MAFFIA papers on financial mathematics

Update: 10 January 2017


Technical papers (most recent listed last):

Here are some papers on the general topic of financial mathematics, authored or co-authored by the editors of this site:
  1. Qiji Jim Zhu, "Convex analysis in financial mathematics," nonlinear Analysis: Theory, Methods and Applications, vol. 75 (2012), pg. 1719-1736. SSRN PDF
  2. Marcos Lopez de Prado and David Leinweber, "Advances in cointegration and subset correlation hedging methods," Journal of of Investment Strategies, vol. 1 (2012), pg. 67-115. SSRN PDF
  3. David Easley, Marcos Lopez de Prado and Maureen O'Hara, "VPIN and the flash crash: A comment," Journal of Financial Markets, Johnson School Research Paper Series, no. 25-2012. SSRN PDF
  4. David H. Bailey and Marcos M. Lopez de Prado, "Balanced baskets: A new approach to trading and hedging risks," Journal of Investment Strategies, vol. 14 (2012). SSRN PDF.
  5. David Easley, Marcos Lopez de Prado and Maureen O'Hara, "Discerning information from trade data," Johnson School Research Paper Series, no. 8-2012. SSRN PDF
  6. David H. Bailey, Marcos M. Lopez de Prado and Eva del Pozo, "The strategy approval decision: A Sharpe ratio indifference curve approach," Algorithmic Finance, vol. 2 (2013), pg. 99-109. SSRN PDF.
  7. David H. Bailey and Marcos M. Lopez de Prado, "The Sharpe ratio efficient frontier," Journal of Risk, vol. 15 (2012), pg. 3-44. SSRN PDF.
  8. David H. Bailey and Marcos Lopez de Prado, "An open-source implementation of the critical line algorithm for portfolio optimization," Algorithms, vol. 6 (2013), pg. 169-196, DOI: 10.3390/a6010169. SSRN PDF. CLA-files.zip
  9. Marcos Lopez de Prado, Ralph Vince and Qiji Jim Zhu, "Optimal risk budgeting under a finite investment horizon," manuscript, 25 Dec 13. SSRN PDF
  10. Ralph Vance and Qiji Jim Zhu, "Optimal betting sizes for the game of blackjack," manuscript, 12 Sep 2013. SSRN PDF
  11. Jonathan M. Borwein and Qiji Jim Zhu, "Variational methods in the presence of symmetry," Advances in Nonlinear Analysis, vol. 2 (2013), pg. 271-307.
  12. Marcos Lopez de Prado, "What to look for in a backtest," manuscript, 26 May 2014. SSRN PDF
  13. Marcos Lopez de Prado, "Low-frequency traders in a high-frequency world: A survival guide," manuscript, 26 May 2014. SSRN PDF
  14. Marcos Lopez de Prado and Riccardo Rebonato, "Kinetic component analysis," manuscript, 16 May 2014. SSRN PDF
  15. Marcos Lopez de Prado, "Managing risks in a risk-on/risk-off environment," manuscript, 26 May 2014. SSRN PDF
  16. Marcos Lopez de Prado, "How long does it take to recover from a drawdown," manuscript, 29 Jun 2014. SSRN PDF
  17. Marcos Lopez de Prado, "A journal through the 'mathematical underworld' of portfolio optimization," manuscript, 26 May 2014. SSRN PDF
  18. Marcos Lopez de Prado, "Concealing the trading footprint: Optimal execution horizon," manuscript, 26 May 2014. SSRN PDF
  19. Marcos Lopez de Prado, "Portfolio oversight: An evolutionary approach," manuscript, 26 May 2014. SSRN PDF
  20. Marcos Lopez de Prado, "The Sharp razor: Performance evaluation with non-normal returns," manuscript, 28 Jul 2014. SSRN PDF
  21. Marcos Lopez de Prado, "Optimal trading rules without backtesting," manuscript, 02 Oct 2014. SSRN PDF
  22. Marcos Lopez de Prado, "Deflating the Sharpe ratio," manuscript, 27 May 2014. SSRN PDF
  23. Neil Calkin and Marcos Lopez de Prado, "The topology of macro financial flows: An application of stochastic flow diagrams," Algorithmic Finance, vol. 3 (2014), pg. 43-85. SSRN PDF
  24. Marcos Lopez de Prado, "Stochastic flow diagrams add topology to the econometric toolkit," manuscript. SSRN PDF
  25. Jung H. Song, Marcos Lopez de Prado, Horst D. Simon and Kesheng Wu, "Exploring irregular time series through the non-uniform Fourier transform," Proceedings of the International Conference for High Performance Computing, IEEE, 2014. SSRN PDF
  26. Neil Calkin and Marcos Lopez de Prado, "Stochastic flow diagrams," Algorithmic Finance, vol. 3 (2014), pg. 21-42. SSRN PDF
  27. David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu, "Pseudo-mathematics and financial charlatanism: The effects of backtest over fitting on out-of-sample performance," Notices of the American Mathematical Society, May 2014, pg. 458-471. AMS Notices PDF | SSRN PDF | Preprint PDF
