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lehalle finance [135 articles]

Recent papers added to lehalle library classified by the tag finance. You can also see everyone's finance.
  • The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning
    Financial Analysts Journal (January 1995), pp. 122-131.
    by Richard Roll, Stephen A Ross
    posted to finance portfolio statistics by lehalle on 2008-08-14 11:08:54 as read
  • Rigorous optimisation of intra day trading
    Wilmott Magazine (November 2008)
    by Charle-Albert Lehalle
    posted to finance statistics stochastic-control trading by lehalle on 2008-08-11 07:32:51 as read
  • Portfolio Theory and Capital Markets
    (17 December 1999)
    by William F Sharpe, William Sharpe
    posted to arbitrage finance by lehalle on 2008-08-10 18:14:04 as read
  • Reconstructing volatility
    Risk (October 2002), pp. 91-95.
    by Marco Avellaneda, Dash Boyer-Olson, Jérôme Busca, Peter Friz
    posted to correlations finance statistics volatility by lehalle on 2008-07-28 11:16:06 as read
  • Relative Volume as a Doubly Stochastic Binomial Point Process
    (2004)
    by James Mcculloch
    posted to finance probability trading by lehalle on 2008-07-24 18:22:36 as read
  • Optimal VWAP trading strategy and relative volume
    (2007)
    by James Mcculloch, Vladimir Kazakov
    posted to finance probability statistics trading by lehalle on 2008-07-24 18:20:58 as read
  • Singular Stochastic Control in Optimal Investment and Hedging in the Presence of Transaction Costs
    IMS Lecture Notes – Monograph Series, Vol. 41 (2006), pp. 209-227.
    by Tze L Lai, Tiong W Lim
    edited by K Athreya, M Majumdar, M Puri, E Waymire
    posted to finance hedge statistics stochastic-control by lehalle on 2008-07-24 08:17:13 as read
  • Forecasting Realized Volatility: A Bayesian Model Averaging Approach
    (March 2008)
    by Chun Liu, John M Maheu
    posted to finance statistics volatility by lehalle on 2008-07-20 19:25:12 as read
  • MICROSTRUCTURE NOISE, REALIZED VARIANCE, AND OPTIMAL SAMPLING
    Journal of Financial Econometrics, Vol. 5, No. 1. (2007), pp. 68-104.
    by Federico M Band, Jeffrey R Russell
    posted to finance high-frequency statistics volatility by lehalle on 2008-07-20 19:17:28 as read
  • Properties of assets returns
    (17 October 2006)
    by Kyriakos Chourdakis
    posted to finance statistics by lehalle on 2008-07-20 19:11:43 as read
  • Ultra high frequency volatility and co-volatility estimation in a microstructure model with uncertainty zones
    (1 July 2008)
    by Christian Y Robert, Mathieu Rosenbaum
    posted to finance high-frequency statistics by lehalle on 2008-07-20 19:04:21 as read
  • Power and Bipower Variation with Stochastic Volatility and Jumps
    JOURNAL OF FINANCIAL ECONOMETRICS, Vol. 2, No. 1. (1 January 2004), pp. 1-37.
    by Ole E Barndorff-Nielsen, Neil Shephard
    posted to estimation finance stochastic-calculus volatility by lehalle on 2008-07-14 23:15:15 as read
  • A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
    by Steven L Heston
    posted to finance stochastic-calculus by lehalle on 2008-07-14 23:10:05 as read along with 2 people danfcook alexv
  • A Theory of the Term Structure of Interest Rates
    Econometrica, Vol. 53, No. 2. (1985), pp. 385-408.
    by John C Cox, Jonathan E Ingersoll, Stephen A Ross
    posted to finance stochastic-calculus by lehalle on 2008-07-14 23:08:26 as read along with 3 people and 1 group jrblevin danfcook alexv assetpricing
  • How the Corporate Liquidity Process Affects the Value of the Firm
    Social Science Research Network Working Paper Series (24 June 2008)
    by Yann Braouezec, Charles-Albert Lehalle
    posted to control finance by lehalle on 2008-07-14 22:55:33 as read
  • Pairs Trading: Performance of a Relative Value Arbitrage Rule
    Social Science Research Network Working Paper Series (February 2006)
    by EVAN Gatev, William N Goetzmann, Geert K Rouwenhorst
    posted to arbitrage correlations finance by lehalle on 2008-06-18 10:32:31 as **
  • Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models
    Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 64, No. 2. (2002), pp. 253-280.
