The Deflated Sharpe Ratio (DSR) corrects for two leading sources of performance inflation: Selection bias under multiple testing and non-Normally distributed returns.
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Marcos López de Prado is Senior Managing Director at Guggenheim Partners. He is also a Research Affiliate at Law-rence Berkeley National Laboratory's Computational Research Division (U.S. Department of Energy’s Office of Sci-ence).
Before that, Marcos was Head of Quantitative Trading & Research at Hess Energy Trading Company (the trading arm of Hess Corporation, a Fortune 100 company) and Head of Global Quantitative Research at Tudor Investment Corpo-ration. In addition to his 15+ years of trading and investment management experience at some of the largest corpora-tions, he has received several academic appointments, including Postdoctoral Research Fellow of RCC at Harvard University and Visiting Scholar at Cornell University. Marcos earned a Ph.D. in Financial Economics (2003), a second Ph.D. in Mathematical Finance (2011) from Complutense University, is a recipient of the National Award for Excellence in Academic Performance by the Government of Spain (National Valedictorian, 1998) among other awards, and was admitted into American Mensa with a perfect test score.
Marcos is the co-inventor of four international patent applications on High Frequency Trading. He has collaborated with ~30 leading academics, resulting in some of the most read papers in Finance (SSRN), three textbooks, publications in the top Mathematical Finance journals, etc. Marcos has an Erdös #3 and an Einstein #4 according to the American Mathematical Society.