3,854 reputation
932
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 11 months
seen 2 hours ago

Mathematician, 12 years in automotive, aerospace and defense industry, 9 years in financial markets.


1d
reviewed No Action Needed Calculate efficient frontier using fPortfolio with incomplete set of returns
1d
reviewed No Action Needed Building custom indices; getting data from web; stats analysis; Python or R?
Mar
28
answered Garch for covariance matrix?
Mar
27
reviewed Reviewed Stock market prediction
Mar
27
reviewed No Action Needed Lease Accounting / FX Embedded Derivatives
Mar
27
reviewed No Action Needed Can I do a GARCH model to forecast a time series?
Mar
27
comment The use of GARCH
I try to focus my answers on market microstructure, @MattWolf , my plan is not to write tutorials on time series here... Let's hope we have another user who will contribute on this...
Mar
26
comment The use of GARCH
@MattWolf it would be great to read something like: the ARIMA on the returns will provide you this feature [biblio] but you have remaining heteroskedasticity on the residuals, use a GARCH to capture it [biblio again]. By the way, are you sure that if you generate your data by GARCH+ARIMA the parameters estimated that way will be unbiased ;{)} ?
Mar
25
comment The use of GARCH
Your answer is too short, @user2142 , it is good for a comment but if you want to post it as a question, please ellaborate.
Mar
25
reviewed No Action Needed IB with R which package?
Mar
25
reviewed No Action Needed Building curves using onshore or offshore JPY overnight rates?
Mar
25
comment Use of Stochastic Calculus in QF
It is too board indeed, have a look at the Karatzas and Shreve springer.com/gp/book/9780387948393 and improve your question.
Mar
25
reviewed No Action Needed What is the fair price of this option?
Mar
25
reviewed No Action Needed Downloading Data from Interactive Brokers using IbPy
Mar
25
reviewed No Action Needed Numerical delta of Bond Options
Mar
18
reviewed No Action Needed Right metric to manage a portfolio based on correlation?
Mar
16
reviewed Leave Closed CFA (Level 1) schedule after school and working a 9-5 job
Mar
16
revised Determination of Quote / Trade Ratio
edited tags
Mar
16
answered Determination of Quote / Trade Ratio
Mar
11
answered What is an efficient data structure to model order book?