Research Review

Work in progress

This review is still in progress. Some claims have not yet been verified, and the results are not yet complete.

Research Review

In-depth, from-scratch reproductions and at-scale extensions of leading quantitative-finance researchers' published work, every empirical claim gated by the Deflated Sharpe Ratio, across crypto, US equities and forex.

Marcos López de Prado

12 studies

Reproducing and extending the methods of Advances in Financial Machine Learning, Machine Learning for Asset Managers and Causal Factor Investing, information-driven bars, fractional differentiation, labeling, cross-validation, ensembles, portfolio construction, causal factors, microstructure, trading rules, and the multiple-testing apparatus. The recurring finding: almost nothing clears deflated significance, which is precisely the thesis.

More authors to come.