{"paper":{"title":"Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["q-fin.PM"],"primary_cat":"q-fin.TR","authors_text":"Adam Rej, Jean-Philippe Bouchaud, Jutta G. Kurth, Zoltan Eisler","submitted_at":"2026-07-02T00:16:17Z","abstract_excerpt":"Systematic trend following has, on average, been profitable for at least two centuries; yet since approximately 2009, short-term trends have ceased to deliver reliable returns. Using a cross-section of roughly 100 liquid futures contracts spanning 1995-2025, together with an industry-representative CTA proxy, we document the break and characterise its dependence on signal speed and asset class. We evaluate four candidate explanations - capacity constraints, market electronification, a regime change in CTA-versus-order-flow interactions, and a microstructural mechanism - and find that the first"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2607.01550","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2607.01550/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}