3,583 reputation
930
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years, 6 months
seen Oct 25 at 7:36

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


Mar
4
answered Geometric Brownian Motion with non-negative random increments
Feb
27
comment Why do high frequency traders use rapidly cancelled limit orders?
You will find some generic knowledge about these kind of topics in this paper: Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process - arxiv.org/abs/1302.4592
Feb
15
awarded  Revival
Feb
5
comment Position management and market-making techniques
@Freddy of course you are right. The fact is that market making loose money in case of unexpected jump. Of course in the model of the paper you can obtain some robustness to jump (if you compensate it on the intensity of the flow). But you will post quotes very far away from the mid point, thus beging out of the market more often.
Feb
5
comment Position management and market-making techniques
@Serg: this assumption is commonly used, to avoid it, you should have a "passive market impact model". Nobody have one. The only other possible viewpoint (according to me at least), is to be 100% non parametric. I develop such a viewpoint in "Optimal posting price of limit orders: learning by trading" with S Laruelle et G Pagès ( arxiv.org/abs/1112.2397 ). Very good question about testing the optimal policy against the 'theoretical model', it is the usual first step and we implemented it. It works as soon as the volatility is not too high (as expected).
Feb
4
comment Position management and market-making techniques
yes I am one of the authors of the paper, @Freddy, the assumptions we made are realistic in the sense that when the market is not "stressed", they are reasonable. When the market is stressed, no model will work...
Feb
3
answered Position management and market-making techniques
Jan
3
awarded  Necromancer
Dec
27
awarded  Necromancer
Nov
24
awarded  Necromancer
Oct
3
awarded  Nice Answer
Sep
23
answered normalized accumulation distribution
Sep
21
awarded  Custodian
Sep
1
comment Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)
welcome at quant.se
Aug
31
awarded  Student
Aug
31
comment Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)
it is not "my" question, so I will eventually post answers...
Aug
31
answered Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)
Aug
31
asked Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)
Aug
30
revised Equivalent (true) Martingale Measures and no-arbitrage conditions
edited body
Aug
30
comment Switching from Matlab to Python for Quant Trading and Research
I would just add few points on the matlab side: (1) if you buy the compiling toolkit, then you can redistribute your code everywhere without paying more license fees. (2) matlab statistical tools are very good and properly coded.