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Charles-Albert LEHALLE

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Charles-Albert Lehalle & Eyal Neuman & Segev Shlomov, 2021. "Phase Transitions in Kyle's Model with Market Maker Profit Incentives," Papers 2103.04481, arXiv.org.

    Cited by:

    1. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023. "Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 599-625, July.

  2. Marie Brière & Charles-Albert Lehalle & Tamara Nefedova & Amine Raboun, 2020. "Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies," Post-Print hal-04283720, HAL.

    Cited by:

    1. Marie Briere & Ariane Szafarz, 2021. "When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times," Working Papers CEB 21-002, ULB -- Universite Libre de Bruxelles.
    2. Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).

  3. Marie Brière & Charles Albert Lehalle & Tamara Nefedova & Amine Raboun, 2020. "Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance," Post-Print hal-03356621, HAL.

    Cited by:

    1. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
    2. Thierry Roncalli & Amina Cherief & Fatma Karray-Meziou & Margaux Regnault, 2021. "Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk," Papers 2105.08377, arXiv.org.

  4. Charles-Albert Lehalle & Charafeddine Mouzouni, 2019. "A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations," Papers 1902.09606, arXiv.org.

    Cited by:

    1. Masaaki Fujii & Akihiko Takahashi, 2022. "Equilibrium Price Formation with a Major Player and its Mean Field Limit (Forthcoming in ESAIM: Control, Optimization and Calculus of Variations)(Revised version of CARF-F-509)," CARF F-Series CARF-F-533, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen, 2020. "How to build a cross-impact model from first principles: Theoretical requirements and empirical results," Papers 2004.01624, arXiv.org, revised Mar 2022.
    3. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," CARF F-Series CARF-F-509, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CARF F-Series CARF-F-521, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    5. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CIRJE F-Series CIRJE-F-1177, CIRJE, Faculty of Economics, University of Tokyo.
    6. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CARF F-Series CARF-F-495, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. Masaaki Fujii & Akihiko Takahashi, 2021. "``Equilibrium Price Formation with a Major Player and its Mean Field Limit''," CIRJE F-Series CIRJE-F-1162, CIRJE, Faculty of Economics, University of Tokyo.
    8. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CIRJE F-Series CIRJE-F-1156, CIRJE, Faculty of Economics, University of Tokyo.
    9. Arvind Shrivats & Dena Firoozi & Sebastian Jaimungal, 2020. "A Mean-Field Game Approach to Equilibrium Pricing in Solar Renewable Energy Certificate Markets," Papers 2003.04938, arXiv.org, revised Aug 2021.
    10. Masaaki Fujii, 2020. "Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations," CARF F-Series CARF-F-497, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    11. Arvind V. Shrivats & Dena Firoozi & Sebastian Jaimungal, 2022. "A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 779-824, July.
    12. Masaaki Fujii & Akihiko Takahashi, 2021. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," CIRJE F-Series CIRJE-F-1180, CIRJE, Faculty of Economics, University of Tokyo.
    13. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," Papers 2102.10756, arXiv.org, revised Feb 2022.
    14. Steven Campbell & Yichao Chen & Arvind Shrivats & Sebastian Jaimungal, 2021. "Deep Learning for Principal-Agent Mean Field Games," Papers 2110.01127, arXiv.org.
    15. Hanchao Liu & Dena Firoozi & Mich`ele Breton, 2023. "LQG Risk-Sensitive Single-Agent and Major-Minor Mean Field Game Systems: A Variational Framework," Papers 2305.15364, arXiv.org, revised Aug 2023.
    16. Masaaki Fujii & Akihiko Takahashi, 2020. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," Papers 2010.09186, arXiv.org, revised Dec 2021.
    17. Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.

  5. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.

    Cited by:

    1. Kharma, Céline & Eugster, Nicolas, 2021. "Is competition beneficial? The case of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 76(C).

  6. Fr'ed'eric Bucci & Iacopo Mastromatteo & Zolt'an Eisler & Fabrizio Lillo & Jean-Philippe Bouchaud & Charles-Albert Lehalle, 2018. "Co-impact: Crowding effects in institutional trading activity," Papers 1804.09565, arXiv.org, revised Jul 2018.

    Cited by:

    1. Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Are trading invariants really invariant? Trading costs matter," Post-Print hal-02323318, HAL.
    2. Fr'ed'eric Bucci & Michael Benzaquen & Fabrizio Lillo & Jean-Philippe Bouchaud, 2019. "Slow decay of impact in equity markets: insights from the ANcerno database," Papers 1901.05332, arXiv.org, revised Jan 2019.
    3. Fr'ed'eric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Papers 1905.04569, arXiv.org.
    4. Fr'ed'eric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Are trading invariants really invariant? Trading costs matter," Papers 1902.03457, arXiv.org.
    5. Frédéric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Post-Print hal-02323182, HAL.
    6. Frédéric Bucci & Michael Benzaquen & Fabrizio Lillo & Jean-Philippe Bouchaud, 2019. "Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database," Post-Print hal-02323357, HAL.

  7. Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum, 2018. "Optimal liquidity-based trading tactics," Papers 1803.05690, arXiv.org.

    Cited by:

    1. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
    2. Peng Wu & Marcello Rambaldi & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2019. "Queue-reactive Hawkes models for the order flow," Papers 1901.08938, arXiv.org.
    3. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2019. "Optimal inventory management and order book modeling," Post-Print hal-01710301, HAL.
    4. Peng Wu & Marcello Rambaldi & Jean-François Muzy & Emmanuel Bacry, 2023. "A single queue-reactive Hawkes model for the order flow," Post-Print hal-02409073, HAL.
    5. Felix Lokin & Fenghui Yu, 2024. "Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows," Papers 2403.02572, arXiv.org.
    6. Colaneri, Katia & Eksi, Zehra & Frey, Rüdiger & Szölgyenyi, Michaela, 2020. "Optimal liquidation under partial information with price impact," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1913-1946.
    7. Frédéric Abergel & Côme Huré & Huyên Pham, 2020. "Algorithmic trading in a microstructural limit order book model," Post-Print hal-01514987, HAL.

