186 citations · 227 across the 4 of their papers we have counts for
8 papers
Black was right: Price is within a factor 2 of Value
J. P. Bouchaud, S. Ciliberti, Y. Lempérière +3
We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend…
Agnostic Risk Parity: Taming Known and Unknown-Unknowns
Raphael Benichou, Yves Lempérière, Emmanuel Sérié +4
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on sym…
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…
Deconstructing the Low-Vol Anomaly
S. Ciliberti, Y. Lempérière, A. Beveratos +4
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others…
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…
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…
On the Behaviour and Stability of Superconducting Currents
Y. Lemperiere, E. P. S. Shellard
We present analytic and numerical results for the evolution of currents on superconducting strings in the classical model. We derive an energy functional for the…