3,687 reputation
931
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 8 months
seen 10 hours ago

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


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
Dec
7
suggested approved 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