  8. S'ebastien Geeraert & Charles-Albert Lehalle & Barak Pearlmutter & Olivier Pironneau & Adil Reghai, 2017. "Mini-symposium on automatic differentiation and its applications in the financial industry," Papers 1703.02311, arXiv.org, revised Jun 2017.

    Cited by:

    1. Charles-Albert Lehalle & Eyal Neuman & Segev Shlomov, 2021. "Phase Transitions in Kyle's Model with Market Maker Profit Incentives," Papers 2103.04481, arXiv.org.

  9. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.

    Cited by:

    1. Claudio Bellani & Damiano Brigo & Alex Done & Eyal Neuman, 2018. "Static vs Adaptive Strategies for Optimal Execution with Signals," Papers 1811.11265, arXiv.org, revised Jul 2019.
    2. Jean-Pierre Fouque & Sebastian Jaimungal & Yuri F. Saporito, 2021. "Optimal Trading with Signals and Stochastic Price Impact," Papers 2101.10053, arXiv.org, revised Aug 2023.
    3. Vicky Henderson & Saul Jacka & Ruiqi Liu, 2021. "The Support and Resistance Line Method: An Analysis via Optimal Stopping," Papers 2103.02331, arXiv.org.
    4. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    5. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
    6. Claudio Bellani & Damiano Brigo, 2019. "Mechanics of good trade execution in the framework of linear temporary market impact," Papers 1909.10464, arXiv.org, revised Jul 2020.
    7. Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas, 2019. "Optimal execution with rough path signatures," Papers 1905.00728, arXiv.org.
    8. Owen Futter & Blanka Horvath & Magnus Wiese, 2023. "Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals," Papers 2308.15135, arXiv.org, revised Aug 2023.
    9. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
    10. Eduardo Abi Jaber & Eyal Neuman & Moritz Voss, 2023. "Equilibrium in Functional Stochastic Games with Mean-Field Interaction," Working Papers hal-04119787, HAL.
    11. Rama Cont & Alessandro Micheli & Eyal Neuman, 2022. "Fast and Slow Optimal Trading with Exogenous Information," Papers 2210.01901, arXiv.org, revised Jun 2023.
    12. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Working Papers hal-03835948, HAL.
    13. Eyal Neuman & Moritz Voß, 2023. "Trading with the crowd," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 548-617, July.
    14. Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
    15. Eyal Neuman & Moritz Vo{ss}, 2021. "Trading with the Crowd," Papers 2106.09267, arXiv.org, revised Mar 2023.
    16. 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Execution and Speculation," Papers 2307.03499, arXiv.org.
    17. Eyal Neuman & Moritz Vo{ss}, 2020. "Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact," Papers 2002.09549, arXiv.org, revised Jan 2022.
    18. Joachim de Lataillade & Ayman Chaouki, 2020. "Equations and Shape of the Optimal Band Strategy," Papers 2003.04646, arXiv.org, revised Mar 2020.
    19. Eyal Neuman & Yufei Zhang, 2023. "Statistical Learning with Sublinear Regret of Propagator Models," Papers 2301.05157, arXiv.org.
    20. Peter Bank & 'Alvaro Cartea & Laura Korber, 2023. "Optimal execution and speculation with trade signals," Papers 2306.00621, arXiv.org, revised Jul 2023.
    21. Alessandro Micheli & Johannes Muhle-Karbe & Eyal Neuman, 2021. "Closed-Loop Nash Competition for Liquidity," Papers 2112.02961, arXiv.org, revised Jun 2023.
    22. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org.
    23. Eduardo Abi Jaber & Eyal Neuman & Moritz Vo{ss}, 2023. "Equilibrium in Functional Stochastic Games with Mean-Field Interaction," Papers 2306.05433, arXiv.org, revised Feb 2024.
    24. Marcel Nutz & Kevin Webster & Long Zhao, 2023. "Unwinding Stochastic Order Flow: When to Warehouse Trades," Papers 2310.14144, arXiv.org.
    25. Eduardo Abi Jaber & Eyal Neuman & Sturmius Tuschmann, 2024. "Optimal Portfolio Choice with Cross-Impact Propagators," Papers 2403.10273, arXiv.org.
    26. Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
    27. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.

  10. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.

    Cited by:

    1. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    2. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.

  11. Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.

    Cited by:

    1. David Evangelista & Yuri Thamsten, 2020. "On finite population games of optimal trading," Papers 2004.00790, arXiv.org, revised Feb 2021.
    2. Al-Aradi, Ali & Correia, Adolfo & Jardim, Gabriel & de Freitas Naiff, Danilo & Saporito, Yuri, 2022. "Extensions of the deep Galerkin method," Applied Mathematics and Computation, Elsevier, vol. 430(C).
    3. Jiequn Han & Ruimeng Hu, 2019. "Deep Fictitious Play for Finding Markovian Nash Equilibrium in Multi-Agent Games," Papers 1912.01809, arXiv.org, revised Jun 2020.
    4. Ali Al-Aradi & Adolfo Correia & Danilo de Frietas Naiff & Gabriel Jardim & Yuri Saporito, 2019. "Extensions of the Deep Galerkin Method," Papers 1912.01455, arXiv.org, revised Apr 2022.
    5. Clémence Alasseur & Imen Ben Taher & Anis Matoussi, 2020. "An Extended Mean Field Game for Storage in Smart Grids," Journal of Optimization Theory and Applications, Springer, vol. 184(2), pages 644-670, February.
    6. René Carmona & Peiqi Wang, 2021. "A Probabilistic Approach to Extended Finite State Mean Field Games," Mathematics of Operations Research, INFORMS, vol. 46(2), pages 471-502, May.
    7. Ali Al-Aradi & Adolfo Correia & Danilo Naiff & Gabriel Jardim & Yuri Saporito, 2018. "Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning," Papers 1811.08782, arXiv.org.

