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
5
answered Analyzing an incomplete set of trades
Jul
16
revised Multilayer Perceptron (Neural Network) for Time Series Prediction
added 1 characters in body
Jul
16
comment Multilayer Perceptron (Neural Network) for Time Series Prediction
I modified my point on the hidden layer to answer to (A). For (B): the biais are also adjusted thanks to a gradient descent. My recommendation is: use regular perceptrons first, then if you discover than by averaging you seem to improve their performance, use a TDNN (they embadded a sliding window by construction).
Jul
16
revised Multilayer Perceptron (Neural Network) for Time Series Prediction
added example for the hidden layer
Jul
15
answered Risk Neutral Probability and invariant measure
Jul
15
revised Multilayer Perceptron (Neural Network) for Time Series Prediction
added 1021 characters in body; added 306 characters in body
Jul
15
revised Multilayer Perceptron (Neural Network) for Time Series Prediction
added 1719 characters in body; added 171 characters in body
Jul
15
revised Multilayer Perceptron (Neural Network) for Time Series Prediction
added 515 characters in body
Jul
15
revised Multilayer Perceptron (Neural Network) for Time Series Prediction
added 487 characters in body; added 311 characters in body
Jul
15
answered Multilayer Perceptron (Neural Network) for Time Series Prediction
Jul
14
revised how do we estimate position of our order in order book?
added 1130 characters in body
Jul
14
answered how do we estimate position of our order in order book?
Jul
2
revised What sort of order submission strategy would result in a random walk of trade prices?
added 489 characters in body
Jul
1
answered What sort of order submission strategy would result in a random walk of trade prices?
Jul
1
revised Optimal execution strategy
added 20 characters in body
Jul
1
answered Optimal execution strategy
Jul
1
answered Proxy for risk in portfolio theory when return can take only two values
Jul
1
answered How to measure a non-normal stochastic process?
Jun
12
revised What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?
added 12 characters in body
Jun
11
awarded  Revival