186 citations · 190 across the 2 of their papers we have counts for
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q-fin.PM2014★ 4 cited
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…
q-fin.PM2012
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…