  12. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program," Papers 1507.07052, arXiv.org.

    Cited by:

    1. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
    2. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.
    3. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.

  13. Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle, 2014. "Market impacts and the life cycle of investors orders," Papers 1412.0217, arXiv.org, revised Dec 2014.

    Cited by:

    1. Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2014. "Optimal execution with nonlinear transient market impact," Papers 1412.4839, arXiv.org.
    2. Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.
    3. Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
    4. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    5. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
    6. Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo, 2014. "Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate," Papers 1412.2152, arXiv.org.

  14. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2013. "Simulating and analyzing order book data: The queue-reactive model," Papers 1312.0563, arXiv.org, revised Sep 2014.

    Cited by:

    1. Johann Lussange & Ivan Lazarevich & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2021. "Modelling Stock Markets by Multi-agent Reinforcement Learning," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 113-147, January.
    2. Maria Elvira Mancino & Tommaso Mariotti & Giacomo Toscano, 2022. "Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise," Papers 2209.08967, arXiv.org.
    3. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
    4. Ben Hambly & Jasdeep Kalsi & James Newbury, 2018. "Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models," Papers 1808.07107, arXiv.org, revised Jun 2019.
    5. Rama Cont & Pierre Degond & Xuan Lifan, 2023. "A mathematical framework for modelling order book dynamics," Working Papers hal-03968767, HAL.
    6. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "Optimal liquidation under indirect price impact with propagator," LIDAM Discussion Papers ISBA 2023012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
    8. Xiaofei Lu & Frédéric Abergel, 2017. "Limit order book modelling with high dimensional Hawkes processes," Working Papers hal-01512430, HAL.
    9. Ioane Muni Toke, 2016. "Reconstruction of Order Flows using Aggregated Data," Papers 1604.02759, arXiv.org.
    10. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    11. Lester Ingber, 2020. "Developing Bid-Ask Probabilities for High-Frequency Trading," Virtual Economics, The London Academy of Science and Business, vol. 3(2), pages 7-24, April.
    12. Julius Bonart & Martin D. Gould, 2017. "Latency and liquidity provision in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1601-1616, October.
    13. Eduard Silantyev, 2019. "Order flow analysis of cryptocurrency markets," Digital Finance, Springer, vol. 1(1), pages 191-218, November.
    14. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
    15. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
    16. Peng Wu & Marcello Rambaldi & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2019. "Queue-reactive Hawkes models for the order flow," Papers 1901.08938, arXiv.org.
    17. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
    18. Julius Bonart & Fabrizio Lillo, 2016. "A continuous and efficient fundamental price on the discrete order book grid," Papers 1608.00756, arXiv.org, revised Aug 2016.
    19. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
    20. Marvin S. Mueller, 2016. "A stochastic Stefan-type problem under first-order boundary conditions," Papers 1601.03968, arXiv.org, revised Oct 2018.
    21. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
    22. Julius Bonart & Martin Gould, 2015. "Latency and liquidity provision in a limit order book," Papers 1511.04116, arXiv.org, revised Jun 2016.
    23. Weibing Huang & Mathieu Rosenbaum, 2015. "Ergodicity and diffusivity of Markovian order book models: a general framework," Papers 1505.04936, arXiv.org.
    24. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    25. Bonart, Julius & Lillo, Fabrizio, 2018. "A continuous and efficient fundamental price on the discrete order book grid," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 698-713.
    26. Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Papers 1705.01446, arXiv.org, revised Feb 2020.
    27. Aur'elien Alfonsi & Pierre Blanc, 2014. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Papers 1404.0648, arXiv.org, revised Jun 2015.
    28. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2017. "Hybrid marked point processes: characterisation, existence and uniqueness," Papers 1707.06970, arXiv.org, revised Oct 2018.
    29. Ioane Muni Toke & Nakahiro Yoshida, 2017. "Modelling intensities of order flows in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 683-701, May.
    30. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2018. "Optimal inventory management and order book modeling," Papers 1802.08135, arXiv.org, revised Nov 2018.
    31. Xiaofei Lu & Frédéric Abergel, 2018. "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print hal-01686122, HAL.
    32. Bilodeau, Yann, 2020. "Deep limit order book events dynamics," Working Papers 20-4, HEC Montreal, Canada Research Chair in Risk Management.
    33. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
    34. Antoine Jacquier & Hao Liu, 2017. "Optimal liquidation in a Level-I limit order book for large tick stocks," Papers 1701.01327, arXiv.org, revised Nov 2017.
    35. Jianfei Zhang & Mathieu Rosenbaum, 2023. "Towards systematic intraday news screening: a liquidity-focused approach," Papers 2304.05115, arXiv.org.
    36. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2019. "Optimal inventory management and order book modeling," Post-Print hal-01710301, HAL.
    37. Ioane Muni Toke, 2017. "Stationary Distribution Of The Volume At The Best Quote In A Poisson Order Book Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-22, September.
    38. Martin D. Gould & Julius Bonart, 2015. "Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book," Papers 1512.03492, arXiv.org.
    39. Clinet, Simon & Yoshida, Nakahiro, 2017. "Statistical inference for ergodic point processes and application to Limit Order Book," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1800-1839.
    40. Weibing Huang & Mathieu Rosenbaum & Pamela Saliba, 2019. "From Glosten-Milgrom to the whole limit order book and applications to financial regulation," Papers 1902.10743, arXiv.org.
    41. Simon Clinet, 2020. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Papers 2001.11624, arXiv.org, revised Aug 2021.
    42. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.
    43. Johann Lussange & Stefano Vrizzi & Stefano Palminteri & Boris Gutkin, 2024. "Modelling crypto markets by multi-agent reinforcement learning," Papers 2402.10803, arXiv.org.
    44. Peng Wu & Marcello Rambaldi & Jean-François Muzy & Emmanuel Bacry, 2023. "A single queue-reactive Hawkes model for the order flow," Post-Print hal-02409073, HAL.
    45. Felix Lokin & Fenghui Yu, 2024. "Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows," Papers 2403.02572, arXiv.org.
    46. Johann Lussange & Stefano Vrizzi & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2023. "Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1523-1544, April.
    47. Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum, 2018. "Optimal liquidity-based trading tactics," Papers 1803.05690, arXiv.org.
    48. Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
    49. Peter B. Lerner, 2022. "Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010," Mathematics, MDPI, vol. 10(14), pages 1-25, July.
    50. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Post-Print hal-01799398, HAL.
    51. Boilard, J.-F. & Kanazawa, K. & Takayasu, H. & Takayasu, M., 2018. "Empirical scaling relations of market event rates in foreign currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1152-1161.
    52. Paul Jusselin & Mathieu Rosenbaum, 2020. "No‐arbitrage implies power‐law market impact and rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1309-1336, October.
    53. Simon Clinet, 2022. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 189-225, July.
    54. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
    55. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
    56. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    57. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
    58. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.
    59. Johann Lussange & Boris Gutkin, 2023. "Order book regulatory impact on stock market quality: a multi-agent reinforcement learning perspective," Papers 2302.04184, arXiv.org.
    60. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
    61. Frédéric Abergel & Côme Huré & Huyên Pham, 2020. "Algorithmic trading in a microstructural limit order book model," Post-Print hal-01514987, HAL.
    62. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
    63. Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2024. "Limit Order Book Simulations: A Review," Papers 2402.17359, arXiv.org, revised Mar 2024.
    64. Rama Cont & Pierre Degond & Lifan Xuan, 2023. "A mathematical framework for modelling order book dynamics," Papers 2302.01169, arXiv.org.
    65. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
    66. Ioane Muni Toke & Nakahiro Yoshida, 2018. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Papers 1805.06682, arXiv.org, revised Aug 2019.

