Marcos Lopez de Prado

Harvard University

1875 Cambridge Street

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 25,759

SSRN RANKINGS

Top 25,759

in Total Papers Downloads

2,493

SSRN CITATIONS
Rank 33,283

SSRN RANKINGS

Top 33,283

in Total Papers Citations

16

CROSSREF CITATIONS

9

Scholarly Papers (2)

1.
Downloads 1 ( 3,442)
Citation 10

Optimal Execution Horizon

Mathematical Finance, Vol. 25, Issue 3, pp. 640-672, 2015
Number of pages: 33 Posted: 05 Jun 2015
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Harvard University and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1 (837,651)
  • Add to Cart

Abstract:

Loading...

liquidity, flow toxicity, broker, VWAP, market microstructure, adverse selection, probability of informed trading, VPIN, OEH

2.

Microstructure in the Machine Age

Number of pages: 63 Posted: 25 Mar 2019
David Easley, Marcos Lopez de Prado, Maureen O'Hara and Zhibai Zhang
Cornell University - Department of Economics, Harvard University, Cornell University - Samuel Curtis Johnson Graduate School of Management and New York University (NYU) - NYU Tandon School of Engineering
Downloads 2,492 (7,023)
Citation 16

Abstract:

Loading...

Market Microstructure, Machine Learning, Features Importance, MDI, MDA, Futures