lehalle's library 321 articles Export

	Econophysics: Empirical facts and agent-based models [My Copy] (10 Sep 2009) by Anirban Chakraborti, Ioane M. Toke, Marco Patriarca, Frederic Abergel posted to statistics market-model by lehalle on 2009-11-09 17:16:14 as along with 1 person acrmartins
	Introduction to Monte-Carlo Methods for Transport and Diffusion Equations (Oxford Texts in Applied and Engineering Mathematics) [My Copy] (09 October 2003) by B. Lapeyre, E. Pardoux, R. Sentis posted to stochastic-control stochastic-calculus pde by lehalle on 2009-11-03 12:24:33 as
	Probabilistic numerical methods for partial differential equations: Elements of analysis [My Copy] Probabilistic Models for Nonlinear Partial Differential Equations (1996), pp. 148-196. by Denis Talay posted to stochastic-control stochastic-calculus pde by lehalle on 2009-11-03 12:24:04 as
	A central limit theorem for Robbins Monro algorithms with projections [My Copy] (2005) by Jérôme Lelong posted to stochastic-algorithm by lehalle on 2009-11-01 12:10:22 as
	Financial Modelling with Jump Processes (Chapman & Hall/Crc Financial Mathematics Series) [My Copy] (30 December 2003) by Rama Cont, Peter Tankov posted to stochastic-calculus probability jump by lehalle on 2009-11-01 10:21:32 as
	Citation Statistics [My Copy] (19 Oct 2009) by Robert Adler, John Ewing, Peter Taylor posted to stochastic-calculus by lehalle on 2009-11-01 10:05:30 as along with 16 people jake cyounkin abellogin operon tongbing birukou krisl ankurcha eisdur pak RMT cyberwulf dah ansobol mojin mxhf
	Approximating a Diffusion by a Hidden Markov Model [My Copy] (1 Jun 2009) by Ioannis Kontoyiannis, Sean P. Meyn posted to stochastic-algorithm statistics by lehalle on 2009-11-01 07:54:52 as along with 1 person ansobol
	Markov Chains and Stochastic Stability (Cambridge Mathematical Library) [My Copy] (27 April 2009) by Sean Meyn, Richard L. Tweedie posted to stochastic-algorithm statistics by lehalle on 2009-11-01 07:42:26 as
	Stochastic Approximations and Differential Inclusions [My Copy] SIAM J. Control Optim., Vol. 44, No. 1. (2005), pp. 328-348. by Michel Benaïm, Josef Hofbauer, Sylvain Sorin posted to stochastic-algorithm statistics statistical-learning by lehalle on 2009-10-31 17:49:58 as
	Stochastic Approximations and Differential Inclusions, Part II: Applications [My Copy] Math. Oper. Res., Vol. 31, No. 4. (2006), pp. 673-695. by Michel Benaïm, Josef Hofbauer, Sylvain Sorin posted to stochastic-algorithm statistics statistical-learning by lehalle on 2009-10-31 17:49:17 as
	Dynamics of Stochastic Approximations [My Copy] Le Seminaire de Probabilites, Vol. 1709 (1999), pp. 1-68. by Michel Benaïm posted to stochastic-algorithm statistics statistical-learning by lehalle on 2009-10-31 17:48:16 as
	Sequences with low discrepancy. Generalization and application to Robbins-Monro algorithm [My Copy] Statistics, Vol. 21, No. 2. (1990), pp. 251-272. by Gilles Pagès, Bernard Lapeyre, K. Sab posted to stochastic-algorithm statistics robbins-monro by lehalle on 2009-10-31 15:06:09 as
	Option pricing from the point of view of a trader [My Copy] International Journal of Theoretical and Applied Finance, Vol. 9, No. 8. (2009), pp. 1245-1266. by Sacha Stoikov posted to trading stochastic-calculus finance by lehalle on 2009-10-30 06:31:44 as
	Option market making under inventory risk [My Copy] (2009) by Sacha Stoikov, M. Saglam posted to market-making finance algo-trading by lehalle on 2009-10-30 06:23:47 as
