Marcos Lopez de Prado testifies before U.S. Congress

Marcos Lopez de Prado

Famed quantitative financial mathematician Marcos Lopez de Prado, who was recently featured as Master of the Robots by Bloomberg, testified today (6 December 2019) before the U.S. Congress, together with four other panelists.

The topic for the panel, organized by the U.S. House Committee on Financial Services, was Robots on Wall Street: The Impact of AI on Capital Markets and Jobs in the Financial Services Industry. The five panelists who testified are:

Charlton McIlwain, Vice Provost for Faculty Engagement and Development and Professor of Media, Culture, and Communication at NYU. Marcos Lopez de Prado, Professor of

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Jim Simons: The man who solved the market

Gregory Zuckerman, author of The Greatest Trade Ever, has published a new book highlighting the life and work of Jim Simons, who, at the age of 40, walked away from a very successful career as a research mathematician and cryptologist to try his hand at the financial markets, and ultimately revolutionized the field. Zuckerman’s new book is titled The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution.

Upbringing and academic career

Simons’ background hardly suggested that he would one day lead one of the most successful, if not the most successful, quantitative hedge fund operation in

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Feast or famine? The financial risks of climate change

Credit: IPCC

The facts of climate change

At this point in time, the basic facts of climate change are not disputable in the least. Careful planet-wide observations by NASA and others have confirmed that 2018 was the fourth-warmest year in recorded history. The only warmer years were 2016, 2017 and 2015, respectively, and 18 of the 19 warmest years in history have occurred since 2001. Countless observational studies and supercomputer simulations have confirmed both the fact of warming and the conclusion that this warming is principally due to human activity. These studies and computations have been scrutinized in great

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Quantum supremacy has been achieved; or has it?

IBM’s “Q” quantum computer; courtesy IBM

Google’s quantum computing achievement

For at least three decades, teams of researchers have been exploring quantum computers for real-world applications in scientific research, engineering and finance. Researchers have dreamed of the day when quantum computers would first achieve “supremacy” over classical computers, in the sense that a quantum computer solving a particular problem faster than any present-day or soon-to-be-produced classical computer system.

In a Nature article dated 23 October 2019, researchers at Google announced that they have achieved exactly this.

Google researchers employed a custom-designed quantum processor, named “Sycamore,” consisting of programmable quantum

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The “Master of the Robots” on machine learning in finance

Marcos Lopez de Prado

The Master of the Robots

Marcos Lopez de Prado, who was named Quant of the Year for 2019 by the Journal of Portfolio Management, is widely regarded as one of the leading quantitative mathematicians in today’s financial world. He currently ranks #1 among authors in the economics field on the SSRN research network, as measured by downloaded articles within the past 12 months.

In a Bloomberg article titled The Master of Robots Left AQR. Now He’s Coming for Wall Street, Lopez de Prado explains why he established his own company (True Positive Technologies) to dispense

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Will investors outlive their savings?

Worldwide life expectancy at birth by region, 1950-2050

Target date funds and formulas for retirement

As we explained in an earlier Mathematical Investor blog, “target-date funds” are currently the rage in the finance world. The term refers to a mutual fund that targets a given retirement date, and then steadily shifts the allocation of assets from, say, a 80%/20% mix of stocks and bonds at the start to, say, a 30%/70% or 20%/80% mix as the target date approaches.

Vanguard Group, which manages over USD$5 trillion in assets, much of it in employer-offered defined contribution retirement plans, reports that

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Go with big data and machine learning, or leave finance to those who do

Mailiao Refinery, Taiwan Courtesy Planet Labs and Quandl

Big data: big buzz

“Big data” encompasses the collection, processing, indexing and analysis of large-scale datasets. Some concrete examples in the scientific computing arena include temperature and sunlight data from satellites monitoring of the Earth’s environment, particle tracking data produced by the Large Hadron Collider in Europe, satellite image data used in the search for planets orbiting distant stars, and studies of the cosmic microwave background radiation.

These same big data collection and analysis techniques are now being applied to arenas that are decidedly more down-to-earth. These include anonymized smartphone

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Interview with Marcos Lopez de Prado

Marcos Lopez de Prado

Marcos Lopez de Prado, who was named “Quant of the Year” for 2019 by the Journal of Portfolio Management, and who has recently formed his own investment firm True Positive Technologies, was recently interviewed by KNect365, an organization that sponsors numerous conferences and other exchanges between professionals in various fields, including finance, life sciences, technology, law, agriculture and energy.

In his interview, Lopez de Prado distinguishes between math-quant firms and econ-quant firms. The former are led by empiricists, often with backgrounds in mathematics, computer science, physics and engineering, and apply a wide range of cutting-edge

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Protein folding via machine learning may spawn medical advances

Complex of bacteria-infecting viral proteins modeled in CASP 13

Introduction

In an advance that may presage a dramatic new era of pharmaceuticals and medicine, DeepMind (a subsidiary of Alphabet, Google’s parent company) recently applied their machine learning software to the challenging problem of protein folding, with remarkable success. In the wake of this success, DeepMind and other private companies are racing to further extend these capabilities and apply them to real-world biology and medicine.

The protein folding problem

Protein folding is the name for the physical process in which a protein chain, defined by a linear sequence of amino

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Frank Fabozzi blasts the state of academic economics and finance

An academic “ivory tower” (St. John’s College, Cambridge, UK)

In an interview published at the Enterprising Investor blog, Frank Fabozzi, a well-known researcher and author in the mathematical finance field, has sharply criticized the current state of academic economics and finance.

Here are some highlights:

The “rational models” constructed in economics and finance are increasingly disconnected from real-world behavior, as has been shown by research in behavioral finance. As Fabozzi and Sergio Focardi argued in 2012, “economics in its current form does not describe empirical reality but an idealized rational economic world.”

The problem with relying on “rational

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