3,313 reputation
928
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 3 months
seen 23 hours ago

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


May
4
answered What should I put on a math finance cheat sheet?
May
4
awarded  Custodian
May
4
reviewed Close What is shorting a asset that has negative price. Can anyone give me an example?
Apr
25
revised Deep bid ask orders
added 21 characters in body
Apr
25
answered Deep bid ask orders
Apr
15
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