  28. Marcos Lopez de Prado and Matthew Foreman, "A mixture of Gaussians approach to mathematical portfolio oversight: The EF3M algorithm," Quantitative Finance, vol. 14 (2014), pg. 913-930. SSRN PDF
  29. Marcos Lopez de Prado, "Quantitative meta-strategies," Institutional Investor Journals: Practical Applications, vol. 2, no. 3 (2014), p. 1-3. SSRN PDF
  30. David H. Bailey and Marcos Lopez de Prado, "Stop-outs under serial correlation and the 'triple penance' rule," Journal of Risk, vol. 18 (2015), no. 2, pg. 61-93. SSRN PDF
  31. David H. Bailey and Marcos Lopez de Prado, "The deflated Sharpe ratio: Correcting for selection bias, backtest overfitting and non-normality," Journal of Portfolio Management, 31 Jul 2014, available at SSRN PDF | Preprint PDF
  32. David Easley, Marcos Lopez de Prado and Maureen O'Hara, "Optimal execution horizon," Mathematical Finance, vol. 25 (2015), pg. 640-672. SSRN PDF
  33. Marcos Lopez de Prado, "The future of empirical finance," Journal of Portfolio Management, vol. 41 (2015), to appear. SSRN PDF
  34. David H. Bailey and Marcos Lopez de Prado, "Drawdown-based stop-outs and the 'triple penance' rule," Journal of Risk, to appear, 2015. SSRN PDF.
  35. David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu, "The probability of backtest overfitting," Journal of Computational Finance, to appear, 2015. SSRN PDF
  36. David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu, "Mathematical appendices to: 'The probability of backtest overfitting," Journal of Computational Finance, to appear, 2015. SSRN PDF
  37. Marcos Lopez de Prado, "Backtesting," manuscript, 18 May 2015. SSRN PDF
  38. Marcos Lopez de Prado, "Illegitimate science: Why most empirical discoveries in finance are likely wrong, and what can be done about it," presentation slides, 10 May 2015. SSRN PDF
  39. Marcos Lopez de Prado, "Advances in quantitative meta-strategies," manuscript, 13 May 2015. SSRN PDF
  40. David H. Bailey, Jonathan M. Borwein, Amir Salehipour, Marcos Lopez de Prado and Qiji Zhu, "Online tools for demonstration of backtest overfitting," manuscript, 29 Nov 2015. Preprint PDF | SSRN PDF
  41. David H. Bailey, Stephanie Ger, Marcos Lopez de Prado, Alexander Sim and Kesheng Wu, "Statistical overfitting and backtest performance," Risk-Based and Factor Investing: Quantitative Finance Elsevier, to appear, 2015. SSRN PDF
  42. Marcos Lopez de Prado, "Generalized optimal trading trajectories: A financial quantum computing application, manuscript, 03 Apr 2015. SSRN PDF
  43. Jonathan M. Borwein and Qiji Jim Zhu, "A variational approach to Lagrange multipliers," Journal of Optimization Theory and Applications, 27 May 2015. SSRN PDF
  44. Jonathan M. Borwein, "A very complicated proof of the minimax theorem," Minimax Theory and its Applications, vol. 1 (2015). CARMA PDF
  45. Min Dai, Zhou Yang, Qing Zhang and Qiji Jim Zhu, "Optimal trend following trading rules, Mathematics of Operations Research, to appear, 2015. SSRN PDF
  46. Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu and Marcos Lopez de Prado, "Solving the optimal trading trajectory problem using a quantum annealer," manuscript, 22 Aug 2015. SSRN PDF
  47. David H. Bailey, Jonathan M. Borwein, Amir Salehipour, Marcos Lopez de Prado and Qiji Zhu, "Backtest overfitting in financial markets," Automated Trader, to appear, 9 Feb 2016. SSRN PDF
  48. David H. Bailey, Jonathan M. Borwein and Marcos Lopez de Prado, "Stock portfolio design and backtest overfitting," manuscript, 26 Feb 2016. SSRN PDF
  49. Marcos Lopez de Prado, "Review of 'Algorithmic and High Frequency Trading'," Quantitative Finance, 14 Mar 2016. HTML
  50. Marcos Lopez de Prado, "Mathematics and economics: A reality check," Journal of Portfolio Management, vol. 43 (2016). SSRN PDF
  51. M. Dai, J. Yang, Q. Zhang and Q. J. Zhu, "Optimal trend following trading rules," Mathematics of Operations Research, Vol. 41 Jan. (2016) 626-642.
  52. R. Vince and Q.J. Zhu, "Optimal betting size for the game of Blackjack," Risk Journals: Portfolio Management, vol. 4, (2015) 53-75.
  53. Marcos Lopez de Prado, "Building diversified portfolios that outperform out-of-sample," Journal of Portfolio Management, to appear. SSRN PDF
  54. Marcos Lopez de Prado, "Recent trends in empirical finance," Journal of Portfolio Management, to appear. SSRN PDF