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Marcos M Lopez De Prado

Lecturer
Operations Research and Information Engineering

Biography

AQR Capital Management
Advances in Financial Machine Learning

Dr. Marcos López de Prado manages multi-billion dollar funds applying machine learning (ML) and supercomputing technologies. He founded Guggenheim Partners’ Quantitative Investment Strategies (QIS) business, where he developed high-capacity ML strategies that consistently delivered superior risk-adjusted returns. After managing up to $13 billion in assets, Marcos acquired QIS and spun-out that business from Guggenheim in 2018.

Since 2011, Marcos has been a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). One of the top-10 most read authors in finance (SSRN's rankings), he has published dozens of scientific articles on ML and supercomputing in the leading academic journals, and he holds multiple international patent applications on algorithmic trading. Among several books, Marcos is the author of "Advances in Financial Machine Learning" (Wiley, 2018).

Marcos earned a Ph.D. in Financial Economics (2003), a second Ph.D. 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 teaches a Financial ML course at the School of Engineering. Marcos has an Erdős #2 and an Einstein #4 according to the American Mathematical Society.

As of September 2018, Dr. Marcos Lopez de Prado was named "Head of Machine Learning" at AQR Capital Management, a new role that will capitalize on his extensive knowledge of machine learning analytics and applications.

 


Course Taught:
Advances in Financial Machine Learning