Charles-Albert LEHALLE
Names
| first: | Charles-Albert |
| last: | LEHALLE |
Identifer
| RePEc Short-ID: | ple574 |
Contact
| homepage: | http://www.citeulike.org/user/lehalle/author/Lehalle |
Affiliations
-
Capital Fund Management (CFM) (weight: 50%)
- https://www.cfm.fr/en/
- location: Paris, France
Research profile
author of:
- Optimal split of orders across liquidity pools: a stochastic algorithm approach (RePEc:arx:papers:0910.1166)
by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es - Dealing with the Inventory Risk. A solution to the market making problem (RePEc:arx:papers:1105.3115)
by Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia - Optimal Portfolio Liquidation with Limit Orders (RePEc:arx:papers:1106.3279)
by Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia - Optimal posting price of limit orders: learning by trading (RePEc:arx:papers:1112.2397)
by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es - General Intensity Shapes in Optimal Liquidation (RePEc:arx:papers:1204.0148)
by Olivier Gu'eant & Charles-Albert Lehalle - Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall (RePEc:arx:papers:1205.3482)
by Mauricio Labadie & Charles-Albert Lehalle - Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process (RePEc:arx:papers:1302.4592)
by Charles-Albert Lehalle - Realtime market microstructure analysis: online Transaction Cost Analysis (RePEc:arx:papers:1302.6363)
by Robert Azencott & Arjun Beri & Yutheeka Gadhyan & Nicolas Joseph & Charles-Albert Lehalle & Matthew Rowley - Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis (RePEc:arx:papers:1305.6323)
by Aim'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions - Simulating and analyzing order book data: The queue-reactive model (RePEc:arx:papers:1312.0563)
by Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum - Market impacts and the life cycle of investors orders (RePEc:arx:papers:1412.0217)
by Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle - How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program (RePEc:arx:papers:1507.07052)
by Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum - Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency (RePEc:arx:papers:1610.00261)
by Charles-Albert Lehalle & Othmane Mounjid - Mean Field Game of Controls and An Application To Trade Crowding (RePEc:arx:papers:1610.09904)
by Pierre Cardaliaguet & Charles-Albert Lehalle - Mini-symposium on automatic differentiation and its applications in the financial industry (RePEc:arx:papers:1703.02311)
by S'ebastien Geeraert & Charles-Albert Lehalle & Barak Pearlmutter & Olivier Pironneau & Adil Reghai - Incorporating Signals into Optimal Trading (RePEc:arx:papers:1704.00847)
by Charles-Albert Lehalle & Eyal Neuman - Optimal liquidity-based trading tactics (RePEc:arx:papers:1803.05690)
by Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum - Co-impact: Crowding effects in institutional trading activity (RePEc:arx:papers:1804.09565)
by Fr'ed'eric Bucci & Iacopo Mastromatteo & Zolt'an Eisler & Fabrizio Lillo & Jean-Philippe Bouchaud & Charles-Albert Lehalle - Optimal trading using signals (RePEc:arx:papers:1811.03718)
by Hadrien De March & Charles-Albert Lehalle - Endogeneous Dynamics of Intraday Liquidity (RePEc:arx:papers:1811.03766)
by Miko{l}aj Bi'nkowski & Charles-Albert Lehalle - A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations (RePEc:arx:papers:1902.09606)
by Charles-Albert Lehalle & Charafeddine Mouzouni - Transaction Cost Analytics for Corporate Bonds (RePEc:arx:papers:1903.09140)
by Xin Guo & Charles-Albert Lehalle & Renyuan Xu - Learning a functional control for high-frequency finance (RePEc:arx:papers:2006.09611)
by Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle - Phase Transitions in Kyle's Model with Market Maker Profit Incentives (RePEc:arx:papers:2103.04481)
by Charles-Albert Lehalle & Eyal Neuman & Segev Shlomov - Do Word Embeddings Really Understand Loughran-McDonald's Polarities? (RePEc:arx:papers:2103.09813)
by Mengda Li & Charles-Albert Lehalle - General Intensity Shapes In Optimal Liquidation (RePEc:bla:mathfi:v:25:y:2015:i:3:p:457-495)
by Olivier Guéant & Charles-Albert Lehalle - La finance de marché à l’ère de l’intelligence bon marché (RePEc:cai:refaef:ecofi_135_0067)
by Charles-Albert Lehalle - Machine Learning and Data Sciences for Financial Markets (RePEc:cup:cbooks:9781316516195)
by None - Optimal split of orders across liquidity pools: a stochastic algorithm approach (RePEc:hal:journl:hal-00422427)
by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pagès - Corporate Liquidity, Dividend Policy and Default Risk : Optimal Financial Policy and Agency Costs (RePEc:hal:journl:hal-00677759)