  15. 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, arXiv.org, revised Mar 2013.

    Cited by:

    1. Jackie Jianhong Shen, 2013. "A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD)," Papers 1309.5046, arXiv.org, revised Sep 2013.

  16. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.

    Cited by:

    1. Alexander Schied & Tao Zhang, 2013. "A state-constrained differential game arising in optimal portfolio liquidation," Papers 1312.7360, arXiv.org, revised Jul 2015.
    2. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
    3. 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, vol. 14(7), pages 1167-1185, July.
    4. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
    5. David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
    6. Hans Follmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
    7. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
    8. 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, arXiv.org, revised Dec 2013.

  17. 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, arXiv.org, revised Aug 2015.

    Cited by:

    1. Elias Strehle, 2016. "Optimal Execution in a Multiplayer Model of Transient Price Impact," Papers 1609.00599, arXiv.org, revised Mar 2019.
    2. Weibing Huang & Mathieu Rosenbaum, 2015. "Ergodicity and diffusivity of Markovian order book models: a general framework," Papers 1505.04936, arXiv.org.
    3. Frank Kelly & Elena Yudovina, 2015. "A Markov model of a limit order book: thresholds, recurrence, and trading strategies," Papers 1504.00579, arXiv.org, revised Mar 2017.
    4. Diogo Gomes & João Saúde, 2014. "Mean Field Games Models—A Brief Survey," Dynamic Games and Applications, Springer, vol. 4(2), pages 110-154, June.
    5. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
    6. Marc Hoffmann & Mauricio Labadie & Charles-Albert Lehalle & Gilles Pagès & Huyên Pham & Mathieu Rosenbaum, 2013. "Optimization And Statistical Methods For High Frequency Finance," Post-Print hal-01102785, HAL.
    7. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.

  18. 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, arXiv.org, revised Dec 2013.

    Cited by:

    1. Olivier Gu'eant & Jean-Michel Lasry & Jiang Pu, 2014. "A convex duality method for optimal liquidation with participation constraints," Papers 1407.4614, arXiv.org, revised Dec 2014.

  19. Frédéric Abergel & Jean-Philippe Bouchaud & Thierry Foucault & Mathieu Rosenbaum & Charles-Albert Lehalle, 2012. "Market microstructure: confronting many viewpoints," Post-Print hal-00872398, HAL.

    Cited by:

    1. Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2014. "Optimal execution with nonlinear transient market impact," Papers 1412.4839, arXiv.org.
    2. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
    3. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2020. "Comparing the market microstructure between two South African exchanges," Papers 2011.04367, arXiv.org.
    4. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
    5. Caroline HILLAIRET & Cody HYNDMAN & Ying JIAO & Renjie WANG, 2017. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Working Papers 2017-76, Center for Research in Economics and Statistics.
    6. Delaney, Laura, 2018. "Investment in high-frequency trading technology: A real options approach," European Journal of Operational Research, Elsevier, vol. 270(1), pages 375-385.
    7. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    8. Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang, 2016. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Papers 1610.01937, arXiv.org.
    9. Delaney, L., 2016. "Equilibrium Investment in High Frequency Trading Technology: A Real Options Approach," Working Papers 15/14, Department of Economics, City University London.
    10. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
    11. 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, arXiv.org, revised Dec 2013.

