2,938 reputation
922
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years
seen Apr 19 at 9:35

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


Jan
12
answered What is the realized volatility's estimation error?
Jan
12
comment What is the realized volatility's estimation error?
Hi @AmirSani I already answered to the "microstructure" part of your question here: quant.stackexchange.com/questions/2360/…
Dec
21
awarded  Enlightened
Dec
21
awarded  Nice Answer
Dec
8
revised Implementing data-structures in a Limit order book
edited tags
Dec
8
revised Java limitbook implementation?
edited tags
Dec
7
revised market-microstructure wiki description
added 2487 characters in body
Dec
7
awarded  Revival
Dec
7
suggested suggested edit on market-microstructure tag wiki
Dec
7
revised Growth of Order Book size during day
added 673 characters in body
Dec
7
revised Growth of Order Book size during day
edited tags
Dec
7
answered Growth of Order Book size during day
Nov
25
comment What are common methods for modeling intraday trading volume?
I agree with @user1646105 on the fact that the gain of implementing McCulloch approach can be discussed. Nevertheless in terms of modelling and important concept, almost all what is needed is in this paper.
Nov
19
revised What are common methods for modeling intraday trading volume?
edited tags
Nov
19
answered What are common methods for modeling intraday trading volume?
Oct
27
revised high-frequency-estimators wiki excerpt
added 177 characters in body
Oct
27
revised high-frequency-estimators wiki description
added 2307 characters in body
Oct
27
wiki created high-frequency-estimators description
Oct
27
wiki created high-frequency-estimators excerpt
Oct
27
suggested suggested edit on high-frequency-estimators tag wiki