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Trend-Following and Kelly

Thorp - Inefficient Markets

Markets are efficient if and only if P = NP
An illustration by way of partitioning the excess returns to momentum strategies based on data availability confirms this prediction

2018 Sornette Awareness of crash risk improves Kelly strategies in simulated financial time series

public Inelastic market hypothesis and TREND!

  • phase digram - on the plane of price impact and leverage

3 regimes - behavioural regions!! - stable and unstable regions of the price

On the Profitability of Momentum Strategies and Optimal Leverage Rules