186 citations · 190 across the 2 of their papers we have counts for
5 papers
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…
Risk Premia: Asymmetric Tail Risks and Excess Returns
Y. Lempérière, C. Deremble, T. T. Nguyen +3
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skew…
Two centuries of trend following
Y. Lempérière, C. Deremble, P. Seager +2
We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very l…
Optimal Trading with Linear Costs
Joachim de Lataillade, Cyril Deremble, Marc Potters +1
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recur…
Anomalous price impact and the critical nature of liquidity in financial markets
Bence Toth, Yves Lemperiere, Cyril Deremble +3
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is gener…