The False Strategy Theorem: A Financial Application of Experimental Mathematics

Abstract

The late Jonathan M. Borwein excelled at a wide range of mathematical fields. He is perhaps best known for his work in experimental mathematics and optimization. But his interests extended far beyond these two arenas, often to unexpected topics. Unbeknownst to many, he also made important contributions to mathematical finance, and additionally published studies concerned with the reproducibility of scientific discoveries in numerous different fields. In this article, we have attempted to merge some of these seemingly unrelated topics, elucidating a common thread connecting them all.

Keywords:

• MSC: Primary 62P05
• Secondary 91G15
• 91G70

Additional information

Notes on contributors

Marcos López de Prado

Marcos López de Prado earned a Ph.D. in financial economics (2003), a second Ph.D. in mathematical finance (2011) from the Universidad Complutense de Madrid, and is a recipient of Spain’s National Award for Academic Excellence (1999). He is currently a Professor of Practice at Cornell University’s School of Engineering, a Professor of Practice at Khalifa University, and also serves as Global Head of Quantitative Research and Development for the Abu Dhabi Investment Authority.

Cornell University, Ithaca, NY 14853, USA

[email protected]

David H. Bailey

David H. Bailey earned a Ph.D. in mathematics from Stanford University (1977). He is a recipient of the Chauvenet Prize and the Merten M. Hesse Prize from the Mathematical Association of America, and the Levi L. Conant Prize from the American Mathematical Society. He has retired from the Lawrence Berkeley National Laboratory, but continues as a Research Associate at the Laboratory and also at the University of California, Davis.

Department of Computer Science, University of California, Davis, CA 95616, USA

[email protected]