2 papers
q-fin.PR2025
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…
cs.AI2025
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…