We propose a novel way to assess information processing in a complex environment of market fragmentation. We take a different angle from the price discovery literature, and investigate information processing in the stochastic process driving stock's volatility (volatility discovery). We show...

A reversal pattern in the time series context from 12 to 24 months after the formation of trend following signals is observed in a universe of 55 liquid futures instruments. We find that instruments with sell signals in the trend following portfolio (i.e. "losers") contribute to this type of...

In this paper we extend the methodology of our earlier work (Papailias and Thomakos, 2011) on a modified moving average technical trading rule by allowing short sales. We show how short sales change the trading rule which now acts as a dynamic trailing "stop-and-reverse", instead of a dynamic...