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.


Oct
27
suggested suggested edit on high-frequency-estimators tag wiki excerpt
Oct
27
revised What exactly is meant by “microstructure noise”?
edited tags
Oct
27
revised better estimator of volatility for small samples
edited tags
Oct
27
revised Liquidity estimators: VWAP and IS
edited tags
Oct
27
revised How to manage equity portfolio risk intraday?
edited tags
Oct
27
revised How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
edited tags
Oct
27
revised When does the Epps effect start?
edited tags
Oct
27
comment What good papers of short term (<30 seconds) volatility estimation
this question is already answered here: quant.stackexchange.com/questions/2589/… (see my answer)
Oct
27
revised How to calculate historical intraday volatility?
edited tags; edited tags
Oct
27
revised What good papers of short term (<30 seconds) volatility estimation
edited tags; edited tags
Oct
26
awarded  Enlightened
Oct
26
awarded  Nice Answer
Sep
24
revised academic papers about market making
edited body
Sep
15
revised What exactly is meant by “microstructure noise”?
edited tags
Sep
14
awarded  Necromancer
Sep
14
revised market-microstructure wiki description
added 431 characters in body
Sep
14
suggested suggested edit on market-microstructure tag wiki
Sep
14
revised What are the best Journals & Conferences in Quantitative Finance?
added 179 characters in body
Sep
14
revised What exactly is meant by “microstructure noise”?
added 170 characters in body
Sep
8
revised academic papers about market making
added 25 characters in body