    by Ole, Neil Shephard
    posted to estimation finance volatility by lehalle on 2008-06-15 15:48:10 as read
  • Realized volatility forecasting and option pricing
    (30 September 2006)
    by Federico M Bandi, Jeffrey R Russell, Chen Yang
    posted to estimation finance microstructure volatility by lehalle on 2008-06-15 15:45:58 as ***
  • Optimal Trading Strategy and Supply/Demand Dynamics
    Social Science Research Network Working Paper Series (February 2005)
    by ANNA Obizhaeva, WANG Jiang
    posted to finance optimization quantitative-trading by lehalle on 2008-06-15 15:36:45 as read
  • Constrained portfolio liquidation in a limit order book model
    (September 2007)
    by A Alfonsi, A Schied, Schulz
    posted to finance optimization quantitative-trading by lehalle on 2008-06-15 15:25:11 as **
  • Bayesian adaptive trading with a daily cycle
    Journal of Trading (2006)
    by Robert Almgren, Julian Lorenz
    posted to finance quantitative-trading stochastic-control by lehalle on 2008-06-15 15:21:22 as **
  • Algorithmic Trading III: Precision, Control, Execution
    Institutional Investor Journals (2007)
    by R Almgren, J Lorenz
    edited by Brian R Bruce
    posted to control finance market-impact by lehalle on 2008-06-05 06:56:29 as read
  • Théorie de la spéculation
    Annales scientifiques de l'École Normale Supérieure, Ser 3, Vol. 17 (1900), pp. 12-86.
    by Louis Bachelier
    posted to finance probability stochastic-calculus by lehalle on 2007-12-28 13:10:20 as read along with 1 person quianominorleo
  • La réglementation des marchés financiers européens
    (01 August 2007)
    by C Fournier
    posted to finance by lehalle on 2007-12-28 10:04:44 as read
  • Time and the Price Impact of a Trade
    The Journal of Finance, Vol. 55, No. 6. (2000), pp. 2467-2498.
    by Alfonso Dufour, Robert F Engle
    posted to finance microstructure statistics by lehalle on 2007-12-28 09:49:01 as read
  • Limit Order Markets: A Survey
    (2008)
    by Christine A Parlour, Duane J Seppi
    edited by AWA Boot, AV Thakor
    posted to finance microstructure by lehalle on 2007-12-28 09:45:18 as read
  • notes Price Dynamics in Limit Order Markets
    The Review of Financial Studies, Vol. 11, No. 4. (1998), pp. 789-816.
    by Christine A Parlour
    posted to finance microstructure statistics by lehalle on 2007-12-28 09:41:47 as read along with 2 people and 1 group gillesdaniel Scis0000002 EntrepreneurialRisks
  • notes One Security, Many Markets: Determining the Contributions to Price Discovery
    The Journal of Finance, Vol. 50, No. 4. (1995), pp. 1175-1199.
    by Joel Hasbrouck
    posted to finance microstructure statistics by lehalle on 2007-12-28 09:39:39 as read
  • Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
    (March 2006)
    by Matthieu Wyart, Jean-Philippe Bouchaud, Julien Kockelkoren, Marc Potters, Michele Vettorazzo
    posted to finance microstructure statistics by lehalle on 2007-12-28 09:33:12 as read
  • notes Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
    Journal of Financial Economics, Vol. 14, No. 1. (March 1985), pp. 71-100.
    by Lawrence R Glosten, Paul R Milgrom
    posted to finance microstructure statistics by lehalle on 2007-12-28 09:18:31 as read
  • notes A Theory of Intraday Patterns: Volume and Price Variability
    The Review of Financial Studies, Vol. 1, No. 1. (1988), pp. 3-40.
    by Anat R Admati, Paul Pfleiderer
    posted to finance microstructure by lehalle on 2007-12-28 08:55:20 as **
  • notes Understanding Order Flow
    NBER (October 2005)
    by Martin DD Evans
    posted to finance microstructure statistics by lehalle on 2007-12-28 08:39:00 as *
  • notes Portfolio Balance, Price Impact, and Secret Intervention
    NBER (July 2001)
    by Martin DD Evans, Richard K Lyons
    posted to finance microstructure statistics by lehalle on 2007-12-28 08:37:06 as read
  • notes A New Micro Model of Exchange Rate Dynamics
    RePEc (March 2004)
    by Martin DD Evans, Richard K Lyons
    posted to finance microstructure statistics by lehalle on 2007-12-28 08:35:01 as read
  • Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process
    Physical Review Letters, Vol. 90, No. 10. (13 March 2003), 108102.
