lehalle

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42 Answers

newest activity votes
13
Multilayer Perceptron (Neural Network) for Time Series Prediction
8
Reference request: Survey article on GPU in Finance
6
How to calculate historical intraday volatility?
6
What are the applications of cointegration?
5
Position management and market-making techniques
5
How can I go about applying machine learning algorithms to stock markets?
5
What is “high frequency quoting” or “quote spam”?
5
Optimal execution strategy
5
Order submission strategies of a rational market maker?
4
Meta-view of different time-series similarity measures?
4
transaction size and liquidity in simulation of US stocks
4
Risk Neutral Probability and invariant measure
4
What sort of order submission strategy would result in a random walk of trade prices?
4
What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?
4
Why isn't all market data free?
4
Has high frequency trading (HFT) been a net benefit or cost to society?
4
Optimal execution and reinforcement learning
4
What exactly is meant by “microstructure noise”?
4
How to annualize intra-day volatility on minute data?
4
Is there any measure that is a non-trivial combination of VWAP and TWAP?
3
How to choose a data center for deploying high frequency trading strategies?
3
how do we estimate position of our order in order book?
3
How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
3
How to manage equity portfolio risk intraday?
2
Equivalent (true) Martingale Measures and no-arbitrage conditions
2
Analyzing an incomplete set of trades
2
How to measure a non-normal stochastic process?
2
What latency should I use for backtesting a high-frequency strategy?
2
How to model the daily return using intraday data?
2
definition for “the viscosity” in financial market data series
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