	The Power of Patience: A Behavioral Regularity in Limit Order Placement [My Copy] Social Science Research Network Working Paper Series (16 August 2002) by Ilija I. Zovko, J. D. Farmer posted to market-model finance by lehalle on 2009-10-29 17:42:22 as
	Perturbative Approach on Financial Markets [My Copy] (2 Jun 2008) by Simone Scotti posted to stochastic-calculus market-model finance by lehalle on 2009-10-29 17:39:51 as
	Econometric models of limit-order executions [My Copy] Journal of Financial Economics, Vol. 65, No. 1. (July 2002), pp. 31-71. by Andrew W. Lo, Craig MacKinlayb, June Zhan posted to statistics market-model algo-trading by lehalle on 2009-10-29 17:30:21 as
	Ten Years of General Statistical Analysis [My Copy] pp. 553-648. by Vyacheslav L. Girko posted to statistics by lehalle on 2009-10-29 13:10:53 as
	Some Hypothesis Tests for the Covariance Matrix When the Dimension Is Large Compared to the Sample Size [My Copy] The Annals of Statistics, Vol. 30, No. 4. (2002), pp. 1081-1102. by Olivier Ledoit, Michael Wolf posted to statistics hypothesis-testing covariance by lehalle on 2009-10-29 13:00:49 as
	A Note on Reflecting Brownian Motions [My Copy] Electronic Communications in Probability, Vol. 7 (2002), pp. 117-122. by Florin Soucaliuc, Wendelin Werner posted to stochastic-calculus probability by lehalle on 2009-10-29 12:54:41 as
	Maximum of the Bronwian [My Copy] by Chazal posted to student stochastic-calculus by lehalle on 2009-10-29 12:48:35 as
	Market Making by Learning Liquidity Imbalance [My Copy] (2007) by Adlar J. Kim, J. Doyne Farmer, Andrew Lo posted to trading microstructure market-making by lehalle on 2009-10-29 12:41:20 as
	The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns [My Copy] The Journal of Finance, Vol. 44, No. 2. (1989), pp. 479-486. by Yakov Amihud, Haim Mendelson posted to trading microstructure economy by lehalle on 2009-10-29 12:36:49 as
	Differential equation approximations for Markov chains [My Copy] Probablility Survey, Vol. 8 (2005) by Richard W. R. Darling, James R. Norris posted to stochastic-algorithm statistics probability markov_chain by lehalle on 2009-10-29 12:28:03 as
	Formulating a Revolution [My Copy] Bloomberg markets (June 2006), pp. 142-146. by Peter Carr posted to simple options_pricing by lehalle on 2009-10-29 12:17:30 as
	Pricing of arithmetic basket options by conditioning [My Copy] Insurance: Mathematics and Economics, Vol. 34, No. 1. (20 February 2004), pp. 55-77. by G. Deelstra, J. Liinev, M. Vanmaele posted to threshold-crossing pricing capm basket by lehalle on 2009-10-29 12:06:32 as
	Measuring and Interpreting the Performance of Broker Algorithms [My Copy] (August 2005) by Ian Domowitz, Henry Yegerman posted to tca algo-trading by lehalle on 2009-10-29 09:00:56 as
	Algorithms, Trading Costs, and Order Size [My Copy] (June 2007) by Yossi Brandes, Ian Domowitz, Brett Jiu, Henry Yegerman posted to tca algo-trading by lehalle on 2009-10-29 08:59:48 as
	Algorithm Selection: A Quantitative Approach [My Copy] (April 2006) by G. Jian YAN, U. Brett JI posted to tca algo-trading by lehalle on 2009-10-29 08:58:28 as
	Analyst Disagreement, Mispricing and Liquidity [My Copy] Social Science Research Network Working Paper Series (07 July 2004) by Ronnie Sadka, Anna D. Scherbina posted to valuation finance by lehalle on 2009-10-29 08:40:24 as
