2,938 reputation
922
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years
seen yesterday

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


Jun
10
awarded  Commentator
Jun
10
comment How to get an analytic result for option price based on this model?
do you means that you would like to price under semi-martingale assumptions (and especially jumps)? you should look at Financial modelling with Jump Processes ( Chapman & Hall / CRC Press) by Rama CONT and Peter TANKOV cmap.polytechnique.fr/~rama/Jumps .
Jun
10
revised Why isn't all market data free?
added 1 characters in body
Jun
9
answered Why isn't all market data free?
Jun
9
revised What latency should I use for backtesting a high-frequency strategy?
added 67 characters in body
Jun
9
revised What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?
added 1846 characters in body
Jun
9
answered What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?
Jun
6
comment What latency should I use for backtesting a high-frequency strategy?
I mean: to arbitrage bid-ask crosses between two trading destinations.
Jun
6
revised What latency should I use for backtesting a high-frequency strategy?
added 29 characters in body
Jun
5
answered What latency should I use for backtesting a high-frequency strategy?
May
30
revised Has high frequency trading (HFT) been a net benefit or cost to society?
Microstructure book added
May
30
revised Optimal execution and reinforcement learning
Explicit RB conditions
May
29
answered Optimal execution and reinforcement learning
May
27
answered How to model the daily return using intraday data?
May
27
revised What exactly is meant by “microstructure noise”?
added 320 characters in body
May
27
answered How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
May
12
revised How to build a mean reverting basket?
edited tags
May
8
answered cointegration applied to Portfolio Construction & Risk management
May
8
revised market-microstructure wiki description
added 344 characters in body
May
8
revised cointegration wiki description
added 118 characters in body