Details about Charles-Albert LEHALLE
Access statistics for papers by Charles-Albert LEHALLE.
Last updated 2024-06-08. Update your information in the RePEc Author Service.
Short-id: ple574
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Working Papers
2023
- Data Preselection in Machine Learning Methods: An Application to Macroeconomic Nowcasting with Google Search Data
Post-Print, HAL
2021
- Do Word Embeddings Really Understand Loughran-McDonald's Polarities?
Papers, arXiv.org
- Learning a functional control for high-frequency finance
Papers, arXiv.org
- Phase Transitions in Kyle's Model with Market Maker Profit Incentives
Papers, arXiv.org View citations (1)
- Transaction Cost Analytics for Corporate Bonds
Papers, arXiv.org 
See also Journal Article Transaction cost analytics for corporate bonds, Quantitative Finance, Taylor & Francis Journals (2022) (2022)
2020
- Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance
Post-Print, HAL View citations (3)
- Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies
Working Papers, HAL View citations (3)
Also in Post-Print, HAL (2020)
2019
- A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations
Papers, arXiv.org View citations (18)
Also in Working Papers, HAL (2019) View citations (16)
- La finance de marché à l’ère de l’intelligence bon marché
Post-Print, HAL 
See also Journal Article La finance de marché à l’ère de l’intelligence bon marché, Revue d'économie financière, Association d'économie financière (2019) (2019)
- Optimal trading using signals
Working Papers, HAL
Also in Papers, arXiv.org (2018)
2018
- Co-impact: Crowding effects in institutional trading activity
Papers, arXiv.org View citations (7)
- Endogeneous Dynamics of Intraday Liquidity
Papers, arXiv.org View citations (1)
- Incorporating Signals into Optimal Trading
Papers, arXiv.org View citations (3)
See also Journal Article Incorporating signals into optimal trading, Finance and Stochastics, Springer (2019) View citations (28) (2019)
- Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
Papers, arXiv.org View citations (2)
- Optimal liquidity-based trading tactics
Papers, arXiv.org View citations (8)
2017
- Mean Field Game of Controls and An Application To Trade Crowding
Papers, arXiv.org View citations (8)
- Mini-symposium on automatic differentiation and its applications in the financial industry
Papers, arXiv.org View citations (1)
2015
- Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
Papers, arXiv.org View citations (7)
- How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
Papers, arXiv.org View citations (3)
2014
- Market impacts and the life cycle of investors orders
Papers, arXiv.org View citations (7)
- Simulating and analyzing order book data: The queue-reactive model
Papers, arXiv.org View citations (11)
See also Journal Article Simulating and Analyzing Order Book Data: The Queue-Reactive Model, Journal of the American Statistical Association, Taylor & Francis Journals (2015) View citations (74) (2015)
2013
- Dealing with the Inventory Risk. A solution to the market making problem
Post-Print, HAL View citations (90)
Also in Papers, arXiv.org (2012) View citations (29)
- General Intensity Shapes in Optimal Liquidation
Papers, arXiv.org View citations (6)
See also Journal Article GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION, Mathematical Finance, Wiley Blackwell (2015) View citations (31) (2015)
- Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
Papers, arXiv.org View citations (8)
- Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
Papers, arXiv.org View citations (1)
- Optimization and statistical methods for high frequency finance
Post-Print, HAL
- Realtime market microstructure analysis: online Transaction Cost Analysis
Papers, arXiv.org View citations (1)
See also Journal Article Real-time market microstructure analysis: online transaction cost analysis, Quantitative Finance, Taylor & Francis Journals (2014) (2014)
2012
- Market microstructure: confronting many viewpoints
Post-Print, HAL View citations (12)
- Optimal Portfolio Liquidation with Limit Orders
Papers, arXiv.org View citations (70)
Also in Post-Print, HAL (2012) View citations (62)