  20. Olivier Gu'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Jun 2013.

    Cited by:

    1. Campi, Luciano & Zabaljauregui, Diego, 2020. "Optimal market making under partial information with general intensities," LSE Research Online Documents on Economics 104612, London School of Economics and Political Science, LSE Library.
    2. Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
    3. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "Optimal liquidation under indirect price impact with propagator," LIDAM Discussion Papers ISBA 2023012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.
    5. Alvaro Cartea & Luhui Gan & Sebastian Jaimungal, 2018. "Trading Cointegrated Assets with Price Impact," Papers 1807.01428, arXiv.org.
    6. Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.
    7. Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
    8. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2019. "Algorithmic market making for options," Papers 1907.12433, arXiv.org, revised Jul 2020.
    9. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
    10. Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
    11. Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016. "Limit order trading with a mean reverting reference price," Papers 1607.00454, arXiv.org, revised Nov 2016.
    12. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
    13. Kaj Nyström & Sidi Mohamed Ould Aly & Changyong Zhang, 2014. "Market Making And Portfolio Liquidation Under Uncertainty," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(05), pages 1-33.
    14. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.
    15. Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
    16. Jean-David Fermanian & Olivier Gu'eant & Jiang Pu, 2015. "The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms," Papers 1511.07773, arXiv.org, revised Mar 2017.
    17. Yuchen Fang & Kan Ren & Weiqing Liu & Dong Zhou & Weinan Zhang & Jiang Bian & Yong Yu & Tie-Yan Liu, 2021. "Universal Trading for Order Execution with Oracle Policy Distillation," Papers 2103.10860, arXiv.org.
    18. Jean-David Fermanian & Olivier Guéant & Arnaud Rachez, 2015. "Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms," Working Papers 2015-11, Center for Research in Economics and Statistics.
    19. Brian Ning & Franco Ho Ting Lin & Sebastian Jaimungal, 2018. "Double Deep Q-Learning for Optimal Execution," Papers 1812.06600, arXiv.org, revised Jun 2020.
    20. Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016. "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-30, June.
    21. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, HAL.
    22. Ryan Donnelly & Zi Li, 2022. "Dynamic Inventory Management with Mean-Field Competition," Papers 2210.17208, arXiv.org.
    23. Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 279-322, January.
    24. Diego Zabaljauregui, 2020. "Optimal market making under partial information and numerical methods for impulse control games with applications," Papers 2009.06521, arXiv.org.
    25. Diego Zabaljauregui & Luciano Campi, 2019. "Optimal market making under partial information with general intensities," Papers 1902.01157, arXiv.org, revised Apr 2020.
    26. Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch, 2016. "Optimal Execution Cost For Liquidation Through A Limit Order Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, February.
    27. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    28. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
    29. Xuefeng Gao & S. J. Deng, 2014. "Hydrodynamic limit of order book dynamics," Papers 1411.7502, arXiv.org, revised Feb 2016.
    30. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    31. Alexandre Roch, 2023. "Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-29, March.
    32. Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
    33. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    34. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987894, HAL.
    35. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Working Papers hal-00737491, HAL.
    36. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.

  21. 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, arXiv.org, revised Aug 2012.

    Cited by:

