3,677 reputation
931
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 8 months
seen 2 days ago

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


Sep
8
revised academic papers about market making
added 25 characters in body
Sep
6
answered academic papers about market making
Aug
28
comment What is “high frequency quoting” or “quote spam”?
@SRKX the movie extract linked to my "this is bad" sentence is supposed to be a summary of all questions about the topic ;{)}
Aug
26
revised What is “high frequency quoting” or “quote spam”?
added 288 characters in body
Aug
7
answered Measuring liquidity
Aug
7
awarded  Necromancer
Jun
23
answered At what volume would you move the price at the opening auction?
Apr
15
awarded  Yearling
Mar
4
answered Geometric Brownian Motion with non-negative random increments
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
Feb
15
awarded  Revival
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.
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).
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...
Feb
3
answered Position management and market-making techniques
Jan
3
awarded  Necromancer
Dec
27
awarded  Necromancer
Nov
24
awarded  Necromancer
Oct
3
awarded  Nice Answer
Sep
23
answered normalized accumulation distribution