[Back to Intro]

COLLABORATION NETWORK

Below is a summarized collaboration network, which makes it easy to visualize three main clusters: Pure Mathematics (centered around Paul Erdős and the Fields-Nevanlinna medallists), Mathematical Finance (centered around the Carr-Geman-Madan-Yor team) and Financial Econometrics (centered around the Nobel Laureates in Economics).

Research Collaboration Network - Lopez de Prado

NODES EDGES
RED: Fields Medal, Abel Prize or Nevanlinna Prize.
BLUE: Nobel Prize in Physics.
GREEN: Nobel Prize in Economics.
SQUARED: Wolf Prize or Chauvenet Prize.
RED: Mathematical publication.
BLUE: Physics publication.
GREEN: Financial Econometrics publication.
 

An author collaboration network. [Source: American Mathematical Society, SSRN]

Contrary to common belief, modern mathematical research is a highly collaborative enterprise, where teams of researchers pursue a common interest and build upon each others' innovations. A formalized field lends itself to team-working because concepts can be rigorously defined and debated (see the Polymath project for astonishing examples of massive collaboration).

 

CO-AUTHORS

Below is a partial list (in alphabetic order) of the ~30 co-authors with whom I have had the fortune to do research and publish some of our results.

NAME FIELD # WORKS COMMENTS
Dr. Robert Almgren Market Microstructure
High Frequency Trading
[1]
Dr. David H. Bailey Experimental Mathematics
Computational Research
Mathematical Finance
[1], [2], [3], [4], [5], [6], [7], [8], [9], [10], [11], [12], [13], [14], [15]
Dr. Wes Bethel Computer Science [1]
Dr. Jonathan M. Borwein,
FAMS, FRSC, FAAAS, FBAS, FAA
Variational Analysis
Computational Research
Mathematical Finance
[1], [2], [3], [4], [5], [6]
Dr. Stephen P. Boyd Convex optimization
Stochastic Control
Dynamical Systems
[1]
  • Samsung Professor, School of Engineering, Stanford University.

  • Member of the National Academy of Engineering.

  • Fellow of the IEEE, SIAM, and INFORMS.

  • Distinguished Lecturer of the IEEE Control Systems Society.

  • Known for:

Dr. Neil J. Calkin Graph Theory
Combinatorial Methods
Number Theory
[1], [2]
Dr. Peter P. Carr Mathematical Finance
Stochastic Processes
Optimal Control
[1], [2]
Dr. David A. Easley Market Microstructure
High Frequency Trading
Computer Science
[1], [2], [3], [4], [5], [6], [7], [8]
Dr. Frank Fabozzi Mathematical Finance [1], [2], [3]
Dr. Matthew D. Foreman Set Theory
Mathematical Finance
[1]
Dr. Phil Goddard Quantum Physics
Quantum Computing
[1]
  • Head of Research, 1QBit.
  • President and Principal Consultant, Goddard Consulting.
  • Visiting Lecturer, Beedie School of Business, Simon Fraser University.
  • Ph.D. in Engineering from the University of Cambridge.
Dr. Ming Gu Optimization and Numerical Methods [1]
  • Faculty, Department of Mathematics, University of California, Berkeley.
Dr. Terry Hendershott Market Microstructure
High Frequency Trading
[1]
  • Chair, Operations and Information Technology, University of California, Berkeley.
  • Known for:
    • NYSE-Euronext Award, WFA Meetings.
    • NASDAQ Award, FMA.
Dr. Charles Jones Market Microstructure
High Frequency Trading
[1]
  • Professor of Finance, Columbia University.
  • Known for:
    • FINRA Economic Advisory Committee.
    • NASDAQ Economic Advisory Board.
    • Roger F. Murray Prize, Q Group.
    • NYSE-Euronext Award, WFA Meetings.
    • Best Paper Award, Review of Financial Studies.
Dr. Michael Kearns Machine Learning
High Frequency Trading
Operations Research
[1]
  • Chair, Department of Computer and Information Science, University of Pennsylvania.
  • Quantitative Portfolio Manager, SAC Capital.
  • Former Co-Head of Systematic Trading, Bank of America.
  • Known for:
Dr. David J. Leinweber Machine Learning
Mathematical Finance
[1], [2]
Dr. Oliver Linton, FBA Market Microstructure
High Frequency Trading
[1]
Dr. Albert Menkveld Market Microstructure
High Frequency Trading
[1]
  • Professor of Finance, VU University Amsterdam.
  • Known for:
    • Best Paper Award, American Finance Association.
    • NYSE-Euronext Award, WFA Meetings.
    • Royal Dutch Economic Association Award.
Dr. Yuryi Nevmyvaka Machine Learning
High Frequency Trading
Operations Research
[1]
  • Quantitative Portfolio Manager, SAC Capital.
  • Former Co-Head of Systematic Trading, Bank of America.
  • Known for:
    • Best Paper Award, Journal of Trading, 2010.
Dr. Richard Olsen Market Microstructure
High Frequency Trading
[1]
Dr. Maureen O'Hara Market Microstructure
High Frequency Trading
[1], [2], [3], [4], [5], [6], [7], [8]
  • Professor of Finance, Johnson Graduate School of Management, Cornell University.
  • Chairman of the Board of Directors, Investment Technology Group.
  • Member, CFTC-SEC Emerging Regulatory Issues Task Force.
  • Member, Advisory Board, Office of Financial Research, U.S. Department of Treasury.
  • Board of Trustees, TIAA-CREF.
  • Fellow of the American Finance Association.
  • Former President, American Finance Association.
  • Former President, Western Finance Association.
  • Former President, Society for Financial Studies.
  • Former President, International Atlantic Economic Society.
  • Former President, Financial Management Association.
  • Known for:
Dr. Achim Peijan Mathematical Finance [1]
  • Executive Director, Global Asset Allocation, UBS.
Dr. Eva del Pozo Mathematical Finance [1]
  • Professor of Mathematical Finance, Complutense University.
  • Vice-Dean of Quality Assurance, Business School, Complutense University.
Dr. Riccardo Rebonato Mathematical Finance [1]
Dr. Oliver Ruebel Computer Science [1]
Dr. Horst Simon Computer Science
Supercomputing Algorithms
[1], [2], [3]
Dr. George Sofianos Market Microstructure
High Frequency Trading
[1]
  • Head of Equity Execution Strategies, Goldman Sachs.
  • Former Head of Research at NYSE.
  • Former Researcher, Federal Reserve Bank of New York.
Dr. Michael Sotiropoulos Market Microstructure
High Frequency Trading
[1]
  • Managing Director, Quantitative Research, Bank of America Merrill Lynch.
Ralph Vince Computer Science
Game Theory
[1]
Dr. Kesheng Wu Computer Science [1], [2], [3], [4], [5], [6]
Dr. Jim Zhu Variational Analysis
Computational Research
Mathematical Finance
[1], [2], [3], [4], [5], [6]
Dr. Jean-Pierre Zigrand Market Microstructure
High Frequency Trading
[1]
  • Professor, Department of Finance, London School of Economics.