2 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…
math.OC2026
Optimal execution with deterministically time varying liquidity: well posedness and price manipulation
Gianluca Palmari, Fabrizio Lillo, Zoltan Eisler
We investigate the well-posedness in the Hadamard sense and the absence of price manipulation in the optimal execution problem within the Almgren-Chriss framework, where the tempor…