SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 47 matches

by lehalle
January 18th, 2014, 9:08 am
Forum: Book And Research Paper Forum
Topic: Book on Trading, Market Microstructure
Replies: 3
Views: 17624

Book on Trading, Market Microstructure

A new book is available on the topic: Market Microstructure in Practice.
by lehalle
November 25th, 2013, 12:40 pm
Forum: Book And Research Paper Forum
Topic: Market Microstructure
Replies: 4
Views: 8764

Market Microstructure

We mainly used Matlab, and python (matplotlib) for few of them.
by lehalle
September 17th, 2013, 2:48 pm
Forum: Book And Research Paper Forum
Topic: Market Microstructure
Replies: 4
Views: 8764

Market Microstructure

<t>I guess the publisher will put an extract on amazon or on its web site soon.if you can't wait here is the table of contents emacs produces from the tex sources: 1 Monitoring the fragmentation at any scale 1.1 Fluctuations of market shares: a first graph on liquidity 1.1.1 The market share: a not ...
by lehalle
September 14th, 2013, 2:09 pm
Forum: Book And Research Paper Forum
Topic: Market Microstructure
Replies: 4
Views: 8764

Market Microstructure

A new book on market microstructure is available: "Market Microstructure in Practice (Lehalle and Laruelle Eds)"any comment is welcome.
by lehalle
August 19th, 2011, 5:36 pm
Forum: Technical Forum
Topic: modeling intraday time scales; e.g, "theta time"
Replies: 19
Views: 20295

modeling intraday time scales; e.g, "theta time"

<t>Quote--Which curves are you referring to?bins of around 5 minutes, if you compute the volumes (sum them) or the volatility (which estimator do you use?) you will obtain curves.Now it seems that you would like a model of the intra day seasonnality of these cures?Quote--Are you saying that the acti...
by lehalle
August 18th, 2011, 10:31 pm
Forum: Technical Forum
Topic: modeling intraday time scales; e.g, "theta time"
Replies: 19
Views: 20295

modeling intraday time scales; e.g, "theta time"

<t>be careful on how you plan to use the curves.for instance volumes "slices" are far more iid than volatility trajectories.for volume any usual seasonality methodology will work, for volatility, think about an ornstein uhlenbeck with a time-varying "mean"i.e. in m_t is time varying and not constant...
by lehalle
August 12th, 2011, 7:41 am
Forum: Technical Forum
Topic: What Is Order Flow On Exchange Markets With An Open Book? Is It Important?
Replies: 1
Views: 18959

What Is Order Flow On Exchange Markets With An Open Book? Is It Important?

<r>Here is an interesting paper to begin this kind of analysis:<URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1712822"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... id=1712822">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1712822</LINK_TEXT></URL>(the theoretical a...
by lehalle
May 31st, 2010, 6:20 am
Forum: Trading Forum
Topic: stationnarity vs spreads
Replies: 14
Views: 31568

stationnarity vs spreads

<t>usual biblio:- Bouchaud, Almgren, or the nice review by Gatheral to be able to build nice models for liquidity capturing/providing- Almgren, Lehalle, Avellaneda&Stoikov to use such models for trading- Pagès,Laruelle&Lehalle to simultaneously estimate and optimize trading in a dark pool co...
by lehalle
October 29th, 2009, 7:13 pm
Forum: Technical Forum
Topic: Volatility of 5-min returns vs daily
Replies: 1
Views: 33602

Volatility of 5-min returns vs daily

<t>two main points:1. you should not use the "usual calculation" for intraday vol estimation, especially if you sample at a rate lower than 5min (for less liquid stock, you should use another estimate below 30min bins), look at Zang+Mykland+Ait-Sahalia or Jacod, or Rosenbaum+Robert papers2. anyway y...
by lehalle
August 8th, 2009, 7:38 pm
Forum: Technical Forum
Topic: Conditional correlation significance test
Replies: 2
Views: 36329

Conditional correlation significance test

<r>two ways:1. under certain assumptions you know the theoretical distribution of correl coef estimates, you will probably end with a Fisher-like test for the comparison (to simplify your calculus, test your C_cond against the estimate on the 900 other poins)2. bootstrap (the lazy way):sample your 1...
by lehalle
August 3rd, 2009, 8:22 pm
Forum: Technical Forum
Topic: Estimation of profitability of liquidity providers (futures markets)
Replies: 13
Views: 38415

Estimation of profitability of liquidity providers (futures markets)

<t>This is an actual and interesting question.In a liquid market the "liquidity providers" as you define them will mainly be market makers, read the paper of avellaneda & stoikov on that and you will have a quant view of the famous bid-ask-spread vs volatility paradigm. It will provide you some ...
by lehalle
May 6th, 2009, 4:24 am
Forum: Technical Forum
Topic: how to measure liquidity?
Replies: 4
Views: 40201

how to measure liquidity?

read papers on market impact (authors: Bouchaud or Almgren to begin)
by lehalle
May 6th, 2009, 4:23 am
Forum: Technical Forum
Topic: how to measure liquidity?
Replies: 4
Views: 40201

how to measure liquidity?

read papers on market impct (authors: Bouchaud or Almgren to begin)
by lehalle
April 26th, 2009, 5:24 pm
Forum: Technical Forum
Topic: volatility estimation from tick data
Replies: 3
Views: 44532

volatility estimation from tick data

<r>Jean Jacod was the first to work on the "rounding effect" (in a book in memoriam of Paul-André Meyer, I think), then he worked with Delattre on this topic. His last paper joint with Ait Sahalia is really fine.Neil Shephard worked also on the subject. see also Rosenbaum & Robert "A new approac...
by lehalle
March 28th, 2009, 2:44 pm
Forum: Technical Forum
Topic: Tsay (1988) - Outliers, level shifts, and variance changes in time series
Replies: 1
Views: 41396

Tsay (1988) - Outliers, level shifts, and variance changes in time series

any textbook in statistics will give you formula to test such hypothesis...
GZIP: On