2,938 reputation
922
bio website citeulike.org/user/lehalle/…
location Paris, France
age 43
visits member for 2 years
seen 1 hour ago

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


1d
awarded  Yearling
Apr
12
revised How 'High' is the frequency in HFT?
edited tags
Mar
23
comment Definition of orthogonality and independence for a stochastic processes
As usual with Gaussianity; since you have in mind Gaussian processes, yes: correlations=0 is equivalent to independence.
Mar
11
answered Optimal Executions for Minimizing Slippage
Mar
6
comment Measuring Behavioral Finance Effects in Fund/Portfolio Manager Analysis
@user2921 you meant this paper www2.warwick.ac.uk/fac/soc/economics/news_events/calendar/…
Mar
2
revised How to use a realized kernel?
edited tags
Mar
2
answered How to use a realized kernel?
Feb
22
answered What are some of the best quantitative finance websites?
Feb
22
revised Is there any academic material regarding robust optimization with fixed transaction costs?
added 1 characters in body
Feb
19
comment How do I simulate stock prices for a 10 asset portfolio, over a period of 10 years in MATLAB?
there is the full commented code on this wii: en.literateprograms.org/Monte_Carlo_simulation_(Matlab)
Feb
18
revised epps-effect wiki excerpt
added 394 characters in body
Feb
18
revised Can we model components in a set of multivariate multi-period time-series data?
added 41 characters in body
Feb
18
wiki created epps-effect excerpt
Feb
18
suggested suggested edit on epps-effect tag wiki excerpt
Feb
18
revised Can we model components in a set of multivariate multi-period time-series data?
edited tags
Feb
18
answered Can we model components in a set of multivariate multi-period time-series data?
Feb
16
revised Optimal execution strategy
added 268 characters in body
Feb
16
revised Is there any academic material regarding robust optimization with fixed transaction costs?
added 1436 characters in body
Feb
16
answered Is there any academic material regarding robust optimization with fixed transaction costs?
Feb
15
awarded  Autobiographer