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

Working Papers

2023

1. Data Preselection in Machine Learning Methods: An Application to Macroeconomic Nowcasting with Google Search Data
   Post-Print, HAL

2021

2. Do Word Embeddings Really Understand Loughran-McDonald's Polarities?
   Papers, arXiv.org
3. Learning a functional control for high-frequency finance
   Papers, arXiv.org
4. Phase Transitions in Kyle's Model with Market Maker Profit Incentives
   Papers, arXiv.org View citations (1)
5. 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

6. Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance
   Post-Print, HAL View citations (3)
7. Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies
   Post-Print, HAL
   Also in Working Papers, HAL (2020) View citations (3)

2019

8. 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)
9. 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)
10. Optimal trading using signals
    Working Papers, HAL
    Also in Papers, arXiv.org (2018)

2018

11. Co-impact: Crowding effects in institutional trading activity
    Papers, arXiv.org View citations (7)
12. Endogeneous Dynamics of Intraday Liquidity
    Papers, arXiv.org View citations (1)
13. 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 (31) (2019)
14. Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
    Papers, arXiv.org View citations (2)
15. Optimal liquidity-based trading tactics
    Papers, arXiv.org View citations (8)

2017

16. Mean Field Game of Controls and An Application To Trade Crowding
    Papers, arXiv.org View citations (8)
17. Mini-symposium on automatic differentiation and its applications in the financial industry
    Papers, arXiv.org View citations (1)

2015

18. Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
    Papers, arXiv.org View citations (7)
19. 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

20. Market impacts and the life cycle of investors orders
    Papers, arXiv.org View citations (7)
21. 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 (75) (2015)

2013

22. Dealing with the Inventory Risk. A solution to the market making problem
    Post-Print, HAL View citations (92)
    Also in Papers, arXiv.org (2012) View citations (29)
23. 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)
24. Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
    Papers, arXiv.org View citations (8)
25. Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
    Papers, arXiv.org View citations (1)
26. Optimization and statistical methods for high frequency finance
    Post-Print, HAL
27. 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

28. Market microstructure: confronting many viewpoints
    Post-Print, HAL View citations (12)
29. Optimal Portfolio Liquidation with Limit Orders
    Papers, arXiv.org View citations (72)
    Also in Post-Print, HAL (2012) View citations (63)
30. Optimal posting price of limit orders: learning by trading
    Papers, arXiv.org View citations (1)
31. Optimal starting times, stopping times and risk measures for algorithmic trading
    Working Papers, HAL

2011

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

2010

33. 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)
34. Optimal algorithmic trading and market microstructure
    Working Papers, HAL View citations (5)
35. Optimal trading algorithms and selfsimilar processes: a p-variation approach
    Working Papers, HAL

Journal Articles

2022

1. 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

2. Portfolio selection with active strategies: how long only constraints shape convictions
   Journal of Asset Management, 2021, 22, (6), 443-463 View citations (2)

2019

3. Incorporating signals into optimal trading
   Finance and Stochastics, 2019, 23, (2), 275-311 View citations (31)
   See also Working Paper Incorporating Signals into Optimal Trading, Papers (2018) View citations (3) (2018)
4. 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

5. 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)
6. Simulating and Analyzing Order Book Data: The Queue-Reactive Model
   Journal of the American Statistical Association, 2015, 110, (509), 107-122 View citations (75)
   See also Working Paper Simulating and analyzing order book data: The queue-reactive model, Papers (2014) View citations (11) (2014)

2014

7. 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

8. 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

1. Machine Learning and Data Sciences for Financial Markets
   Cambridge Books, Cambridge University Press View citations (1)

2022

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

2018

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

2013

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

Chapters

2024

1. Mathematics of Embeddings: Spillover of Polarities over Financial Texts
   Chapter 3 in REVIEWS IN MODERN QUANTITATIVE FINANCE, 2024, pp 151-188

2018

2. 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)
3. 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)
4. 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

5. Introduction
   Chapter 1 in Market Microstructure in Practice, 2013, pp 1-27