Prof. Marcos López de Prado is the CIO of True Positive Technologies (TPT), and professor of practice at Cornell University’s School of Engineering. He has over 20 years of experience developing investment strategies with the help of machine learning algorithms and supercomputers. He launched TPT after he sold some of his patents to AQR Capital Management, where he was a principal and AQR’s first head of machine learning. TPT is currently engaged by clients with a combined AUM in excess of $1 trillion. Marcos also founded and led Guggenheim Partners’ Quantitative Investment Strategies business, where he managed up to $13 billion in assets, and delivered an audited risk-adjusted return (information ratio) of 2.3.
Concurrently with the management of investments, since 2011 Marcos has been a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). He has published dozens of scientific articles on machine learning and supercomputing in the leading academic journals, is a founding co-editor of The Journal of Financial Data Science, has testified before the U.S. Congress on AI policy, and SSRN ranks him as the most-read author in economics. Marcos is the author of several graduate textbooks, including Advances in Financial Machine Learning (Wiley, 2018) and Machine Learning for Asset Managers (Cambridge University Press, 2020).
Marcos earned a PhD in financial economics (2003), a second PhD in mathematical finance (2011) from Universidad Complutense de Madrid, and is a recipient of Spain's National Award for Academic Excellence (1999). He completed his post-doctoral research at Harvard University and Cornell University, where he is a faculty member. Marcos has an Erdős #2 according to the American Mathematical Society, and in 2019, he received the ‘Quant of the Year Award’ from The Journal of Portfolio Management.
RECENT ACADEMIC CONTRIBUTIONS
Quant of the Year 2019, The
Journal of Portfolio
Author, Advances in Financial Machine Learning (Wiley, 2018). Translated to Chinese, Russian, Japanese and Korean.
Contributor, Cambridge Elements in Quantitative Finance.
Member of the advisory board, The Journal of Portfolio Management.
Co-editor, Journal of Financial Data Science.
Member of the board of directors, International Association for Quantitative Finance.
Professor of Practice, Cornell University, School of Engineering. Special Topics in Financial Engineering V (ORIE 5256).
Over 50 peer-reviewed publications in scientific journals, including:
Notices of the
American Mathematical Society
Journal of Financial Economics (JCR 5Y IF: 7.513)
Review of Financial Studies (JCR 5Y IF: 5.864)
IEEE Journal of Selected Topics in Signal Processing (JCR IF: 4.361)
Mathematical Finance (JCR IF: 2.714)
Journal of Financial Markets (JCR 5Y IF: 2.234)
Quantitative Finance (JCR IF: 1.170)
Journal of Computational Finance (JCR 5Y IF: 0.831)
Journal of Portfolio Management (JCR IF: 0.812)
Journal of Risk (JCR IF: 0.627)