impact on Stock Price Variance |
"While trade intensity is negatively related to VPIN,
return volatility is positively related to VPIN. VPIN has predictive power
for future volatility in equity markets, even after controlling for trade
intensity. FVPIN contract is a useful hedge tool against toxicity." |
|
10/24/2013 |
Edesess, M. and
K.L. Tsui |
How Many Monkeys Does it Take to Find a Successful Strategy? |
Advisor
Perspectives |
We would like to raise the question of whether
mathematicians should continue to tolerate the proliferation of investment
products that are misleadingly marketed as mathematically founded. |
10/23/2013 |
Russell,
K. |
Timely
Portfolio |
Kenton Russell has published the code in R language that
computes the Minimum
Backtest Length (MinBTL). |
|
10/15/2013 |
J. MacIntosh |
C.D. Howe |
Prof. MacIntosh (U. Toronto)
cites our work on the Flash Crash in his new study. |
|
09/20/2013 |
NBIM |
A good summary of the state of the debate regarding
High-Frequency Trading. |
||
09/09/2013 |
CFTC |
Concept Release on Risk Controls and System Safeguards for
Automated Trading Environments |
The newly published CFTC proposal on Risk Controls cites
the VPIN model as a plausible mechanism for preventing flash crashes. |
|
09/09/2013 |
Wu, J. et
al. |
Testing VPIN on Big
Data: Response to "Reflecting on the VPIN dispute" |
Scientists at Berkeley Lab discuss multiple errors in Torben Andersen and Oleg Bondarenko's
study of VPIN.
|
|
08/30/2013 |
Wung, C. et
al. |
Journal of Alternative Investments |
An analysis of the presence of informed traders in the
Eurodollar Futures market, using the VPIN model. |
|
07/31/2013 |
Bailey,
D.H., J. M. Borwein, A. Mattingly and G. Wightwick |
The computation of previously
inaccessible digits of π2 and Catalan's constant |
My co-author David H.
Bailey has recently published an article in AMS' flagship journal in
which he reflects on the implications of the celebrated Bailey-Borwein-Plouffe
formula for the calculation of π, the standard HPC benchmark. |
|
07/04/2013 |
Zagaglia, P. |
PIN: Measuring Asymmetric
Information in Financial Markets with R |
Universita di
Bologna |
Prof. Zagaglia has developed a module
in R Language to estimate PIN. |
06/24/2013 |
Brakke, T. |
The
Research Puzzle |
An interesting piece on the state of the discussion regarding
Sharpe ratios. |
|
06/21/2013 |
Gollapudi, N. and
A. Bose |
Current
Swap market imbalances and what they mean |
Citibank
Research |
A team of Citibank Researchers find
that the BVC algorithm for Bulk Volume Classification signals useful
information about Swaps market positioning. |
06/21/2013 |
Wei, W.,
D. Gerace and A. Frino |
Informed Trading, Flow Toxicity and the Impact on Intraday
Trading Factors |
A.A.
Business and Finance Journal |
This study shows that different capitalization stocks
exhibit different VPIN characteristics. It finds that flow toxicity measured
through VPIN is able to predict and explain to an extent future quote
imbalance, price volatility and volume bucket duration or trade intensity. |
06/07/2013 |
CIFT |
Lawrence
Berkeley National Laboratory |
Berkeley Lab scientists have applied Big Data techniques
to complete the largest study ever on volatility. It uses a massive amount of
tick data from the one hundred most liquid futures contracts worldwide over a
period of five years. They conclude that short-term volatility can be
forecasted with false positive rates as low as 7%. |
|
06/04/2013 |
Themis
Trading |
Themis
Trading |
Themis Trading comments on our research on High Frequency
Trading and Big Data. |
|
04/04/2013 |
Hunsader, E. |
NANEX |
NANEX finds several inconsistencies in the CFTC analysis
of the Flash Crash. The same study was also criticized by the CME, on similar
grounds. The CME and NANEX rarely agree on High-Frequency Trading analyses,
as they are on opposite sides of the debate. |
|
04/03/2013 |
The Journal of Financial Markets has announced the withdrawal of the paper titled "VPIN and the Flash Crash", written by Torben G. Andersen and Oleg Bondarenko. This paper had been accepted for publication six months earlier, and claimed that "VPIN is a poor predictor of short run volatility". We had expressed our concerns regarding Andersen and Bondarenko's implementation of VPIN in our paper "VPIN and the Flash Crash: A Comment". Sadly, the withdrawal of this paper has not been given as much publicity as its initial publication [1, 2]. However, withdrawing a paper from an academic journal is an exceptional action, and I commend JFM's editors as well as Andersen and Bondarenko for taking that step. [04/12/2013 UPDATE: Retraction Watch features this retraction in their website (link)] |
|||
04/02/2013 |
Menkveld, A. and
B. Yueshen |
VU
University Amsterdam; Tinbergen Institute |
Menkveld and Yueshen examine VPIN during the flash crash, and show
that "the large seller's relative presence in the market co-moves
negatively with flow toxicity. This finding is consistent with strategic
trading: she sells passively during upturns (her limit sell orders are taken
out), sells aggressively right after an upturn, and does not trade in
downturns." |
|
03/29/2013 |
Berman,
M., V. Krouglov and E. Olin |
RAPA Cap
Intro |
RAPA's whitepaper argues that their PSR-based capital
allocation leads to superior fund performance. |
|
03/14/2013 |
Energy.Gov |
U.S.
