Sebastien Valeyre
Valeyre Research
Sebastien Valeyre is the founder and head of research at Valeyre Research who provide hedge funds with automatized and systematic signals used for mid-frequency trend-following trading in equities and cross-asset futures. Prior to this, he was a partner at John Locke Investments. In 2010 he launched a pure statistical arbitrage fund, the John Locke Equity Market Neutral Fund, which was one of the most successful funds in its category. Dr Valeyre was the fund manager and was also head of research. He has also held posts with BPHI Capital, Autorité de Sureté Nucléaire and the Commissariat à l’Energie. Atomique. Sebastien holds a PhD degree in Economics from the Sorbonne Paris Cite University, a Master of Science in Finance from Dauphine University, a Master of Science from Imperial College, and a Master of Science in Physics from Ecole Supérieure de Physique et Chimie Industrielles de Paris (ESPCI).
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Articles by Sebastien Valeyre
Optimal trend-following portfolios
This paper presents a unifying theoretical setting to introduce an autocorrelation model and derives an optimal portfolio based on a trend-following signal.