3 papers
q-fin.TR2026
Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following
Jutta G. Kurth, Zoltan Eisler, Adam Rej +1
Systematic trend following has, on average, been profitable for at least two centuries; yet since approximately 2009, short-term trends have ceased to deliver reliable returns. Usi…
q-fin.TR2026
Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model
Jutta G. Kurth, Adam A. Majewski, Jean-Philippe Bouchaud
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration…
q-fin.TR2026
Stationary Distributions of the Mode-switching Chiarella Model
Jutta G. Kurth, Jean-Philippe Bouchaud
We derive the stationary distribution in various regimes of the extended Chiarella model of financial markets. This model is a stochastic nonlinear dynamical system that encompasse…