Department of Energy |
On Pi day, the U.S. Department of Energy paid tribute to the
work of Prof. David H. Bailey. |
|
02/22/2013 |
Wolchover, N. |
The Simons Foundation asked David H. Bailey to
discuss the growing role of Computational Mathematics in Mathematical
Research. Best known for the Bailey-Borwein-Plouffe
formula, Prof. Bailey is a leading authority in Experimental
Mathematics, and has co-authored with Marcos five papers in Mathematical
Finance. |
||
02/21/2013 |
Barclay
Insider Report |
BarclayHedge |
Barclay's Insider Report features our recent paper, "Drawdown-based
Stop-Outs and the Triple Penance rule". |
|
02/16/2013 |
R. Wood,
J. Upson and H. McInish |
SSRN |
Consistent with our findings about the Flash Crash, Wood
et al. present evidence of informed trading in
the early part of that day, which drove returns over the crash period. |
|
02/07/2013 |
Hwang, L.,
S. Lim, K. Park and W. Lee |
Does information risk affect the implied cost of equity
capital? An analysis of PIN and adjusted PIN |
Journal of
Accounting and Economics |
The authors find that estimates of PIN based on Lee-Ready
tend to be inaccurate. Using the actual aggressor side information, they
obtain PIN estimates that are useful in explaining the ICOE (implied cost of
equity capital. This result is consistent with our findings in connection
with the Tick Rule, the actual aggressor side, and Bulk Volume
Classification (BVC). |
01/30/2013 |
Berman, M.,
V. Krouglov and E. Olin |
RAPA CAP
Intro |
Since January of 2013, RAPA CAP Intro will be ranking
portfolio managers worldwide following the Probabilistic Sharpe Ratio (PSR)
methodology introduced in our paper "The Sharpe Ratio Efficient
Frontier". |
|
01/08/2013 |
Klein, L.,
V. Dalko and M. Wang |
Wiley |
Lawrence Klein (Nobel Prize, 1980) has teamed up with
Harvard professor Viktoria Dalko
and RICE's Vice President Michael Wang. The book discusses financial crisis
prevention, with references to the VPIN theory. |
|
12/20/2012 |
Corcoran,
C. |
Wiley |
Clive Corcoran's new book contains a chapter titled "Detecting
mini bubbles with the VPIN metric", in which this author
demonstrates how the VPIN theory can be used to monitor the probability of
toxicity-induced liquidity crises. |
|
11/26/2012 |
Johnson,
T. and E. So |
SSRN |
Johnson and So propose a new PIN metric that combines
information from multiple markets. |
|
11/20/2012 |
Abad, D.
and J. Yague |
Consistent with a previous study by Lawrence Berkeley
National Laboratory, this paper confirms VPIN's forecasting power on stocks'
toxicity-induced volatility. |
||
06/29/2012 |
Deutsche
Bank Quantitative Strategies |
Deutsche
Bank |
DB features our new paper: "Balanced Baskets: A
new approach to Trading and Hedging Risks". |
|
06/19/2012 |
O'Malia, Scott |
U.S.
Commodity Futures Trading Commission |
CFTC Commissioner O'Malia
comments on our recent paper "The Volume Clock: Insights into the High Frequency
Paradigm". |
|
04/27/2012 |
Deutsche
Bank Quantitative Strategies |
Deutsche
Bank |
DB features our two newly published paper:
"Optimal Execution Horizon" and "The Volume Clock:
Insights into the High Frequency Paradigm". |
|
11/25/2011 |
Federal Market Information Technology in
the Post Flash Crash Era: Roles for Supercomputing |
In a paper published by the Journal of Trading, a U.S.
National Laboratory confirms our results on the "flash crash" and
further concludes that "This [VPIN] is the strongest early warning
signal known to us at this time." |
||
10/26/2011 |
Deutsche
Bank Quantitative Strategies |
Deutsche Bank |
Deutsche Bank features the paper "Advanced Cointegration and Subset Correlation Hedging
Methods". |
|
10/25/2011 |
UK's
Government Office for Science |
UK's BIS |
Maureen O'Hara discusses VPIN in the context of this
British Government study. |
|
10/06/2011 |
Carver,
Laurie |
US regulators ask DOE lab to study flash-crash forecasting
tool |
Risk
Magazine |
Risk Magazine reports that U.S. regulators have asked a National Laboratory to study methods to prevent flash-crashes, VPIN being one of the options considered. |
09/06/2011 |
Carver,
Laurie |
Risk
Magazine |
Risk Magazine features VPIN as a possible way to prevent OTC flash crash. |
|
07/20/2011 |
Deutsche
Bank Quantitative Strategies |
Deutsche Bank |
This investment bank features "The Sharpe Ratio Efficient Frontier" in their list of selected academic research. |
|
04/27/2011 |
Deutsche
Bank Quantitative Strategies |
Deutsche
Bank |
DB's Global Quantitative Stratregies
group discusses the introduction of a new performance measure called "Probabilistic
Sharpe Ratio" (PSR), which corrects for the inflationary effects
associated with Non-Normal returns. |
|
11/23/2010 |
Deutsche
Bank Quantitative Strategies |
Deutsche Bank |
This investment bank featured "The Microstructure of the Flash Crash" in their list of selected academic research. |
|
11/10/2010 |
Luo, Yin
et al. |
Deutsche
Bank |
This Research Note discusses the alpha generated by PIN-style models, and the potential of VPIN for liquidity risk applications. |