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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 2024-01-28. Update your information in the RePEc Author Service.

Short-id: ple574


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Working Papers

2023

  1. Data Preselection in Machine Learning Methods: An Application to Macroeconomic Nowcasting with Google Search Data
    Post-Print, HAL
  2. Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies
    Working Papers, HAL Downloads View citations (2)
    Also in Post-Print, HAL (2020)

2021

  1. Do Word Embeddings Really Understand Loughran-McDonald's Polarities?
    Papers, arXiv.org Downloads
  2. Learning a functional control for high-frequency finance
    Papers, arXiv.org Downloads
  3. Phase Transitions in Kyle's Model with Market Maker Profit Incentives
    Papers, arXiv.org Downloads View citations (1)
  4. Transaction Cost Analytics for Corporate Bonds
    Papers, arXiv.org Downloads
    See also Journal Article Transaction cost analytics for corporate bonds, Quantitative Finance, Taylor & Francis Journals (2022) Downloads (2022)

2020

  1. Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance
    Post-Print, HAL View citations (3)

2019

  1. A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations
    Papers, arXiv.org Downloads View citations (18)
    Also in Working Papers, HAL (2019) Downloads View citations (16)
  2. La finance de marché à l’ère de l’intelligence bon marché
    Post-Print, HAL Downloads
    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) Downloads (2019)
  3. Optimal trading using signals
    Working Papers, HAL
    Also in Papers, arXiv.org (2018) Downloads

2018

  1. Co-impact: Crowding effects in institutional trading activity
    Papers, arXiv.org Downloads View citations (7)
  2. Endogeneous Dynamics of Intraday Liquidity
    Papers, arXiv.org Downloads View citations (1)
  3. Incorporating Signals into Optimal Trading
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article Incorporating signals into optimal trading, Finance and Stochastics, Springer (2019) Downloads View citations (23) (2019)
  4. Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
    Papers, arXiv.org Downloads View citations (2)
  5. Optimal liquidity-based trading tactics
    Papers, arXiv.org Downloads View citations (7)

2017

  1. Mean Field Game of Controls and An Application To Trade Crowding
    Papers, arXiv.org Downloads View citations (7)
  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 (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) Downloads View citations (66) (2015)

2013

  1. Dealing with the Inventory Risk. A solution to the market making problem
    Post-Print, HAL View citations (82)
    Also in Papers, arXiv.org (2012) Downloads View citations (28)
  2. General Intensity Shapes in Optimal Liquidation
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION, Mathematical Finance, Wiley Blackwell (2015) Downloads View citations (30) (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 Real-time market microstructure analysis: online transaction cost analysis, Quantitative Finance, Taylor & Francis Journals (2014) Downloads (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 (62)
    Also in Papers, arXiv.org (2012) Downloads View citations (66)
  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

2011

  1. Optimal split of orders across liquidity pools: a stochastic algorithm approach
    Post-Print, HAL Downloads
    Also in Papers, arXiv.org (2010) Downloads View citations (1)

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 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) Downloads View citations (2) (2010)
  2. Optimal algorithmic trading and market microstructure
    Working Papers, HAL Downloads View citations (4)
  3. Optimal trading algorithms and selfsimilar processes: a p-variation approach
    Working Papers, HAL Downloads

Journal Articles

2022

  1. Transaction cost analytics for corporate bonds
    Quantitative Finance, 2022, 22, (7), 1295-1319 Downloads
    See also Working Paper Transaction Cost Analytics for Corporate Bonds, Papers (2021) Downloads (2021)

2021

  1. Portfolio selection with active strategies: how long only constraints shape convictions
    Journal of Asset Management, 2021, 22, (6), 443-463 Downloads

2019

  1. Incorporating signals into optimal trading
    Finance and Stochastics, 2019, 23, (2), 275-311 Downloads View citations (23)
    See also Working Paper Incorporating Signals into Optimal Trading, Papers (2018) Downloads View citations (3) (2018)
  2. La finance de marché à l’ère de l’intelligence bon marché
    Revue d'économie financière, 2019, N° 135, (3), 67-84 Downloads
    See also Working Paper La finance de marché à l’ère de l’intelligence bon marché, Post-Print (2019) Downloads (2019)

2015

  1. GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
    Mathematical Finance, 2015, 25, (3), 457-495 Downloads View citations (30)
    See also Working Paper General Intensity Shapes in Optimal Liquidation, Papers (2013) Downloads View citations (6) (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 (66)
    See also Working Paper Simulating and analyzing order book data: The queue-reactive model, Papers (2014) Downloads View citations (11) (2014)

2014

  1. Real-time market microstructure analysis: online transaction cost analysis
    Quantitative Finance, 2014, 14, (7), 1167-1185 Downloads
    See also Working Paper Realtime market microstructure analysis: online Transaction Cost Analysis, Papers (2013) Downloads View citations (1) (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 Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs, Post-Print (2010) View citations (1) (2010)

Edited books

2023

  1. Machine Learning and Data Sciences for Financial Markets
    Cambridge Books, Cambridge University Press

2022

  1. Financial Markets in Practice:From Post-Crisis Intermediation to FinTechs
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

2018

  1. Market Microstructure in Practice
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

2013

  1. Market Microstructure in Practice
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads View citations (39)

Chapters

2018

  1. Monitoring the Fragmentation at Any Scale
    Chapter 1 in Market Microstructure in Practice, 2018, pp 33-115 Downloads
    Also in Chapter 2 in Market Microstructure in Practice, 2013, pp 29-107 (2013) Downloads
  2. Optimal Organizations for Optimal Trading
    Chapter 3 in Market Microstructure in Practice, 2018, pp 193-246 Downloads
    Also in Chapter 4 in Market Microstructure in Practice, 2013, pp 185-220 (2013) Downloads
  3. Understanding the Stakes and the Roots of Fragmentation
    Chapter 2 in Market Microstructure in Practice, 2018, pp 117-191 Downloads
    Also in Chapter 3 in Market Microstructure in Practice, 2013, pp 109-183 (2013) Downloads

2013

  1. Introduction
    Chapter 1 in Market Microstructure in Practice, 2013, pp 1-27 Downloads
 
Page updated 2024-04-11