3,553 reputation
930
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 5 months
seen 7 hours ago

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


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
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
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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