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Trend followers lose more often than they gain

E-print: http://arxiv.org/abs/physics/0508104

17 August 2005

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Large dimension forecasting models and random singular value spectra

E-print: http://arxiv.org/abs/physics/0512090

2 February 2008

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Optimal Time to Sell a Stock in Black-Scholes Model: Comment on 'Thou shall buy and hold'

28 September 2008

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Momentum Strategies with L1 Filter

E-print: http://arxiv.org/abs/1403.4069

14 March 2014

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Two centuries of trend following

E-print: http://arxiv.org/abs/1404.3274

12 April 2014

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Signal-wise performance attribution for constrained portfolio optimisation

E-print: http://arxiv.org/abs/1404.4798

18 April 2014

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Tail protection for long investors: convexity at work

E-print: http://ssrn.com/abstract=2777657

9 May 2016

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The 'Size Premium' in Equity Markets: Where is the Risk?

E-print: https://arxiv.org/abs/1708.00644

1 August 2017

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Black was right: Price is within a factor 2 of Value

E-print: https://ssrn.com/abstract=3070850

17 November 2017

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Co-existence of Trend and Value in financial markets: Estimating an Extended Chiarella Model

E-print: https://arxiv.org/abs/1807.11751

6 August 2018

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Zooming in on Equity Factor Crowding

E-print: https://arxiv.org/pdf/2001.04185.pdf

14 January 2020

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