Cover Image

Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Etienne, Alban, Ohana, Jean-Jacques, Benhamou, Eric, Guez, Béatrice, Setrouk, Ethan, Jacquot, Thomas
Format:	Preprint
Published:	2025
Subjects:	Pricing of Securities Portfolio Management Risk Management Trading and Market Microstructure Machine Learning
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Building Trust in Illiquid Markets: an AI-Powered Replication of Private Equity Funds
by: Benhamou, E., et al.
Published: (2025)

Re-evaluating Short- and Long-Term Trend Factors in CTA Replication: A Bayesian Graphical Approach
by: Benhamou, Eric, et al.
Published: (2025)

Bimodal Dynamics of the Artificial Limit Order Book Stock Exchange with Autonomous Traders
by: Steinbacher, Matej, et al.
Published: (2025)

Construction and Hedging of Equity Index Options Portfolios
by: Wysocki, Maciej, et al.
Published: (2024)

Trade execution games in a Markovian environment
by: Ohnishi, Masamitsu, et al.
Published: (2024)

Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options
by: Wysocki, Maciej
Published: (2025)

Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns
by: Gharanchaei, Maysam Khodayari, et al.
Published: (2024)

Loss-Versus-Rebalancing under Deterministic and Generalized block-times
by: Nezlobin, Alex, et al.
Published: (2025)

Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities
by: Chen, Zixing, et al.
Published: (2025)

Refining and Robust Backtesting of A Century of Profitable Industry Trends
by: Massaad, Alessandro, et al.
Published: (2024)

Automated Market Making and Arbitrage Profits in the Presence of Fees
by: Milionis, Jason, et al.
Published: (2023)

Automated Market Making and Loss-Versus-Rebalancing
by: Milionis, Jason, et al.
Published: (2022)

Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025)
by: Singha, Mainak, et al.
Published: (2025)

Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data
by: Rosenzweig, Jan
Published: (2026)

Do Mutual Funds Make Active and Skilled Liquidity Choices in Portfolio Management? Evidence from India
by: Agarwal, Pankaj K, et al.
Published: (2025)

Overreaction as an indicator for momentum in algorithmic trading: A Case of AAPL stocks
by: Lis, Szymon, et al.
Published: (2026)

Pools as Portfolios: Observed arbitrage efficiency & LVR analysis of dynamic weight AMMs
by: Willetts, Matthew, et al.
Published: (2026)

Generating realistic metaorders from public data
by: Maitrier, Guillaume, et al.
Published: (2025)

Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets
by: Lu, Yutong, et al.
Published: (2023)

PEARL: Private Equity Accessibility Reimagined with Liquidity
by: Benhamou, E., et al.
Published: (2025)

Strict universality of the square-root law in price impact across stocks: a complete survey of the Tokyo stock exchange
by: Sato, Yuki, et al.
Published: (2024)

Mislearning of Factor Risk Premia under Structural Breaks: A Misspecified Bayesian Learning Framework
by: Qiu, Yimeng
Published: (2026)

Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
by: Wood, Kieran, et al.
Published: (2023)

Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model
by: Kurth, Jutta G., et al.
Published: (2025)

Optimal Quoting under Adverse Selection and Price Reading
by: Barzykin, Alexander, et al.
Published: (2025)

Quality-Adjusted Hit-Ratio Targeting in Corporate Bond Market Making
by: Niang, Bouna
Published: (2026)

Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
by: He, Yifan, et al.
Published: (2024)

Autonomous Market Intelligence: Agentic AI Nowcasting Predicts Stock Returns
by: Chen, Zefeng, et al.
Published: (2026)

From Hypotheses to Factors: Constrained LLM Agents in Cryptocurrency Markets
by: Huang, Yikuan, et al.
Published: (2026)

Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
by: Korniejczuk, Adam, et al.
Published: (2024)

A novel approach to trading strategy parameter optimization using double out-of-sample data and walk-forward techniques
by: Mroziewicz, Tomasz, et al.
Published: (2026)

A Practical Machine Learning Approach for Dynamic Stock Recommendation
by: Yang, Hongyang, et al.
Published: (2025)

Deepening the Secondary Market: Integrating Trade Credit into Market Clearing with the Cycles Protocol
by: Fleischman, Tomaž, et al.
Published: (2026)

Discovery of a 13-Sharpe OOS Factor: Drift Regimes Unlock Hidden Cross-Sectional Predictability
by: Singha, Mainak
Published: (2025)

On the Hawkes Process with Different Exciting Functions
by: Mehrdad, Behzad, et al.
Published: (2014)

Push-response anomalies in high-frequency S&P 500 price series
by: Vlasiuk, Dmitrii, et al.
Published: (2025)

Deep Learning for Options Trading: An End-To-End Approach
by: Tan, Wee Ling, et al.
Published: (2024)

MadEvolve: Evolutionary Optimization of Trading Systems with Large Language Models
by: Kvasiuk, Yurii, et al.
Published: (2026)

Kernel Learning for Mean-Variance Trading Strategies
by: Futter, Owen, et al.
Published: (2025)

Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy
by: Yang, Hongyang, et al.
Published: (2025)