    1. Pietro Fodra & Huy^en Pham, 2013. "High frequency trading and asymptotics for small risk aversion in a Markov renewal model," Papers 1310.1756, arXiv.org, revised Jan 2015.
    2. Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
    3. Anastasia Bugaenko, 2020. "Empirical Study of Market Impact Conditional on Order-Flow Imbalance," Papers 2004.08290, arXiv.org, revised Apr 2020.
    4. N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Papers 1604.06342, arXiv.org.
    5. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2011. "Optimal posting price of limit orders: learning by trading," Papers 1112.2397, arXiv.org, revised Sep 2012.
    6. Bastien Baldacci & Philippe Bergault & Joffrey Derchu & Mathieu Rosenbaum, 2020. "On bid and ask side-specific tick sizes," Papers 2005.14126, arXiv.org, revised May 2020.
    7. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Algorithmic market making in dealer markets with hedging and market impact," Papers 2106.06974, arXiv.org, revised Dec 2022.
    8. Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.
    9. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    10. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2018. "Optimal make-take fees for market making regulation," Papers 1805.02741, arXiv.org, revised Nov 2019.
    11. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
    12. Filippo Passerini & Samuel E. Vazquez, 2015. "Optimal Trading with Alpha Predictors," Papers 1501.03756, arXiv.org, revised Jan 2015.
    13. Joaquin Fernandez-Tapia & Olivier Gu'eant & Jean-Michel Lasry, 2015. "Optimal Real-Time Bidding Strategies," Papers 1511.08409, arXiv.org, revised Jun 2016.
    14. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2019. "Optimal make-take fees for market making regulation," Working Papers hal-02379592, HAL.
    15. M. Alessandra Crisafi & Andrea Macrina, 2016. "Simultaneous Trading In ‘Lit’ And Dark Pools," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-33, December.
    16. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
    17. Ali Raheman & Anton Kolonin & Alexey Glushchenko & Arseniy Fokin & Ikram Ansari, 2022. "Adaptive Multi-Strategy Market-Making Agent For Volatile Markets," Papers 2204.13265, arXiv.org.
    18. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
    19. Hui Niu & Siyuan Li & Jiahao Zheng & Zhouchi Lin & Jian Li & Jian Guo & Bo An, 2023. "IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making," Papers 2308.08918, arXiv.org.
    20. Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
    21. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
    22. Bastien Baldacci & Joffrey Derchu & Iuliia Manziuk, 2020. "An approximate solution for options market-making in high dimension," Papers 2009.00907, arXiv.org.
    23. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
    24. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2019. "Algorithmic market making for options," Papers 1907.12433, arXiv.org, revised Jul 2020.
    25. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "Simulating and Analyzing Order Book Data: The Queue-Reactive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
    26. Jack Sarkissian, 2016. "Spread, volatility, and volume relationship in financial markets and market making profit optimization," Papers 1606.07381, arXiv.org.
    27. Kühn, Christoph & Muhle-Karbe, Johannes, 2015. "Optimal liquidity provision," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2493-2515.
    28. Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
    29. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.
    30. Agostino Capponi & Jos'e E. Figueroa-L'opez & Chuyi Yu, 2021. "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts," Papers 2101.03086, arXiv.org.
    31. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
    32. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
    33. N. Baradel & Bruno Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
    34. Leo Ardon & Nelson Vadori & Thomas Spooner & Mengda Xu & Jared Vann & Sumitra Ganesh, 2021. "Towards a fully RL-based Market Simulator," Papers 2110.06829, arXiv.org, revised Nov 2021.
    35. Baron Law & Frederi Viens, 2019. "Market Making under a Weakly Consistent Limit Order Book Model," Papers 1903.07222, arXiv.org, revised Jan 2020.
    36. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
    37. Nelson Vadori & Leo Ardon & Sumitra Ganesh & Thomas Spooner & Selim Amrouni & Jared Vann & Mengda Xu & Zeyu Zheng & Tucker Balch & Manuela Veloso, 2022. "Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations," Papers 2210.07184, arXiv.org, revised Aug 2023.
    38. Bruno Gav{s}perov & Zvonko Kostanjv{c}ar, 2022. "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model," Papers 2207.09951, arXiv.org.
    39. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023. "Algorithmic market making in dealer markets with hedging and market impact," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.
    40. Hadrien de March & Charles-Albert Lehalle, 2019. "Optimal trading using signals," Working Papers hal-02011535, HAL.
    41. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    42. Thomas Spooner & John Fearnley & Rahul Savani & Andreas Koukorinis, 2018. "Market Making via Reinforcement Learning," Papers 1804.04216, arXiv.org.
    43. Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Papers 1705.01446, arXiv.org, revised Feb 2020.
    44. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
    45. 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, vol. 14(7), pages 1167-1185, July.
    46. Jean-David Fermanian & Olivier Gu'eant & Jiang Pu, 2015. "The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms," Papers 1511.07773, arXiv.org, revised Mar 2017.
    47. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
    48. Sergio Pulido & Mathieu Rosenbaum & Emmanouil Sfendourakis, 2023. "Understanding the least well-kept secret of high-frequency trading," Papers 2307.15599, arXiv.org.
    49. Marina Di Giacinto & Claudio Tebaldi & Tai-Ho Wang, 2021. "Optimal order execution under price impact: A hybrid model," Papers 2112.02228, arXiv.org, revised Aug 2022.
    50. Philippe Bergault & Olivier Gu'eant, 2023. "Modeling liquidity in corporate bond markets: applications to price adjustments," Papers 2309.04216, arXiv.org, revised Oct 2023.
    51. Jean-David Fermanian & Olivier Guéant & Arnaud Rachez, 2015. "Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms," Working Papers 2015-11, Center for Research in Economics and Statistics.
    52. Álvaro Cartea & Sebastian Jaimungal & Jason Ricci, 2018. "Trading Strategies Within The Edges Of No-Arbitrage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-37, May.
    53. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.
    54. Ali, Syed Mithun & Rahman, Md. Hafizur & Tumpa, Tasmia Jannat & Moghul Rifat, Abid Ali & Paul, Sanjoy Kumar, 2018. "Examining price and service competition among retailers in a supply chain under potential demand disruption," Journal of Retailing and Consumer Services, Elsevier, vol. 40(C), pages 40-47.
    55. M. Alessandra Crisafi & Andrea Macrina, 2015. "Dark-Pool Perspective of Optimal Market Making," Papers 1502.02863, arXiv.org.
    56. Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    57. Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
    58. Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016. "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-30, June.
    59. Jack Sarkissian, 2016. "Quantum theory of securities price formation in financial markets," Papers 1605.04948, arXiv.org, revised May 2016.
    60. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2022. "Dealing with multi-currency inventory risk in FX cash markets," Papers 2207.04100, arXiv.org, revised Oct 2023.
    61. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
    62. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, HAL.
    63. Ryan Donnelly & Zi Li, 2022. "Dynamic Inventory Management with Mean-Field Competition," Papers 2210.17208, arXiv.org.
    64. Christoph Kuhn & Johannes Muhle-Karbe, 2013. "Optimal Liquidity Provision," Papers 1309.5235, arXiv.org, revised Feb 2015.
    65. Bastien Baldacci & Iuliia Manziuk, 2020. "Adaptive trading strategies across liquidity pools," Papers 2008.07807, arXiv.org.
    66. Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum, 2018. "Optimal liquidity-based trading tactics," Papers 1803.05690, arXiv.org.
    67. Jack Sarkissian, 2013. "Coupled mode theory of stock price formation," Papers 1312.4622, arXiv.org.
    68. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
    69. Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 279-322, January.
    70. Bingyan Han, 2022. "Can maker-taker fees prevent algorithmic cooperation in market making?," Papers 2211.00496, arXiv.org.
    71. Diego Zabaljauregui, 2020. "Optimal market making under partial information and numerical methods for impulse control games with applications," Papers 2009.06521, arXiv.org.
    72. Shiqi Gong & Shuaiqiang Liu & Danny D. Sun, 2023. "Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis," Papers 2306.02764, arXiv.org.
    73. Olivier Gu'eant & Iuliia Manziuk, 2019. "Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality," Papers 1910.13205, arXiv.org.
    74. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control," Papers 2112.02269, arXiv.org, revised Jun 2023.
    75. Pietro Fodra & Huyen Pham, 2013. "High frequency trading in a Markov renewal model," Working Papers hal-00867113, HAL.
    76. Olivier Gu'eant & Jiang Pu, 2018. "Mid-price estimation for European corporate bonds: a particle filtering approach," Papers 1810.05884, arXiv.org, revised Mar 2019.
    77. Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch, 2016. "Optimal Execution Cost For Liquidation Through A Limit Order Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, February.
    78. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    79. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
    80. Etienne Chevalier & M’hamed Gaïgi & Vathana Ly Vath & Mohamed Mnif, 2017. "Optimal Market Dealing Under Constraints," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 313-335, April.
    81. Bastien Baldacci & Dylan Possamai & Mathieu Rosenbaum, 2019. "Optimal make take fees in a multi market maker environment," Papers 1907.11053, arXiv.org, revised Mar 2021.
    82. M. Alessandra Crisafi & Andrea Macrina, 2014. "Simultaneous Trading in 'Lit' and Dark Pools," Papers 1405.2023, arXiv.org, revised Jan 2016.
    83. Bastien Baldacci & Iuliia Manziuk & Thibaut Mastrolia & Mathieu Rosenbaum, 2019. "Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach," Papers 1912.01129, arXiv.org.
    84. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987894, HAL.
    85. Jialiang Luo & Harry Zheng, 2021. "Dynamic Equilibrium of Market Making with Price Competition," Dynamic Games and Applications, Springer, vol. 11(3), pages 556-579, September.
    86. Bastien Baldacci & Jerome Benveniste & Gordon Ritter, 2020. "Optimal trading without optimal control," Papers 2012.12945, arXiv.org.
    87. Marc Hoffmann & Mauricio Labadie & Charles-Albert Lehalle & Gilles Pagès & Huyên Pham & Mathieu Rosenbaum, 2013. "Optimization And Statistical Methods For High Frequency Finance," Post-Print hal-01102785, HAL.
    88. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
    89. 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, arXiv.org, revised Dec 2013.
    90. Paul Jusselin, 2020. "Optimal market making with persistent order flow," Papers 2003.05958, arXiv.org, revised Oct 2020.
    91. Sumitra Ganesh & Nelson Vadori & Mengda Xu & Hua Zheng & Prashant Reddy & Manuela Veloso, 2019. "Reinforcement Learning for Market Making in a Multi-agent Dealer Market," Papers 1911.05892, arXiv.org.
    92. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.
    93. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.

