5 citations · 8 across the 7 of their papers we have counts for
8 papers
Breaking the Trend: How to Avoid Cherry-Picked Signals
Sebastien Valeyre
Our empirical results show an impressive fit with the theoretical Sharpe formula of a trend-following strategy depending on the parameter of the signal, which was derived by by Gre…
LLMs for Time Series: an Application for Single Stocks and Statistical Arbitrage
Sebastien Valeyre, Sofiane Aboura
Recently, LLMs (Large Language Models) have been adapted for time series prediction with significant success in pattern recognition. However, the common belief is that these models…
Optimal trend following portfolios
Sebastien Valeyre
This paper derives an optimal portfolio that is based on trend-following signal. Building on an earlier related article, it provides a unifying theoretical setting to introduce an…
Refined model of the covariance/correlation matrix between securities
Sebastien Valeyre
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios…
The Reactive Beta Model
Sebastien Valeyre, Denis S. Grebenkov, Sofiane Aboura
We present a reactive beta model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we deriv…
Emergence of correlations between securities at short time scales
S. Valeyre, D. S. Grebenkov, S. Aboura
The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eige…
Should employers pay their employees better? An asset pricing approach
Sebastien Valeyre, Denis Grebenkov, Sofiane Aboura +1
We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on ave…
The Reactive Volatility Model
Sebastien Valeyre, Denis Grebenkov, Sofiane Aboura +1
We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations. This model is a…