Marcos López de Prado

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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)
Introduction A backtest is a historical simulation of an algorithmic investment strategy. Among other things, it computes the series of profits and losses that such strategy would have generated had that algorithm been run over that time period. Popular performance statistics, such as the Sharpe ratio or the Information ratio, are used to quantify the(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)
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)
Many investment firms and portfolio managers rely on backtests (i.e., simulations of performance based on historical market data) to select investment strategies and allocate capital. Standard statistical techniques designed to prevent regression overfitting, such as holdout, tend to be unreliable and inaccurate in the context of investment backtests. We(More)
With the advent in recent years of large financial data sets, machine learning and highperformance computing, analysts can backtest millions (if not billions) of alternative investment strategies. Backtest optimizers search for combinations of parameters that maximize the simulated historical performance of a strategy, leading to backtest overfitting. 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 FlowDiagrams (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)