ADIA Lab Seminar Series
The ADIA Lab Seminar Series aims to explore the latest trends and technologies in Data Science, Artificial Intelligence, Machine Learning, and High-Performance Computing across all major fields of study.
It aligns with ADIA Lab’s commitment to collaborating with global thought leaders to play a proactive role in contributing to the continued development of Abu Dhabi’s digital ecosystem.
The ADIA Lab Seminar Series will continue to run year-round, with further events to be announced on an ongoing basis, and will be held both in-person and virtually in order to reach a global audience. Seminars are open to people with relevant experience, and are free to attend.
News of future events will be published on the ADIA Lab website.
Can Factor Investing Become Scientific?
12 January 2023, 6:00pm UAE time
Prof. Marcos Lopez de Prado
ADIA Lab Advisory Board Member
Global Head – Quantitative Research & Development, Abu Dhabi Investment Authority
Research Fellow, Lawrence Berkeley National Laboratory (U.S. Office of Science)
Professor of Practice, School of Engineering, Cornell University, Professor of Practice, Department of Mathematics, Khalifa University
In recognition of his work to advance the adoption of machine learning and supercomputing in investing, Prof. López de Prado has received various scientific awards, including the National Award for Academic Excellence for the year 1999 by the Kingdom of Spain, the Quant of the Year 2019 Award by The Journal of Portfolio Management, and the Buy-Side Quant of the Year 2021 Award by Risk.
Before joining ADIA in 2020, Prof. López de Prado was a Partner at AQR Capital Management, and a Senior Managing Director at Guggenheim Partners, where he managed up to USD 13 billion.
Seminar Overview: Virtually all journal articles in the factor investing literature make associational claims, instead of causal claims. Authors do not identify the causal graph consistent with the observed phenomenon, they justify their chosen model specification in terms of correlations, and they do not propose experiments for falsifying causal mechanisms. Absent a causal theory, their findings are likely false, due to rampant backtest overfitting and incorrect specification choices. Prof. Lopez de Prado will differentiate between type-A and type-B spurious claims, and explain how both types prevent factor investing from advancing beyond its current pre-scientific stage. This seminar analyzes the current state of causal confusion in the factor investing literature, and proposes solutions with the potential to transform factor investing into a truly scientific discipline. More details available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4205613
VENUE Online-only, admission limited to first 1,000 registered
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