3,643 reputation
930
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 7 months
seen Nov 23 at 16:51

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


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
Feb
18
answered Can we model components in a set of multivariate multi-period time-series data?
Feb
16
revised Optimal execution strategy
added 268 characters in body
Feb
16
revised Is there any academic material regarding robust optimization with fixed transaction costs?
added 1436 characters in body
Feb
16
answered Is there any academic material regarding robust optimization with fixed transaction costs?
Feb
15
awarded  Autobiographer
Feb
10
comment Volatility calculation for intra-day cash-or-nothing call binary option
possible duplicate of What exactly is meant by "microstructure noise"?
Feb
9
comment Papers and algorithms on bidding schemes for best order execution?
I liked yours too @Anna , it would be great to undelete it since the references are adequate.
Feb
8
answered Papers and algorithms on bidding schemes for best order execution?
Jan
27
awarded  Citizen Patrol
Jan
18
revised Measuring liquidity
added 306 characters in body
Jan
18
revised Is there a difference between crossing network and ECN
added 201 characters in body
Jan
16
answered Book on market microstructure
Jan
16
revised Liquidity seeking algorithms open source implementation
edited tags