Details about Charles-Albert LEHALLE

Access statistics for papers by Charles-Albert LEHALLE.

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

Short-id: ple574

Working Papers

2018

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

2017

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

2015

5. Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
   Papers, arXiv.org View citations (7)
6. 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

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

2013

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

2012

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

2010

19. 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)
20. Optimal algorithmic trading and market microstructure
    Working Papers, HAL View citations (4)
21. Optimal split of orders across liquidity pools: a stochastic algorithm approach
    Working Papers, HAL View citations (16)
    Also in Papers, arXiv.org (2010) View citations (1)
22. Optimal trading algorithms and selfsimilar processes: a p-variation approach
    Working Papers, HAL

Journal Articles

2015

1. GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
   Mathematical Finance, 2015, 25, (3), 457-495 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 View citations (57)
   See also Working Paper (2014)

2014

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

2010

4. 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 (2010)

Edited books

2013

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