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lehalle's user avatar
lehalle's user avatar
lehalle
  • Member for 12 years, 2 months
  • Last seen this week
35 votes

Book on market microstructure

26 votes
Accepted

academic papers about market making

26 votes

How can I go about applying machine learning algorithms to stock markets?

25 votes

What exactly is meant by "microstructure noise"?

25 votes
Accepted

Multilayer Perceptron (Neural Network) for Time Series Prediction

25 votes

Quantitative Math required for Market-making?

23 votes

How to calculate historical intraday volatility?

19 votes
Accepted

Backtesting Market Making Strategy or Microstructure Strategy

14 votes
Accepted

open problems in mathematical finance

13 votes

how do we estimate position of our order in order book?

13 votes
Accepted

Options Market Making Used Implied Volatility Surface

12 votes
Accepted

Optimal execution and reinforcement learning

12 votes
Accepted

What is "high frequency quoting" or "quote spam"?

12 votes
Accepted

Position management and market-making techniques

11 votes
Accepted

Why would an exchange choose one matching algorithm over another?

11 votes

Why non-stationary data cannot be analyzed?

11 votes
Accepted

Meta-view of different time-series similarity measures?

10 votes
Accepted

What is the price pressure?

10 votes

Orderbook Arbitrage

10 votes
Accepted

Does financial math benefit society?

10 votes

Hedge fund memos

10 votes
Accepted

What are some currently open problems in market microstructure

9 votes

Risk-neutral vs. physical measures: Real-world example

9 votes
Accepted

Application of Control Theory in Quantitative Finance

9 votes

What is an efficient data structure to model order book?

9 votes
Accepted

How to use a realized kernel?

9 votes

Do quants need to know Accounting?

9 votes
Accepted

What are common methods for modeling intraday trading volume?

9 votes

Optimal execution strategy

9 votes
Accepted

What are the applications of cointegration?

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