1 citations · 1 across the 3 of their papers we have counts for
4 papers
Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy
Alban Etienne, Jean-Jacques Ohana, Eric Benhamou +3
Recent work has emphasized the diversification benefits of combining trend signals across multiple horizons, with the medium-term window-typically six months to one year-long viewe…
Re-evaluating Short- and Long-Term Trend Factors in CTA Replication: A Bayesian Graphical Approach
Eric Benhamou, Jean-Jacques Ohana, Alban Etienne +3
Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directiona…
Examining Independence in Ensemble Sentiment Analysis: A Study on the Limits of Large Language Models Using the Condorcet Jury Theorem
Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana +3
This paper explores the application of the Condorcet Jury theorem to the domain of sentiment analysis, specifically examining the performance of various large language models (LLMs…
Stress index strategy enhanced with financial news sentiment analysis for the equity markets
Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana +3
This paper introduces a new risk-on risk-off strategy for the stock market, which combines a financial stress indicator with a sentiment analysis done by ChatGPT reading and interp…