Short-term trend-following PnL collapsed post-2008 on small-tick futures due to HFT liquidity withdrawal breaking the market-impact feedback loop, while large-tick contracts remain unaffected.
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2 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
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2026 2verdicts
UNVERDICTED 2representative citing papers
Develops a CVaR continuous-time model combining put options and trend following for tail risk, deriving an HJB equation and illustrating hybrid CVaR reductions via stylized Monte Carlo.
citing papers explorer
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Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following
Short-term trend-following PnL collapsed post-2008 on small-tick futures due to HFT liquidity withdrawal breaking the market-impact feedback loop, while large-tick contracts remain unaffected.
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Tail Risk Management with Puts and Trend Following: A CVaR Framework for Crashes and Drawdowns
Develops a CVaR continuous-time model combining put options and trend following for tail risk, deriving an HJB equation and illustrating hybrid CVaR reductions via stylized Monte Carlo.