3,678 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.


Jan
16
answered Liquidity seeking algorithms open source implementation
Jan
16
revised Book on market microstructure
edited tags
Jan
16
answered Is there a difference between crossing network and ECN
Jan
16
revised Is there a difference between crossing network and ECN
edited tags
Jan
16
answered Recommendations for books to understand the math in quantitative finance papers?
Jan
16
comment Recommendations for books to understand the math in quantitative finance papers?
Attilio Meucci's book is very good.
Jan
15
revised How does a cross trade pose a problem to the retail investor
edited tags
Jan
15
answered How does a cross trade pose a problem to the retail investor
Jan
15
answered What nonparametric methods exist for estimating intraday seasonalities?
Jan
14
comment What is the realized volatility's estimation error?
@AmirSani intraday seasonality may be a better candidate than volatility itself. You can try seasonality of (1) the volatility (but complex), (2) the traded volume, (3) the bid ask spread. Open a question on intraday seasonalities (we do not have it I think) and we will discuss there.
Jan
13
comment Switching from Matlab to Python for Quant Trading and Research
@sashkello about (2): my opinion is a statistical toolbox is at least more "transparent" on not free tools (sorry), just look at matlab (and think about mathematica) help files, it is obvious: you have references, formula, etc. Usually for open source software if you are lucky you have the ref of just one paper (the one which procedure is implemented); plus a huge pdf file (but only if the implementation has been done during a thesis or a post doc) not going to the essential...
Jan
12
revised What is the realized volatility's estimation error?
edited tags
Jan
12
answered What is the realized volatility's estimation error?
Jan
12
comment What is the realized volatility's estimation error?
Hi @AmirSani I already answered to the "microstructure" part of your question here: quant.stackexchange.com/questions/2360/…
Dec
21
awarded  Enlightened
Dec
21
awarded  Nice Answer
Dec
8
revised Implementing data-structures in a Limit order book
edited tags
Dec
8
revised Java limitbook implementation?
edited tags
Dec
7
revised market-microstructure wiki description
added 2487 characters in body
Dec
7
awarded  Revival