The award was presented in recognition of the pair’s solution to a longstanding problem in mathematical finance: How can market makers and execution traders manage their orders optimally?
According to the authors, the research has broad implications for all market participants. “It is to everybody’s advantage to have more market liquidity and our hope is that this work will help market making operations to be more efficient and avoid unnecessary losses,” Dr. Lopez de Prado said.
Past winners of this award include Dr. Jean-Philippe Bouchaud, founder of Capital Fund Management and a member of the French Academy of Sciences, and Dr. Gordon Ritter, adjunct professor at New York University’s Courant Institute of Mathematical Sciences. In 2019, the Journal of Portfolio Management also named Dr. Lopez de Prado Quant of the Year, for his contributions to financial machine learning.
The full Risk.net article announcing the award can be found here and the research paper can be viewed here.
