2,938 reputation
922
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years
seen yesterday

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


Aug
6
comment Analyzing an incomplete set of trades
I tried to modify my answer to be more accurate: you need to use your knowledge of this market and the real constraints to find full sequences (or sequence that are most probably full). Then identify the gaps in terms of joint variables (price/quantity/duration/etc). Perform statistics on these joint variables to be able to compute likelihoods for each of them (Bayesian models are good that for). And then you can fill the gaps with the most probable values.
Aug
6
revised Analyzing an incomplete set of trades
added 283 characters in body
Aug
6
revised How to choose a data center for deploying high frequency trading strategies?
added 1472 characters in body; added 1 characters in body
Aug
6
comment How to choose a data center for deploying high frequency trading strategies?
yes: it is a well-known effect. I tried to modify my answer, @RYogi.
Aug
6
revised How to choose a data center for deploying high frequency trading strategies?
added 41 characters in body
Aug
6
revised Reference request: Survey article on GPU in Finance
edited tags
Aug
5
revised
added 800 characters in body
Aug
5
revised
added 204 characters in body
Aug
5
revised Help With Quant Modelling Software
edited tags
Aug
5
wiki
Aug
5
wiki
Aug
5
suggested suggested edit on
Aug
5
suggested suggested edit on
Aug
5
revised How to choose a data center for deploying high frequency trading strategies?
edited tags
Aug
5
revised What are some computational bottlenecks that quants face?
edited tags
Aug
5
revised Limit order book size
edited tags
Aug
5
revised What kind of specialized hardware is used in trading?
edited tags
Aug
5
revised Reference request: Survey article on GPU in Finance
edited tags
Aug
5
revised Reference request: Survey article on GPU in Finance
added 472 characters in body
Aug
5
answered Reference request: Survey article on GPU in Finance