Research Publications

ADIA Lab's Research Series showcases our latest publications in data and computational sciences, addressing critical topics such as causal factor investing, market dynamics, and the intersection of physics and finance.

These publications reflect our commitment to advancing knowledge and bridging theory with practical applications. We invite researchers, practitioners, and academics to engage with our work and contribute to the ongoing discourse in these vital areas.

Recent Publications

Lopez de Prado, M., A. Lipton, and V. Zoonekynd (2024): “The Case for Causal Factor Investing.” ADIA Lab Research Paper Series, No. 9

Lipton, A., A. Antonov, and M. Lopez de Prado (2024): "Overcoming Markowitz's Instability with the Help of the Hierarchical Risk Parity (HRP): Theoretical Evidence." ADIA Lab Research Paper Series, No. 8.

Lopez de Prado, M., and V. Zoonekynd (2024): “Why Has Factor Investing Failed?: The Role of Specification Errors.” ADIA Lab Research Paper Series, No. 7.

Lipton, A. (2023): “Hydrodynamics of Markets: Hidden Links Between Physics and Finance.” ADIA Lab Research Paper Series, No. 6.

Chung, J, M. Lopez de Prado, H. Simon, and K. Wu (2023): “Data Driven Dimensionality Reduction to Improve Modelling Performance.” ADIA Lab Research Paper Series, No. 5.

Lopez de Prado, M. (2023): “Ranking Empirical Evidence in Finance.” ADIA Lab Research Paper Series, No. 4.

Díaz-Rodríguez, N., J. Del Ser, M. Coeckelbergh, M. Lopez de Prado, E. Herrera-Viedma, and F. Herrera (2023): "Connecting the Dots in Trustworthy Artificial Intelligence: From AI Principles, Ethics, and Key Requirements to Responsible AI Systems and Regulation." ADIA Lab Research Paper Series, No. 3.

Lopez de Prado, M. (2023): “Where are the Factors in Factor Investing?” ADIA Lab Research Paper Series, No. 2.

Lopez de Prado, M. (2022): “Causal Factor Investing: Can factor investing become scientific?” ADIA Lab Research Paper Series, No. 1.