  22. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.

    Cited by:

    1. Campi, Luciano & Zabaljauregui, Diego, 2020. "Optimal market making under partial information with general intensities," LSE Research Online Documents on Economics 104612, London School of Economics and Political Science, LSE Library.
    2. Olivier Gu'eant, 2012. "Optimal execution and block trade pricing: a general framework," Papers 1210.6372, arXiv.org, revised Dec 2014.
    3. S. C. P. Yam & W. Zhou, 2017. "Optimal Liquidation of Child Limit Orders," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 517-545, May.
    4. Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
    5. Olivier Gu'eant, 2012. "Execution and block trade pricing with optimal constant rate of participation," Papers 1210.7608, arXiv.org, revised Dec 2013.
    6. N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Papers 1604.06342, arXiv.org.
    7. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
    8. Alvaro Cartea & Luhui Gan & Sebastian Jaimungal, 2018. "Trading Cointegrated Assets with Price Impact," Papers 1807.01428, arXiv.org.
    9. Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org, revised Aug 2023.
    10. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    11. Filippo Passerini & Samuel E. Vazquez, 2015. "Optimal Trading with Alpha Predictors," Papers 1501.03756, arXiv.org, revised Jan 2015.
    12. Joaquin Fernandez-Tapia & Olivier Gu'eant & Jean-Michel Lasry, 2015. "Optimal Real-Time Bidding Strategies," Papers 1511.08409, arXiv.org, revised Jun 2016.
    13. Matthew Lorig & Zhou Zhou & Bin Zou, 2019. "Optimal Bookmaking," Papers 1907.01056, arXiv.org, revised Mar 2021.
    14. Johannes Muhle‐Karbe & Zexin Wang & Kevin Webster, 2023. "A Leland model for delta hedging in central risk books," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 504-547, July.
    15. M. Alessandra Crisafi & Andrea Macrina, 2016. "Simultaneous Trading In ‘Lit’ And Dark Pools," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-33, December.
    16. Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
    17. Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
    18. Damiano Brigo & Federico Graceffa & Eyal Neuman, 2022. "Price impact on term structure," Quantitative Finance, Taylor & Francis Journals, vol. 22(1), pages 171-195, January.
    19. Fengpei Li & Vitalii Ihnatiuk & Ryan Kinnear & Anderson Schneider & Yuriy Nevmyvaka, 2022. "Do price trajectory data increase the efficiency of market impact estimation?," Papers 2205.13423, arXiv.org, revised Mar 2023.
    20. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
    21. N. Baradel & Bruno Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
    22. Álvaro Cartea & Leandro Sánchez-Betancourt, 2023. "Optimal execution with stochastic delay," Finance and Stochastics, Springer, vol. 27(1), pages 1-47, January.
    23. Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
    24. Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016. "Limit order trading with a mean reverting reference price," Papers 1607.00454, arXiv.org, revised Nov 2016.
    25. Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
    26. Charles-Albert Lehalle & Charafeddine Mouzouni, 2019. "A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations," Papers 1902.09606, arXiv.org.
    27. Kovaleva, P. & Iori, G., 2012. "Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity," Working Papers 12/05, Department of Economics, City University London.
    28. Virgil DAMIAN, 2015. "Modelling optimal execution strategies for Algorithmic trading," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(605), W), pages 99-104, Winter.
    29. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.
    30. Qing-Qing Yang & Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu, 2019. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 397-431, January.
    31. Olivier Gu'eant & Jean-Michel Lasry & Jiang Pu, 2014. "A convex duality method for optimal liquidation with participation constraints," Papers 1407.4614, arXiv.org, revised Dec 2014.
    32. Christopher Lorenz & Alexander Schied, 2013. "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, vol. 17(4), pages 743-770, October.
    33. Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
    34. Álvaro Cartea & Sebastian Jaimungal & Jason Ricci, 2018. "Trading Strategies Within The Edges Of No-Arbitrage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-37, May.
    35. Chuheng Zhang & Yitong Duan & Xiaoyu Chen & Jianyu Chen & Jian Li & Li Zhao, 2023. "Towards Generalizable Reinforcement Learning for Trade Execution," Papers 2307.11685, arXiv.org.
    36. Aur'elien Alfonsi & Alexander Schied & Florian Klock, 2013. "Multivariate transient price impact and matrix-valued positive definite functions," Papers 1310.4471, arXiv.org, revised Sep 2015.
    37. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.
    38. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
    39. Lorig, Matthew & Zhou, Zhou & Zou, Bin, 2021. "Optimal bookmaking," European Journal of Operational Research, Elsevier, vol. 295(2), pages 560-574.
    40. Bastien Baldacci & Jerome Benveniste, 2020. "A note on Almgren-Chriss optimal execution problem with geometric Brownian motion," Papers 2006.11426, arXiv.org, revised Jun 2020.
    41. Ryan Donnelly & Zi Li, 2022. "Dynamic Inventory Management with Mean-Field Competition," Papers 2210.17208, arXiv.org.
    42. Felix Lokin & Fenghui Yu, 2024. "Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows," Papers 2403.02572, arXiv.org.
    43. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
    44. A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
    45. David Evangelista & Yuri Thamsten, 2023. "Approximately optimal trade execution strategies under fast mean-reversion," Papers 2307.07024, arXiv.org, revised Aug 2023.
    46. Diego Zabaljauregui, 2020. "Optimal market making under partial information and numerical methods for impulse control games with applications," Papers 2009.06521, arXiv.org.
    47. Diego Zabaljauregui & Luciano Campi, 2019. "Optimal market making under partial information with general intensities," Papers 1902.01157, arXiv.org, revised Apr 2020.
    48. Olivier Gu'eant & Jiang Pu, 2018. "Mid-price estimation for European corporate bonds: a particle filtering approach," Papers 1810.05884, arXiv.org, revised Mar 2019.
    49. Christopher Lorenz & Alexander Schied, 2012. "Drift dependence of optimal trade execution strategies under transient price impact," Papers 1204.2716, arXiv.org, revised Mar 2013.
    50. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    51. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
    52. Xuefeng Gao & S. J. Deng, 2014. "Hydrodynamic limit of order book dynamics," Papers 1411.7502, arXiv.org, revised Feb 2016.
    53. Kyle Bechler & Mike Ludkovski, 2014. "Optimal Execution with Dynamic Order Flow Imbalance," Papers 1409.2618, arXiv.org, revised Oct 2014.
    54. Jin Ma & Eunjung Noh, 2020. "Equilibrium Model of Limit Order Books: A Mean-field Game View," Papers 2002.12857, arXiv.org, revised Mar 2020.
    55. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    56. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    57. Ha, Youngmin & Zhang, Hai, 2020. "Algorithmic trading for online portfolio selection under limited market liquidity," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1033-1051.
    58. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
    59. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.

