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| bio | website | citeulike.org/user/lehalle/… |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 1 month |
| seen | May 11 at 12:03 | |
| stats | profile views | 378 |
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Apr 15 |
awarded | Yearling |
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Mar 4 |
answered | Geometric Brownian Motion with non-negative random increments |
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Feb 27 |
comment |
Why do high frequency traders use rapidly cancelled limit orders? You will find some generic knowledge about these kind of topics in this paper: Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process - arxiv.org/abs/1302.4592 |
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Feb 15 |
awarded | Revival |
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Feb 5 |
comment |
Position management and market-making techniques @Freddy of course you are right. The fact is that market making loose money in case of unexpected jump. Of course in the model of the paper you can obtain some robustness to jump (if you compensate it on the intensity of the flow). But you will post quotes very far away from the mid point, thus beging out of the market more often. |
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Feb 5 |
comment |
Position management and market-making techniques @Serg: this assumption is commonly used, to avoid it, you should have a "passive market impact model". Nobody have one. The only other possible viewpoint (according to me at least), is to be 100% non parametric. I develop such a viewpoint in "Optimal posting price of limit orders: learning by trading" with S Laruelle et G Pagès ( arxiv.org/abs/1112.2397 ). Very good question about testing the optimal policy against the 'theoretical model', it is the usual first step and we implemented it. It works as soon as the volatility is not too high (as expected). |
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Feb 4 |
comment |
Position management and market-making techniques yes I am one of the authors of the paper, @Freddy, the assumptions we made are realistic in the sense that when the market is not "stressed", they are reasonable. When the market is stressed, no model will work... |
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Feb 3 |
answered | Position management and market-making techniques |
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Jan 3 |
awarded | Necromancer |
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Dec 27 |
awarded | Necromancer |
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Nov 24 |
awarded | Necromancer |
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Oct 3 |
awarded | Nice Answer |
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Sep 23 |
answered | normalized accumulation distribution |
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Sep 21 |
awarded | Custodian |
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Sep 1 |
comment |
Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance) welcome at quant.se |
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Aug 31 |
awarded | Student |
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Aug 31 |
comment |
Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance) it is not "my" question, so I will eventually post answers... |
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Aug 31 |
answered | Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance) |
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Aug 31 |
asked | Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance) |
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Aug 30 |
revised |
Equivalent (true) Martingale Measures and no-arbitrage conditions edited body |
