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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…
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…
Multivariate Quadratic Hawkes Processes -- Part II: Non-Parametric Empirical Calibration
Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., B…
The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility II: An Artificial Market Generator
Guillaume Maitrier, Grégoire Loeper, Jean-Philippe Bouchaud
This work extends and complements our previous theoretical paper on the subtle interplay between impact, order flow and volatility. In the present paper, we generate synthetic mark…
The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework
Guillaume Maitrier, Jean-Philippe Bouchaud
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with tim…
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…