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
Jump to Journal Articles Edited books
Working Papers
2018
- Incorporating Signals into Optimal Trading
Papers, arXiv.org View citations (3)
- Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
Papers, arXiv.org View citations (2)
2017
- Mean Field Game of Controls and An Application To Trade Crowding
Papers, arXiv.org View citations (6)
- 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 (6)
- 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
- 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)
- General Intensity Shapes in Optimal Liquidation
Papers, arXiv.org View citations (5)
See also Journal Article in Mathematical Finance (2015)
- Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
Papers, arXiv.org View citations (8)
- OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE
Post-Print, HAL
- Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
Papers, arXiv.org View citations (1)
- Realtime market microstructure analysis: online Transaction Cost Analysis
Papers, arXiv.org View citations (1)
See also Journal Article in Quantitative Finance (2014)
2012
- Market microstructure: confronting many viewpoints
Post-Print, HAL View citations (11)
- Optimal Portfolio Liquidation with Limit Orders
Post-Print, HAL View citations (55)
Also in Papers, arXiv.org (2012) View citations (57)
- 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
2010
- 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)
- Optimal algorithmic trading and market microstructure
Working Papers, HAL View citations (4)
- 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)
- Optimal trading algorithms and selfsimilar processes: a p-variation approach
Working Papers, HAL
Journal Articles
2015
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
Mathematical Finance, 2015, 25, (3), 457-495 View citations (25)
See also Working Paper (2013)
- 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
- Real-time market microstructure analysis: online transaction cost analysis
Quantitative Finance, 2014, 14, (7), 1167-1185 
See also Working Paper (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 (2010)
Edited books
2013
- Market Microstructure in Practice
World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (36)
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