    by Marcus G Daniels, Doyne J Farmer, Laszlo Gillemot, Giulia Iori, Eric Smith
    posted to finance market-impact microstructure ref statistics by lehalle on 2007-12-11 17:26:00 as read along with 2 people gi0rgi0ne nmdang
  • Cancellation and Uncertainty Aversion on Limit Order Books
    No. 2004-W05. (2004)
    by Jeremy H Large
    posted to finance microstructure by lehalle on 2007-11-29 07:51:04 as read
  • ÉTUDE DE QUELQUES PROBLÈMES D’ESTIMATION STATISTIQUE EN FINANCE
    (2007)
    by Mathieu Rosenbaum
    posted to finance high-frequency by lehalle on 2007-11-28 15:51:13 as read
  • Statistical Theory of the Continuous Double Auction
    Quantitative Finance, Vol. 3, No. 6. (2003), pp. 481-514.
    by E Smith, Doyne J Farmer, L Gillemot, S Krishnamurthy
    posted to finance high-frequency statistics by lehalle on 2007-11-28 15:43:17 as read
  • Stochastic Calculus of Variations in Mathematical Finance
    (19 December 2005)
    by Paul Malliavin, Anton Thalmaier
    posted to finance stochastic-calculus by lehalle on 2007-09-24 09:19:18 as read
  • Essentials of Stochastic Finance: Facts, Models, Theory
    (15 April 1999)
    by Albert N Shiryaev
    posted to finance statistics stochastic-calculus by lehalle on 2007-09-21 09:05:06 as read along with 1 person nmdang
  • Innovations in Credit Risk Transfer: Implications for Financial Stability
    (2 July 2007)
    by Darrell Duffie
    posted to credit finance by lehalle on 2007-08-20 16:17:02 as read
  • Realized Volatility Forecasting and Market Microstructure Noise
    (August 2006)
    by Torben G Andersen, Tim Bollerslevy, Nour Meddahi
    posted to finance microstructure volatility by lehalle on 2007-07-18 18:07:56 as read
  • Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    (June 2004)
    by Torben G Andersen, Tim Bollerslev, Nour Meddahi
    posted to finance microstructure volatility by lehalle on 2007-07-18 18:06:20 as read
  • REALIZED VOLATILITY FORECASTING and OPTION PRICING
    (September 2006)
    by Bandi M Federico, Russell R Jeffrey, Yang Chen
    posted to finance microstructure volatility by lehalle on 2007-07-18 18:03:07 as read
  • Diffusive behavior and the modeling of characteristic times in limit order executions
    (January 2007)
    by Zoltan Eisler, Janos Kertesz, Fabrizio Lillo, Rosario N Mantegna
    posted to finance order-book statistics by lehalle on 2007-07-16 11:38:15 as read
  • The limit order book on different time scales
    (2007)
    by Zoltan Eisler, Janos Kertesz, Fabrizio Lillo
    posted to finance order-book statistics by lehalle on 2007-07-16 11:35:19 as read
  • Resiliency in Limit Order Book Markets: A Dynamic View of Liquidity
    (2007)
    by Alexander Kempf, Daniiel L Mayston, Pradeep K Yadav
    posted to finance order-book by lehalle on 2007-07-15 11:47:11 as read
  • Integrated volatility and round-off error
    (9 July 2007)
    by Mathieu Rosenbaum
    posted to finance microstructure volatility by lehalle on 2007-07-09 14:11:28 as read
  • Interest Rate Model Calibration Using Semidefinite Programming
    arXiv.org (18 May 2006)
    by A D’aspremont
    posted to finance interest-rate semidefinite-programming by lehalle on 2007-07-08 17:40:28 as read
  • Competition for Order Flow and Smart Order Routing Systems
    (October 2006)
    by Thierry Foucault, Albert J Menkveld
    posted to finance smart-order-routing by lehalle on 2007-06-22 09:12:26 as read
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