3,583 reputation
930
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 6 months
seen Oct 12 at 17:48

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


Aug
23
revised Equivalent (true) Martingale Measures and no-arbitrage conditions
added 35 characters in body
Aug
23
comment How to normalize different instruments by volatility?
@Freddy, please do not think that formalizing answers to try to be clear is academic arrogance. I try to be as concise as possible, we have the chance to share the formalism of stochastic calculus, I just use it.
Aug
23
revised How to normalize different instruments by volatility?
added 251 characters in body; deleted 1 characters in body
Aug
23
comment How to normalize different instruments by volatility?
@Freddy, the question was about normalization and not volatility definition. your generic remark about "there is no single answer" should be on renormalization and not volatility, don't you think? your answer is out of the scope of the question I think.
Aug
18
revised How to normalize different instruments by volatility?
added 1316 characters in body; added 103 characters in body
Aug
18
revised Equivalent (true) Martingale Measures and no-arbitrage conditions
added a probable reference
Aug
17
reviewed Leave Open How to annualize skewness and kurtosis based on daily returns
Aug
17
reviewed Leave Open How to develop journeymanship and mastery in the field Quantitative Finance?
Aug
17
reviewed Close Option symbol conversion
Aug
17
comment How to normalize different instruments by volatility?
@Freddy volatility of the price is the multiplier of the normalized random part of the returns. What do you call "returns volatility"?
Aug
17
awarded  Critic
Aug
17
revised Reference request: Survey article on GPU in Finance
edited tags
Aug
17
answered Equivalent (true) Martingale Measures and no-arbitrage conditions
Aug
17
revised Meta-view of different time-series similarity measures?
ICA
Aug
17
revised transaction size and liquidity in simulation of US stocks
added 176 characters in body
Aug
16
revised Meta-view of different time-series similarity measures?
Typos
Aug
15
answered Meta-view of different time-series similarity measures?
Aug
15
answered transaction size and liquidity in simulation of US stocks
Aug
8
answered How to normalize different instruments by volatility?
Aug
8
revised hardware wiki description
added 1141 characters in body