Order flow is toxic when it adversely selects market makers, who may be unaware they are
providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on …

… The methodology for estimating the VPIN metric is developed in Easley, López de Prado
and O’Hara (2010), and we refer the interested reader to that paper. In this paper we focus on …

… A description and open-source implementation of this algorithm can be found in Bailey and
López de Prado [2013]. Surprisingly, most financial practitioners still seem unaware of CLA, as …

… The Probabilistic Sharpe Ratio (PSR), developed in Bailey and López de Prado [2012a],
computes the probability that the true SR is above a given threshold. This rejection threshold is …

… Marcos M. López de Prado … López de Prado and Peijan (2004) showed that the implied
assumptions (namely, that returns are independent and identically distributed (IID) Normal) may …

Understanding modern market microstructure phenomena requires large amounts of data
and advanced mathematical tools. We demonstrate how machine learning can be applied to …

… Because those researchers have most likely not controlled for the number of trials, it is
highly probable that their findings constitute false positives (Bailey and López de Prado 2014; …

… We choose the minimum variance allocation, described in López de Prado (Citation2016a),
to mitigate the adverse effects of any strategies with larger variance. Let C k denote the set of …

… apply de-noising and detoning procedures to financial covariance matrix, so as to
prevent discoveries that are supported by noise rather than by signal (López de Prado [2019]). …

Over the last two centuries, technological advantages have allowed some traders to be faster
than others. In this article, the authors argue that contrary to popular perception, speed is …