Marcos López de Prado

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Laboratory for confirming our VPIN calculations on the 'flash crash'. We are grateful to Sergey Kosyakov and Steven Jones for their research assistance. * VPIN is a trademark of Tudor Investment Corp. The authors have applied for a patent on VPIN and have a financial interest in it. ABSTRACT Order flow is toxic when it adversely selects market makers, who(More)
We compared the characteristics of several cloned rabbit organic electrolyte (OE) transporters expressed in cultured cells with their behavior in intact rabbit renal proximal tubules (RPT) to determine the contribution of each to basolateral uptake of the weak acid ochratoxin A (OTA) and the weak base cimetidine (CIM). The activity of organic anion(More)
We solve a multi-period portfolio optimization problem using D-Wave Systems' quantum annealer. We derive a formulation of the problem, discuss several possible integer encoding schemes, and present numerical examples that show high success rates. The formulation incorporates transaction costs (including permanent and temporary market impact), and,(More)
Recent computational advances allow investment managers to methodically search through thousands or even millions of potential options for a profitable investment strategy. In many instances, the resulting strategy involves a pseudo-mathematical argument, which is spuriously validated through a simulation of its historical performance (also called(More)
A large portion of Macroeconomic and Financial research is built upon classical applications of Linear Algebra (such as regression analysis) and Stochastic Calculus (such as valuation models). As a result, most Macroeconomic and Financial research has inherited a focus on geometric locations rather than logical relations. Ideally, Econometric models could(More)
Accurate assessment of muscular strength is critical for exercise prescription and functional evaluation. The warm-up protocol may affect the precision of the 1 repetition maximum (1RM) test. Testing guidelines recommend performing both general and specific warm-ups before strength tests. The general warm-up intends to raise muscle temperature, whereas the(More)
Order flow is regarded as toxic when it adversely selects market makers, who may be unaware that they are providing liquidity at a loss. Flow toxicity can be expressed by the Probability of Informed Trading (PIN). We present a new procedure to estimate the Probability of Informed Trading based on volume imbalance and trade intensity (the VPIN* informed(More)
We introduce Stochastic Flow Diagrams (SFDs), a new mathematical approach to represent complex dynamic systems into a single weighted digraph. This topological representation provides a way to visualize what otherwise would be a morass of equations in differences. SFDs model the propagation and reverberation that follows a shock. For example, reverberation(More)