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lehalle
  • Member for 10 years, 4 months
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29 votes

Book on market microstructure

26 votes

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

24 votes

What exactly is meant by "microstructure noise"?

24 votes
Accepted

academic papers about market making

23 votes
Accepted

Multilayer Perceptron (Neural Network) for Time Series Prediction

22 votes

How to calculate historical intraday volatility?

22 votes

Quantitative Math required for Market-making?

17 votes
Accepted

Backtesting Market Making Strategy or Microstructure Strategy

13 votes
Accepted

open problems in mathematical finance

12 votes
Accepted

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

12 votes
Accepted

Optimal execution and reinforcement learning

11 votes
Accepted

Meta-view of different time-series similarity measures?

11 votes
Accepted

Position management and market-making techniques

11 votes
Accepted

Why would an exchange choose one matching algorithm over another?

10 votes
Accepted

What is the price pressure?

10 votes

Why non-stationary data cannot be analyzed?

10 votes

Orderbook Arbitrage

10 votes

Hedge fund memos

10 votes
Accepted

What are some currently open problems in market microstructure

9 votes
Accepted

Options Market Making Used Implied Volatility Surface

9 votes
Accepted

Application of Control Theory in Quantitative Finance

9 votes

Do quants need to know Accounting?

9 votes
Accepted

Does financial math benefit society?

9 votes
Accepted

How to use a realized kernel?

9 votes
Accepted

What are common methods for modeling intraday trading volume?

9 votes

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

9 votes

Optimal execution strategy

9 votes
Accepted

What are the applications of cointegration?

8 votes

Order submission strategies of a rational market maker?

8 votes
Accepted

Growth of Order Book size during day

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