Pitfall #3: Inefficient Sampling(00:24:33 - 01:13:36) - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

Pitfall #3: Inefficient Sampling(00:24:33 - 01:13:36)
The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

This talk, titled The 7 Reasons Most Machine Learning Funds Fail, looks at the particularly high rate of failure in financial machine learning. The few managers who succeed amass a large number of assets, deliver consistently exceptional performance to their investors. However, that is a rare out...
This talk, titled The 7 Reasons Most Machine Learning Funds Fail, looks at the particularly high rate of failure in financial machine learning. The few managers who succeed amass a large number of assets, deliver consistently exceptional performance to their investors. However, that is a rare outcome. This presentation will go over the 7 critical mistakes underlying most financial machine learning failures based off of Marcos López de Prado’s experiences and observations.

To learn more about Quantopian, visit http://bit.ly/mlqc2018.
The slides for this presentation can be found at http://bit.ly/2DyUNdc.

Bio of the Speaker:
Dr. Marcos López de Prado is the chief executive officer at True Positive Technologies LP. He founded Guggenheim Partners’ Quantitative Investment Strategies (QIS) business, where he applied cutting-edge machine learning to the development of high-capacity strategies that delivered superior risk-adjusted returns. After managing up to $13 billion in assets, López de Prado acquired QIS and successfully spun out that business in 2018.

López de Prado is a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). A top 10-most-read author in finance based on SSRN's rankings, he has published dozens of scientific articles on machine learning and supercomputing and holds multiple international patent applications on algorithmic trading.

Marcos earned a Ph.D. in Financial Economics (2003), a 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.

Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.

More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.

In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

#finance #quantitative finance #risk #risk analysis #math #statistics #algorithms #algorithmic trading #machine learning #quant finance #7 reasons #machine learning fails #quantcon 2018
. Sisyphean Quants - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

. Sisyphean Quants

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:06:53 - 00:15:26
. Integer Differentiation - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

. Integer Differentiation

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:15:26 - 00:24:32
.  Inefficient Sampling - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

. Inefficient Sampling

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:24:32 - 00:30:32
Pitfall #3: Inefficient Sampling - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

Pitfall #3: Inefficient Sampling

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:24:33 - 01:13:36
. Wrong Labeling - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

. Wrong Labeling

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:30:32 - 00:38:29
false breakout vol filtering - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

false breakout vol filtering

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:38:00 - 01:13:36
. Weighting of non-IID samples - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

. Weighting of non-IID samples

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:38:29 - 00:45:33
. Cross-Validation leakage - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

. Cross-Validation leakage

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:45:33 - 00:48:31
. Backtest Overfitting - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

. Backtest Overfitting

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:48:31 - 01:00:30
so he run many trials and got good results? Maybe he overfitted the results! - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

so he run many trials and got good results? Maybe he overfitted the results!

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
00:59:00 - 01:13:36
. QnAGreat lecture. Very Insightful. Thank you for sharing :)I'm looking forward to reading the book. - The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018

. QnAGreat lecture. Very Insightful. Thank you for sharing :)I'm looking forward to reading the book.

The 7 Reasons Most Machine Learning Funds Fail Marcos Lopez de Prado from QuantCon 2018
2019年04月26日 
01:00:30 - 01:13:36

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