3,583 reputation
930
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 6 months
seen Oct 12 at 17:48

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


Oct
27
comment What good papers of short term (<30 seconds) volatility estimation
this question is already answered here: quant.stackexchange.com/questions/2589/… (see my answer)
Oct
27
revised How to calculate historical intraday volatility?
edited tags; edited tags
Oct
27
revised What good papers of short term (<30 seconds) volatility estimation
edited tags; edited tags
Oct
26
awarded  Enlightened
Oct
26
awarded  Nice Answer
Sep
24
revised academic papers about market making
edited body
Sep
15
revised What exactly is meant by “microstructure noise”?
edited tags
Sep
14
awarded  Necromancer
Sep
14
revised market-microstructure wiki description
added 431 characters in body
Sep
14
suggested suggested edit on market-microstructure tag wiki
Sep
14
revised What are the best Journals & Conferences in Quantitative Finance?
added 179 characters in body
Sep
14
revised What exactly is meant by “microstructure noise”?
added 170 characters in body
Sep
8
revised academic papers about market making
added 25 characters in body
Sep
6
answered academic papers about market making
Aug
28
comment What is “high frequency quoting” or “quote spam”?
@SRKX the movie extract linked to my "this is bad" sentence is supposed to be a summary of all questions about the topic ;{)}
Aug
26
revised What is “high frequency quoting” or “quote spam”?
added 288 characters in body
Aug
7
answered Measuring liquidity
Aug
7
awarded  Necromancer
Jun
23
answered At what volume would you move the price at the opening auction?
Apr
15
awarded  Yearling