Risk premia: Asymmetric tail risks and excess returns

Y Lemperiere, C Deremble, TT Nguyen… - Quantitative …, 2017 - Taylor & Francis
One of the pillars of modern finance theory is the concept of ‘risk premium’, ie that a more risky
investment should, on the long run, also be more profitable. The argument leading to such …

Deconstructing the low-vol anomaly

…, S Ciliberti, L Laloux, Y Lempérière… - Journal of Portfolio …, 2017 - search.proquest.com
… As follows from our discussion of Lempérière et al. [2017], this confirms the intuitive conclusion
that the excess return associated with low-vol stocks cannot be interpreted as a hidden (…

The Size Premium in Equity Markets: Where Is the Risk?

…, E Sérié, G Simon, Y Lempérière… - The Journal of …, 2019 - jpm.pm-research.com
… Then we computed the three quantities of interest over the same time period and put it on
the y-axis. We show here a rolling average of these quantities as a function of the rank. The …

Two centuries of trend following

Y Lempérière, C Deremble, P Seager, M Potters… - arXiv preprint arXiv …, 2014 - arxiv.org
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 …

Anomalous price impact and the critical nature of liquidity in financial markets

B Tóth, Y Lemperiere, C Deremble, J De Lataillade… - Physical Review X, 2011 - APS
We propose a dynamical theory of market liquidity that predicts that the average supply/demand
profile is V shaped and vanishes around the current price. This result is generic, and …

Black was right: Price is within a factor 2 of value

JP Bouchaud, S Ciliberti, Y Lempériere… - arXiv preprint arXiv …, 2017 - arxiv.org
… a point (x, y) where x is the detrended past return on scale τ< and y the de-trended future …
For each each pool we group points (x, y) in sub-pools associated with different τ<. Then we fit …

Vorton existence and stability

Y Lemperiere, EPS Shellard - Physical review letters, 2003 - APS
We present the first concrete evidence for the classical stability of vortons, circular cosmic
string loops stabilized by the angular momentum of the charge and current trapped on the …

On the behaviour and stability of superconducting currents

Y Lemperiere, EPS Shellard - Nuclear Physics B, 2003 - Elsevier
We present analytic and numerical results for the evolution of currents on superconducting
strings in the classical U(1)×U(1) model. We derive an energy functional for the currents and …

Tail protection for long investors: Trend convexity at work

TL Dao, TT Nguyen, C Deremble, Y Lemperiere… - arXiv preprint arXiv …, 2016 - arxiv.org
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 holds …

Agnostic risk parity: Taming known and unknown-unknowns

R Benichou, Y Lempérière, J Kockelkoren… - arXiv preprint arXiv …, 2016 - arxiv.org
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 symmetry …