5 papers
E-TRENDS: Enhanced LSTM Trend Forecasting for Equities
Harris Buchanan, Eric Benhamou
Trend-following strategies underpin many systematic trading approaches yet struggle under nonstationary and nonlinear market regimes. We propose an LSTM-based framework to forecast…
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…
FinMarBa: A Market-Informed Dataset for Financial Sentiment Classification
Baptiste Lefort, Eric Benhamou, Beatrice Guez +3
This paper presents a novel hierarchical framework for portfolio optimization, integrating lightweight Large Language Models (LLMs) with Deep Reinforcement Learning (DRL) to combin…
HARLF: Hierarchical Reinforcement Learning and Lightweight LLM-Driven Sentiment Integration for Financial Portfolio Optimization
Benjamin Coriat, Eric Benhamou
This paper presents a novel hierarchical framework for portfolio optimization, integrating lightweight Large Language Models (LLMs) with Deep Reinforcement Learning (DRL) to combin…
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…