2,938 reputation
922
bio website citeulike.org/user/lehalle/…
location Paris, France
age 44
visits member for 2 years
seen 5 hours ago

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


Mar
23
comment Definition of orthogonality and independence for a stochastic processes
As usual with Gaussianity; since you have in mind Gaussian processes, yes: correlations=0 is equivalent to independence.
Mar
6
comment Measuring Behavioral Finance Effects in Fund/Portfolio Manager Analysis
@user2921 you meant this paper www2.warwick.ac.uk/fac/soc/economics/news_events/calendar/…
Feb
19
comment How do I simulate stock prices for a 10 asset portfolio, over a period of 10 years in MATLAB?
there is the full commented code on this wii: en.literateprograms.org/Monte_Carlo_simulation_(Matlab)
Feb
10
comment Volatility calculation for intra-day cash-or-nothing call binary option
possible duplicate of What exactly is meant by "microstructure noise"?
Feb
9
comment Papers and algorithms on bidding schemes for best order execution?
I liked yours too @Anna , it would be great to undelete it since the references are adequate.
Jan
16
comment Recommendations for books to understand the math in quantitative finance papers?
Attilio Meucci's book is very good.
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
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/…
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.
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)
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 ;{)}
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
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...
Sep
1
comment Strategy Risk and Portfolio Allocation Model (copy from nuclear phynance)
welcome at quant.se
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
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.
Aug
23
comment How to normalize different instruments by volatility?
@Freddy, please do not think that formalizing answers to try to be clear is academic arrogance. I try to be as concise as possible, we have the chance to share the formalism of stochastic calculus, I just use it.