lehalle

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	1,703 reputation	bio	website	citeulike.org/user/lehalle/…	visits	member for	1 year, 1 month
417 badges		location			seen	May 11 at 12:03

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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
May 8	suggested	suggested edit on market-microstructure tag wiki
May 8	revised	What exactly is meant by “microstructure noise”? edited tags
May 8	suggested	suggested edit on cointegration tag wiki
May 8	comment	cointegration applied to Portfolio Construction & Risk management There is a generic page about cointegration, some answers to your question can be found on it: quant.stackexchange.com/tags/cointegration/info