121 citations · 286 across the 9 of their papers we have counts for
12 papers
Trends and Risk Premia: Update and Additional Plots
Tung-Lam Dao, Daniel Hoehener, Yves Lempérière +3
Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years…
Tail protection for long investors: Trend convexity at work
Tung-Lam Dao, Trung-Tu Nguyen, Cyril Deremble +3
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it…
Momentum Strategies with L1 Filter
Tung-Lam Dao
In this article, we discuss various implementation of L1 filtering in order to detect some properties of noisy signals. This filter consists of using a L1 penalty condition in orde…
Skew and implied leverage effect: smile dynamics revisited
Vincent Vargas, Tung-Lam Dao, Jean-Philippe Bouchaud
We revisit the ``Smile Dynamics'' problem, which consists in relating the implied leverage (i.e. the correlation of the at-the-money volatility with the returns of the underlying)…
Two-component Bose gases with one-body and two-body couplings
Samuel Lellouch, Tung-Lam Dao, Thomas Koffel +1
We study the competition between one-body and two-body couplings in weakly-interacting two-component Bose gases, in particular as regards field correlations. We derive the meanfiel…
Mott transition of fermionic mixtures with mass imbalance in optical lattices
T. -L. Dao, M. Ferrero, P. S. Cornaglia +1
We investigate the effect of mass imbalance in binary Fermi mixtures loaded in optical lattices. Using dynamical mean-field theory, we study the transition from a fluid to a Mott i…