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Charles-Albert Lehalle


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Personal Details

First Name: Charles-Albert
Middle Name:
Last Name: Lehalle

RePEc Short-ID: ple574

Email: [This author has chosen not to make the email address public]
Postal Address:


Capital Fund Management (CFM)
Location: Paris, France


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Working papers

  1. Aim\'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions, 2013. "Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis," Papers 1305.6323,, revised Mar 2014.
  2. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592,
  3. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2013. "Simulating and analyzing order book data: The queue-reactive model," Papers 1312.0563,, revised Sep 2014.
  4. Robert Azencott & Arjun Beri & Yutheeka Gadhyan & Nicolas Joseph & Charles-Albert Lehalle & Matthew Rowley, 2013. "Realtime market microstructure analysis: online Transaction Cost Analysis," Papers 1302.6363,, revised Mar 2013.
  5. Olivier Gu\'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148,, revised Jun 2013.
  6. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
  7. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall," Papers 1205.3482,, revised Dec 2013.
  8. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag\`es, 2011. "Optimal posting price of limit orders: learning by trading," Papers 1112.2397,, revised Sep 2012.
  9. Guéant, Olivier & Lehalle, Charles-Albert & Tapia, Joaquin Fernandez, 2011. "Dealing with the Inventory Risk," Economics Papers from University Paris Dauphine 123456789/7390, Paris Dauphine University.
  10. Olivier Gu\'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Dealing with the Inventory Risk. A solution to the market making problem," Papers 1105.3115,, revised Aug 2012.
  11. Olivier Gu\'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279,, revised Jul 2012.
  12. Mauricio Labadie & Charles-Albert Lehalle, 2010. "Optimal trading algorithms and selfsimilar processes: a p-variation approach," Working Papers hal-00546145, HAL.
  13. Mauricio Labadie & Charles-Albert Lehalle, 2010. "Optimal algorithmic trading and market microstructure," Working Papers hal-00590283, HAL.
  14. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pagès, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Working Papers hal-00422427, HAL.


  1. R. Azencott & A. Beri & Y. Gadhyan & N. Joseph & C.-A. Lehalle & M. Rowley, 2014. "Real-time market microstructure analysis: online transaction cost analysis," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(7), pages 1167-1185, July.
  2. Yann Braouezec & Charles-Albert Lehalle, 2010. "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., vol. 13(04), pages 537-576.

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2011-05-30
  2. NEP-CMP: Computational Economics (4) 2009-10-10 2011-05-14 2011-12-19 2013-12-06. Author is listed
  3. NEP-MST: Market Microstructure (10) 2009-10-10 2011-05-14 2011-05-30 2011-06-25 2012-05-22 2012-06-25 2013-03-02 2013-03-02 2013-06-04 2013-12-06. Author is listed
  4. NEP-RMG: Risk Management (2) 2012-05-22 2012-06-25


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