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.


Apr
12
revised How 'High' is the frequency in HFT?
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Mar
2
revised How to use a realized kernel?
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Feb
22
revised Is there any academic material regarding robust optimization with fixed transaction costs?
added 1 characters in body
Feb
18
revised epps-effect wiki excerpt
added 394 characters in body
Feb
18
revised Can we model components in a set of multivariate multi-period time-series data?
added 41 characters in body
Feb
18
revised Can we model components in a set of multivariate multi-period time-series data?
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Feb
16
revised Optimal execution strategy
added 268 characters in body
Feb
16
revised Is there any academic material regarding robust optimization with fixed transaction costs?
added 1436 characters in body
Jan
18
revised Measuring liquidity
added 306 characters in body
Jan
18
revised Is there a difference between crossing network and ECN
added 201 characters in body
Jan
16
revised Liquidity seeking algorithms open source implementation
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Jan
16
revised Book on market microstructure
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Jan
16
revised Is there a difference between crossing network and ECN
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Jan
15
revised How does a cross trade pose a problem to the retail investor
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Jan
12
revised What is the realized volatility's estimation error?
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Dec
8
revised Implementing data-structures in a Limit order book
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Dec
8
revised Java limitbook implementation?
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Dec
7
revised market-microstructure wiki description
added 2487 characters in body
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