Marcos M. Lopez de Prado

PRESS COVERAGE

DATE	AUTHOR	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 L pez 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 L pez 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	Bloomberg	"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	AQR hires head of machine learning	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 Appoints Head of Machine Learning Group	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.	Finance in the Age of Machine Learning, Parts 1 to 6	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	Why banks like Barclays are testing quantum computing	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.	The Growing Crisis in Modern Finance	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	Renaissance, DE Shaw look to quantum computing for edge	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	Wall Street Journal	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.	Russia's Insider Traders Know Putin's Plans	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	Business Wire	"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	Huge Returns at Low Risk? No So Fast: The wild world of 'backtesting' -- and why investors need to be on guard.	Wall Street Journal	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	Jacobs, Ryan	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	Interview with Dr. David H. Bailey	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.	Is a too perfect ETF backtest fraud?	Barron s	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	Foley, S.	When use of pseudo-maths adds up to fraud	Financial Times	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	Computer Models Often Use Unsound Math, Researchers Say	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	University of Newcastle	Press Release by the University of Newcastle on occasion of the publication of our paper on Backtest Overfitting.
04/10/2014	American Mathematical Society	Press Release by the 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	Interview by 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	One Minute with Marcos Lopez de Prado	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	Terrapinn	A summary of my presentation at Trading Show NYC 2013.
05/20/2013	Faille, C.	Doing Penance for the Draw-down	AllAboutAlpha.com	A nice summary of what the "triple penance rule" is about.
05/10/2013	O'Hara, M. and D. Easley	Financial markets are at risk of a big data crash	Financial Times	"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 Introduces Enthought Canopy, a Python Analysis Environment for Scientific and Analytic Computing	Enthought	Press release announcing the introduction of Enthought Canopy.
04/08/2013	Krieger, L.	Supercomputers could generate early-warning system for stock market crashes	Mercury News	"[...] 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	Could Computers Protect the Market From Computers?	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	Sub-Committee on Automated and High Frequency Trading	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	Post 'flash crash' monitoring emerges at Berkeley	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	OTC flash crash: Dealers consider risks of HFT invasion	Risk Magazine	Risk Magazine features VPIN as a possible way to prevent OTC flash crash.
03/07/2011	Grant, Justin	Formula May Pave Way to Stopping Flash Crashes	Advanced Trading	Interview with "Advanced Trading" Magazine.
02/19/2011	Demos, Telis	US panel on flash crash urges rule changes	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	'Toxicity' Metric May Help Avoid Another Flash Crash: Study	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.

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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	Proceedings of the Northern Finance Association, 2014	"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	University of Connecticut	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.	Package PBO: Probability of Backtest Overfitting	R/Finance 2014: Applied Finance with R	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.	π and Four Fingers	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	Univ. Mississippi	"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.	Overfitted Backtests	Timely Portfolio	Kenton Russell has published the code in R language that computes the Minimum Backtest Length (MinBTL).
10/15/2013	J. MacIntosh	High Frequency Traders: Angels or Devils?	C.D. Howe	Prof. MacIntosh (U. Toronto) cites our work on the Flash Crash in his new study.
09/20/2013	NBIM	High Frequency Trading An Asset Manager s Perspective	Norges Bank Investment Management	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	CFTC	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"	Lawrence Berkeley National Laboratory	Scientists at Berkeley Lab discuss multiple errors in Torben Andersen and Oleg Bondarenko's study of VPIN.
08/30/2013	Wung, C. et al.	Informed Trading and Price Discovery Around the Clock	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	Notices of the American Mathematical Society	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 Sharpe Edifice	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	A Big Data Approach to Analyzing Market Volatility	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	Front Running Strategic Sequential Trading	Themis Trading	Themis Trading comments on our research on High Frequency Trading and Big Data.
04/04/2013	Hunsader, E.	May 6'th 2010 Flash Crash Analysis	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	Journal of Financial Markets	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	Anatomy of the Flash Crash	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 Score Triumphs	RAPA Cap Intro	RAPA's whitepaper argues that their PSR-based capital allocation leads to superior fund performance.
03/14/2013	Energy.Gov	Celebrating Pi Day	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.	In Computers We Trust?	Simons Foundation	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	Are hedge funds firing too many managers?	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	The Flash Crash: Trading Aggressiveness, Liquidity Supply, and the Impact of Intermarket Sweep Orders	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	Release of the new RAPA Ranking Algorithm	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	Regulating Competition in Stock Markets: Antitrust Measures to Promote Fairness and Transparency through Investor Protection and Crisis Prevention	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.	Systemic Liquidity Risk and Bipolar Markets: Wealth Management in Today's Macro Risk On / Risk Off Financial Environment	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	A Simple Multimarket Measure of PIN	SSRN	Johnson and So propose a new PIN metric that combines information from multiple markets.
11/20/2012	Abad, D. and J. Yague	From PIN to VPIN: An Introduction to Order Flow Toxicity	Span Rev Financ Econ	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	Academic Insights	Deutsche Bank	DB features our new paper: "Balanced Baskets: A new approach to Trading and Hedging Risks".
06/19/2012	O'Malia, Scott	I Have One Word for You: Technology	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	Academic Insights	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	Bethel, W. et al.	Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing	Journal of Trading	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	Academic Insights	Deutsche Bank	Deutsche Bank features the paper "Advanced Cointegration and Subset Correlation Hedging Methods".
10/25/2011	UK's Government Office for Science	The Future of Computer Trading in Financial Markets	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	OTC flash crash: Dealers consider risks of HFT invasion	Risk Magazine	Risk Magazine features VPIN as a possible way to prevent OTC flash crash.
07/20/2011	Deutsche Bank Quantitative Strategies	Academic Insights	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	Academic Insights	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	Academic Insights	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.	Frequency Arbitrage	Deutsche Bank	This Research Note discusses the alpha generated by PIN-style models, and the potential of VPIN for liquidity risk applications.