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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May 6	revised	How to annualize intra-day volatility on minute data? added 344 characters in body
May 1	awarded	Mortarboard
May 1	awarded	Revival
Apr 30	revised	How can I go about applying machine learning algorithms to stock markets? end of the article
Apr 30	revised	How can I go about applying machine learning algorithms to stock markets? Minor typos,
Apr 30	comment	application of lie groups in finance It underlines the relationship between Lie groups and infinitesimal generators. Any tool that can be of use on Lie groups could be on SDE.
Apr 30	comment	application of lie groups in finance I like the second one: Boonlert Srihirun, Sergey V. Meleshko, Eckart Schulz, On the definition of an admitted Lie group for stochastic differential equations, Communications in Nonlinear Science and Numerical Simulation, Volume 12, Issue 8, December 2007, Pages 1379-1389.
Apr 30	revised	definition for “the viscosity” in financial market data series edited tags
Apr 30	revised	definition for “the viscosity” in financial market data series Added comment of Mathieu's paper
Apr 30	revised	definition for “the viscosity” in financial market data series added 127 characters in body
Apr 30	answered	definition for “the viscosity” in financial market data series
Apr 30	revised	HFT: What is the big differentiator in comparison to other time scales? edited tags
Apr 30	revised	What exactly is meant by “microstructure noise”? edited tags
Apr 30	revised	How to annualize intra-day volatility on minute data? edited tags
Apr 30	revised	How to annualize intra-day volatility on minute data? edited body
Apr 30	revised	Real time stock volatility edited tags
Apr 30	revised	How to calculate historical intraday volatility? edited tags
Apr 30	comment	Real time stock volatility I already answered to a very similar question about computing high-frequency volatility
Apr 30	comment	Real time stock volatility I do not believe that GPU is of any help for HFT-related computation, too many time is lost in the memory bus.
Apr 21	revised	How can I go about applying machine learning algorithms to stock markets? added 934 characters in body