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!
https://www.researchgate.net/publication/309572830_Meta-CTA_Trading_Strategies_based_on_the_Kelly_Criterion
- phase digram - on the plane of price impact and leverage
3 regimes - behavioural regions!! - stable and unstable regions of the price