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Details about Charles-Albert LEHALLE

Homepage:http://www.citeulike.org/user/lehalle/author/Lehalle
Workplace:Capital Fund Management (CFM)

Access statistics for papers by Charles-Albert LEHALLE.

Last updated 2017-07-31. Update your information in the RePEc Author Service.

Short-id: ple574


Jump to Journal Articles Edited books

Working Papers

2018

  1. Incorporating Signals into Optimal Trading
    Papers, arXiv.org Downloads View citations (3)
  2. Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
    Papers, arXiv.org Downloads View citations (2)

2017

  1. Mean Field Game of Controls and An Application To Trade Crowding
    Papers, arXiv.org Downloads View citations (6)
  2. Mini-symposium on automatic differentiation and its applications in the financial industry
    Papers, arXiv.org Downloads View citations (1)

2015

  1. Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
    Papers, arXiv.org Downloads View citations (7)
  2. How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
    Papers, arXiv.org Downloads View citations (3)

2014

  1. Market impacts and the life cycle of investors orders
    Papers, arXiv.org Downloads View citations (6)
  2. Simulating and analyzing order book data: The queue-reactive model
    Papers, arXiv.org Downloads View citations (10)
    See also Journal Article in Journal of the American Statistical Association (2015)

2013

  1. Dealing with the Inventory Risk. A solution to the market making problem
    Post-Print, HAL View citations (75)
    Also in Papers, arXiv.org (2012) Downloads View citations (25)
  2. General Intensity Shapes in Optimal Liquidation
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in Mathematical Finance (2015)
  3. Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
    Papers, arXiv.org Downloads View citations (8)
  4. OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE
    Post-Print, HAL Downloads
  5. Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
    Papers, arXiv.org Downloads View citations (1)
  6. Realtime market microstructure analysis: online Transaction Cost Analysis
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2014)

2012

  1. Market microstructure: confronting many viewpoints
    Post-Print, HAL View citations (11)
  2. Optimal Portfolio Liquidation with Limit Orders
    Post-Print, HAL View citations (55)
    Also in Papers, arXiv.org (2012) Downloads View citations (57)
  3. Optimal posting price of limit orders: learning by trading
    Papers, arXiv.org Downloads View citations (1)
  4. Optimal starting times, stopping times and risk measures for algorithmic trading
    Working Papers, HAL Downloads

2010

  1. Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs
    Post-Print, HAL View citations (1)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2010)
  2. Optimal algorithmic trading and market microstructure
    Working Papers, HAL Downloads View citations (4)
  3. Optimal split of orders across liquidity pools: a stochastic algorithm approach
    Working Papers, HAL Downloads View citations (16)
    Also in Papers, arXiv.org (2010) Downloads View citations (1)
  4. Optimal trading algorithms and selfsimilar processes: a p-variation approach
    Working Papers, HAL Downloads

Journal Articles

2015

  1. GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
    Mathematical Finance, 2015, 25, (3), 457-495 Downloads View citations (25)
    See also Working Paper (2013)
  2. Simulating and Analyzing Order Book Data: The Queue-Reactive Model
    Journal of the American Statistical Association, 2015, 110, (509), 107-122 Downloads View citations (57)
    See also Working Paper (2014)

2014

  1. Real-time market microstructure analysis: online transaction cost analysis
    Quantitative Finance, 2014, 14, (7), 1167-1185 Downloads
    See also Working Paper (2013)

2010

  1. 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 Downloads View citations (2)
    See also Working Paper (2010)

Edited books

2013

  1. Market Microstructure in Practice
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads View citations (36)
 
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