	Are Momentum Profits Robust to Trading Costs? [My Copy] Social Science Research Network Working Paper Series (29 December 2004) by Robert A. Korajczyk, Ronnie Sadka posted to finance algo-trading by lehalle on 2009-10-29 08:38:36 as
	Optimal trading of an asset driven by a hidden Markov process in the presence of fixed transaction costs [My Copy] (2002) by G. W. G. Thompson posted to stochastic-algorithm optimization optimal-trading algo-trading by lehalle on 2009-10-29 08:24:22 as
	Optimal Liquidity Trading [My Copy] Social Science Research Network Working Paper Series (11 December 2000) by Gur Huberman, Werner Stanzl posted to trading optimization optimal-trading by lehalle on 2009-10-29 08:17:27 as along with 1 person nmdang
	Ornstein-Uhlenbeck Processes and Extensions [My Copy] (2004) by Ross A. Maller, Gernot Muller, Alex Szimayer posted to stochastic-calculus by lehalle on 2009-10-29 08:15:40 as
	Matlab’s Loss is Nobody’s Gain [My Copy] (2004) by W. Kahan posted to numerical-computations matlab by lehalle on 2009-10-29 08:12:21 as
	A new algorithm for independent component analysis with or without constraints [My Copy] Sensor Array and Multichannel Signal Processing Workshop Proceedings, 2002 (02 April 2003), pp. 413-417. by Xuejun Liao, L. Carin posted to statistics statistical-learning compression by lehalle on 2009-10-29 07:55:21 as
	Independent component analysis: algorithms and applications [My Copy] Neural Networks, Vol. 13, No. 4-5. (June 2000), pp. 411-430. by A. Hyvärinen posted to statistics statistical-learning compression by lehalle on 2009-10-29 07:52:28 as along with 6 people dokooh flips Diego_Prada eyliu breuderink ganeshrnaik
	Making Markowitz's Portfolio Optimization Theory Practically Useful [My Copy] Social Science Research Network Working Paper Series (08 May 2006) by Zhidong Bai, Huixia Liu, Wing-Keung Wong posted to statistics portfolio_optimization finance by lehalle on 2009-10-29 07:02:23 as
	Special Invited Paper. Additive Logistic Regression: A Statistical View of Boosting [My Copy] The Annals of Statistics, Vol. 28, No. 2. (2000), pp. 337-374. by Jerome Friedman, Trevor Hastie, Robert Tibshirani posted to statistics statistical-learning by lehalle on 2009-10-29 06:48:54 as along with 2 people nmdang lisper
	Credit Default Swap (CDS) Primer [My Copy] (May 2004) by Michiko Whetten, Mark Adelson, Michael van Bemmelen posted to credit_default_swap by lehalle on 2009-10-29 06:37:21 as
	Base-Invariance Implies Benford's Law [My Copy] Proceedings of the American Mathematical Society, Vol. 123, No. 3. (1995), pp. 887-895. by Theodore P. Hill posted to statistics probability by lehalle on 2009-10-28 19:49:32 as along with 1 person dir289
	Market Microstructure Theory [My Copy] (13 March 1998) by Maureen O'Hara posted to trading microstructure finance by lehalle on 2009-10-28 19:08:39 as along with 5 people vfilimonov RobHayward jchau nmdang pjaiprak
	Power-law distributions in empirical data [My Copy] (2 Feb 2009) by Aaron Clauset, Cosma R. Shalizi, M. E. J. Newman posted to statistics microstructure finance by lehalle on 2009-10-28 18:48:32 as along with 58 people and 2 groups jsaramak ccthomas vagoskar acrmartins krisl makrehchi jotwin quianominorleo akuhn arsyed coccoinomane janpaniev pawelsobko alexv Borelli tmarscha dpf garyfeng kubyaddi tnhh kaarsinogen dmeister ddahlem vtraag mattjb jfelipe yonyoni laurobeltrao mmcgloho galyardt gconaldi egh ansobol lfriedl jjray itmeson dumpa madhadron sdvillal bigbossman merazzle xpontus muraken sugarexpletive jaspervoskuilen tomhebbron gi0rgi0ne amoebe jasonn pprett AbnerCYH halukbingol anhlc stringertheory deanmalmgren jyew nazareno diamantis ReadingLab EntrepreneurialRisks