- Optimal posting price of limit orders: learning by trading
Papers, arXiv.org View citations (1)
- Optimal starting times, stopping times and risk measures for algorithmic trading
Working Papers, HAL
2011
- Optimal split of orders across liquidity pools: a stochastic algorithm approach
Post-Print, HAL 
Also in Papers, arXiv.org (2010) View citations (1)
2010
- Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs
Post-Print, HAL View citations (1)
See also Journal Article CORPORATE LIQUIDITY, DIVIDEND POLICY AND DEFAULT RISK: OPTIMAL FINANCIAL POLICY AND AGENCY COSTS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2010) View citations (2) (2010)
- Optimal algorithmic trading and market microstructure
Working Papers, HAL View citations (5)
- Optimal trading algorithms and selfsimilar processes: a p-variation approach
Working Papers, HAL
Journal Articles
2022
- Transaction cost analytics for corporate bonds
Quantitative Finance, 2022, 22, (7), 1295-1319 
See also Working Paper Transaction Cost Analytics for Corporate Bonds, Papers (2021) (2021)
2021
- Portfolio selection with active strategies: how long only constraints shape convictions
Journal of Asset Management, 2021, 22, (6), 443-463 View citations (2)
2019
- Incorporating signals into optimal trading
Finance and Stochastics, 2019, 23, (2), 275-311 View citations (28)
See also Working Paper Incorporating Signals into Optimal Trading, Papers (2018) View citations (3) (2018)
- La finance de marché à l’ère de l’intelligence bon marché
Revue d'économie financière, 2019, N° 135, (3), 67-84 
See also Working Paper La finance de marché à l’ère de l’intelligence bon marché, Post-Print (2019) (2019)
2015
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
Mathematical Finance, 2015, 25, (3), 457-495 View citations (31)
See also Working Paper General Intensity Shapes in Optimal Liquidation, Papers (2013) View citations (6) (2013)
- Simulating and Analyzing Order Book Data: The Queue-Reactive Model
Journal of the American Statistical Association, 2015, 110, (509), 107-122 View citations (74)
See also Working Paper Simulating and analyzing order book data: The queue-reactive model, Papers (2014) View citations (11) (2014)
2014
- Real-time market microstructure analysis: online transaction cost analysis
Quantitative Finance, 2014, 14, (7), 1167-1185 
See also Working Paper Realtime market microstructure analysis: online Transaction Cost Analysis, Papers (2013) View citations (1) (2013)
2010
- CORPORATE LIQUIDITY, DIVIDEND POLICY AND DEFAULT RISK: OPTIMAL FINANCIAL POLICY AND AGENCY COSTS
International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (04), 537-576 View citations (2)
See also Working Paper Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs, Post-Print (2010) View citations (1) (2010)
Edited books
2023
- Machine Learning and Data Sciences for Financial Markets
Cambridge Books, Cambridge University Press View citations (1)
2022
- Financial Markets in Practice:From Post-Crisis Intermediation to FinTechs
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
2018
- Market Microstructure in Practice
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
2013
- Market Microstructure in Practice
World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (39)
Chapters
2024
- Mathematics of Embeddings: Spillover of Polarities over Financial Texts
Chapter 3 in REVIEWS IN MODERN QUANTITATIVE FINANCE, 2024, pp 151-188
2018
- Monitoring the Fragmentation at Any Scale
Chapter 1 in Market Microstructure in Practice, 2018, pp 33-115 
Also in Chapter 2 in Market Microstructure in Practice, 2013, pp 29-107 (2013)
- Optimal Organizations for Optimal Trading
Chapter 3 in Market Microstructure in Practice, 2018, pp 193-246 
Also in Chapter 4 in Market Microstructure in Practice, 2013, pp 185-220 (2013)
- Understanding the Stakes and the Roots of Fragmentation
Chapter 2 in Market Microstructure in Practice, 2018, pp 117-191 
Also in Chapter 3 in Market Microstructure in Practice, 2013, pp 109-183 (2013)
2013
- Introduction
Chapter 1 in Market Microstructure in Practice, 2013, pp 1-27
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