by Y. Braouezec & C.A Lehalle - Market microstructure: confronting many viewpoints (RePEc:hal:journl:hal-00872398)
by Frédéric Abergel & Jean-Philippe Bouchaud & Thierry Foucault & Mathieu Rosenbaum & Charles-Albert Lehalle - Optimization And Statistical Methods For High Frequency Finance (RePEc:hal:journl:hal-01102785)
by Marc Hoffmann & Mauricio Labadie & Charles-Albert Lehalle & Gilles Pagès & Huyên Pham & Mathieu Rosenbaum - Dealing with the Inventory Risk. A solution to the market making problem (RePEc:hal:journl:hal-01393110)
by Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia - Optimal Portfolio Liquidation with Limit Orders (RePEc:hal:journl:hal-01393114)
by Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia - La finance de marché à l’ère de l’intelligence bon marché (RePEc:hal:journl:hal-02314348)
by Charles-Albert Lehalle - Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance (RePEc:hal:journl:hal-03356621)
by Marie Brière & Charles Albert Lehalle & Tamara Nefedova & Amine Raboun - Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies (RePEc:hal:journl:hal-04283720)
by Marie Brière & Charles-Albert Lehalle & Tamara Nefedova & Amine Raboun - Data Preselection in Machine Learning Methods: An Application to Macroeconomic Nowcasting with Google Search Data (RePEc:hal:journl:hal-04369062)
by Agostino Capponi & Charles-Albert Lehalle & Anna Simoni & Laurent Ferrara - Optimal split of orders across liquidity pools: a stochastic algorithm approach (RePEc:hal:wpaper:hal-00422427)
by Sophie Laruelle & Charles-Albert Lehalle & Gilles Pagès - Optimal trading algorithms and selfsimilar processes: a p-variation approach (RePEc:hal:wpaper:hal-00546145)
by Mauricio Labadie & Charles-Albert Lehalle - Optimal algorithmic trading and market microstructure (RePEc:hal:wpaper:hal-00590283)
by Mauricio Labadie & Charles-Albert Lehalle - Optimal starting times, stopping times and risk measures for algorithmic trading (RePEc:hal:wpaper:hal-00705056)
by Mauricio Labadie & Charles-Albert Lehalle - A Mean Field Game Of Portfolio Trading And Its Consequences On Perceived Correlations (RePEc:hal:wpaper:hal-02003143)
by Charles-Albert Lehalle & Charafeddine Mouzouni - Optimal trading using signals (RePEc:hal:wpaper:hal-02011535)
by Hadrien de March & Charles-Albert Lehalle - Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies (RePEc:hal:wpaper:hal-02283349)
by Marie Brière & Tamara Nefedova & Amine Raboun - Portfolio selection with active strategies: how long only constraints shape convictions (RePEc:pal:assmgt:v:22:y:2021:i:6:d:10.1057_s41260-021-00219-z)
by Charles-Albert Lehalle & Guillaume Simon - Incorporating signals into optimal trading (RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7)
by Charles-Albert Lehalle & Eyal Neuman - Simulating and Analyzing Order Book Data: The Queue-Reactive Model (RePEc:taf:jnlasa:v:110:y:2015:i:509:p:107-122)
by Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum - Real-time market microstructure analysis: online transaction cost analysis (RePEc:taf:quantf:v:14:y:2014:i:7:p:1167-1185)
by R. Azencott & A. Beri & Y. Gadhyan & N. Joseph & C.-A. Lehalle & M. Rowley - Transaction cost analytics for corporate bonds (RePEc:taf:quantf:v:22:y:2022:i:7:p:1295-1319)
by Xin Guo & Charles-Albert Lehalle & Renyuan Xu - Corporate Liquidity, Dividend Policy And Default Risk: Optimal Financial Policy And Agency Costs (RePEc:wsi:ijtafx:v:13:y:2010:i:04:n:s0219024910005929)
by Yann Braouezec & Charles-Albert Lehalle - Market Microstructure in Practice (RePEc:wsi:wsbook:10739)
by None - Financial Markets in Practice:From Post-Crisis Intermediation to FinTechs (RePEc:wsi:wsbook:12731)
by None - Market Microstructure in Practice (RePEc:wsi:wsbook:8967)
by None - Monitoring the Fragmentation at Any Scale (RePEc:wsi:wschap:9789813231139_0001)
by Charles-Albert Lehalle & Sophie Laruelle - Understanding the Stakes and the Roots of Fragmentation (RePEc:wsi:wschap:9789813231139_0002)
by Charles-Albert Lehalle & Sophie Laruelle - Optimal Organizations for Optimal Trading (RePEc:wsi:wschap:9789813231139_0003)
by Charles-Albert Lehalle & Sophie Laruelle - Introduction (RePEc:wsi:wschap:9789814566179_0001)
by Charles-Albert Lehalle & Sophie Laruelle - Monitoring the Fragmentation at Any Scale (RePEc:wsi:wschap:9789814566179_0002)
by Charles-Albert Lehalle & Sophie Laruelle - Understanding the Stakes and the Roots of Fragmentation (RePEc:wsi:wschap:9789814566179_0003)
by Charles-Albert Lehalle & Sophie Laruelle - Optimal Organisations for Optimal Trading (RePEc:wsi:wschap:9789814566179_0004)
by Charles-Albert Lehalle & Sophie Laruelle