	The Capital Asset Pricing Model: Theory and Evidence [My Copy] Social Science Research Network Working Paper Series (16 September 2003) by Eugene F. Fama, Kenneth R. French posted to valuation statistics finance arbitrage by lehalle on 2009-10-28 17:18:20 as
	U-Statistics in Banach Spaces [My Copy] by Yu posted to statistics by lehalle on 2009-10-17 12:40:13 as
	Central Limit Theorem and the Bootstrap for U-Statistics of Strongly Mixing Data [My Copy] (December 2008) by Herold Dehling, Martion Wendler posted to variance statistics by lehalle on 2009-10-17 12:36:06 as
	Market Microstructure: Intermediaries and the Theory of the Firm [My Copy] (13 April 1999) by Daniel F. Spulber posted to finance economy by lehalle on 2009-09-28 06:53:53 as
	Optimal control of trading algorithms: a general impulse control approach [My Copy] (November 2009) by Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle posted to trading control by lehalle on 2009-09-17 22:24:13 as
	Monotone dynamical systems [My Copy] In Handbook of differential equations: ordinary differential equations, Vol. 2 (2005), pp. 239-357. by M. W. Hirsch, Hal Smith posted to stochastic-algorithm dynamical-systems by lehalle on 2009-09-09 20:19:21 as
	Inequalities for the occurrence times of rare events in mixing processes. The state of the art. [My Copy] In in Mixing Processes. The State of the Art,” Markov Proc. Relat. Fields, Vol. 7 (2000) by Miguel Abadi, Antonio Galves, Dedicated To Joel Lebowitz posted to statistics probability by lehalle on 2009-09-09 20:09:49 as

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finance	151
statistics	123
stochastic-calculus	56
microstructure	35
trading	31
ref	29
control	26
optimization	22
concurrence	19
marketing	19
probability	16
statistical-learning	16
market-impact	15
volatility	14
high-frequency	13
portfolio	13
stochastic-algorithm	10
em-algorithm	8
algo-trading	7
stochastic-control	7
arbitrage	6
hedge	6
ann	5
econometry	5
estimation	5
mathematical-statistics	5
mathematics	5
quantitative-trading	5
correlations	4
funds	4
kernel	4
market-model	4
monitoring	4
omega	4
order-book	4
ratio	4
volumes	4
cds	3
credit	3
dimension-reduction	3
market-making	3
tca	3
algorithm	2
censored-statistics	2
compression	2
copula	2
cours	2
diagnosis	2
distribution	2
dynamical-systems	2
economy	2
ensae	2
fractal	2
hypothesis-testing	2
innovation	2
jump	2
large-deviations	2
legal	2
optimal-trading	2
pde	2
pricing	2
random-matrix	2
rules	2
valuation	2
aerospace	1
akaike	1
at	1
automotive	1
basket	1
benford	1
brownian-motion	1
capm	1
combinatorial-geometry	1
complexity	1
covariance	1
credit_default_swap	1
density	1
derivatives	1
detection	1
dynamic-programming	1
estimator	1
evolution	1
fun	1
game-theory	1
genetical-algorithm	1
interest-rate	1
markov_chain	1
matlab	1
measure	1
noise	1
numerical-computations	1
options_pricing	1
performance	1
portfolio_optimization	1
publications	1
risk	1
risk-neutral	1
robbins-monro	1
semidefinite-programming	1
simple	1
simulation	1
smart-order-routing	1
spectral-decomposition	1
student	1
tex	1
threshold-crossing	1
value	1
variance	1
vibrations	1
yield	1

lehalle's library 321 articles Export

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