  23. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2011. "Optimal posting price of limit orders: learning by trading," Papers 1112.2397, arXiv.org, revised Sep 2012.

    Cited by:

    1. Olivier Gu'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Jun 2013.

  24. Y. Braouezec & C.A Lehalle, 2010. "Corporate Liquidity, Dividend Policy and Default Risk : Optimal Financial Policy and Agency Costs," Post-Print hal-00677759, HAL.

    Cited by:

    1. Trinh, Vu Quang & Seetaram, Neelu, 2022. "Top-management compensation and survival likelihood: the case of tourism and leisure firms in the US," Annals of Tourism Research, Elsevier, vol. 92(C).
    2. Sami Attaoui, 2016. "Capital Structure And Tax Convexity When The Maturity Of Debt Is Finite," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-20, February.

  25. Mauricio Labadie & Charles-Albert Lehalle, 2010. "Optimal algorithmic trading and market microstructure," Working Papers hal-00590283, HAL.

    Cited by:

    1. Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.
    2. Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino, 2017. "Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment--Empirical Study in the Japanese Stock Market--," CIRJE F-Series CIRJE-F-1052, CIRJE, Faculty of Economics, University of Tokyo.
    3. David Saltiel & Eric Benhamou, 2018. "Trade Selection with Supervised Learning and OCA," Papers 1812.04486, arXiv.org.

  26. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Papers 0910.1166, arXiv.org, revised May 2010.

    Cited by:

    1. Florian Klock & Alexander Schied & Yuemeng Sun, 2012. "Price manipulation in a market impact model with dark pool," Papers 1205.4008, arXiv.org, revised May 2014.

Articles

  1. Charles-Albert Lehalle & Eyal Neuman, 2019. "Incorporating signals into optimal trading," Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
    See citations under working paper version above.
  2. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
    See citations under working paper version above.
  3. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "Simulating and Analyzing Order Book Data: The Queue-Reactive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
    See citations under working paper version above.
  4. 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, vol. 14(7), pages 1167-1185, July.
    See citations under working paper version above.
  5. 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.
    See citations under working paper version above.Sorry, no citations of articles recorded.

Chapters

    Sorry, no citations of chapters recorded.

Books

  1. Charles-Albert Lehalle & Sophie Laruelle (ed.), 2013. "Market Microstructure in Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8967.

    Cited by:

    1. 'Alvaro Cartea & Sebastian Jaimungal & Leandro S'anchez-Betancourt, 2019. "Latency and Liquidity Risk," Papers 1908.03281, arXiv.org.
    2. Xuefeng Gao & Xiang Zhou & Lingjiong Zhu, 2017. "Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading," Papers 1710.01452, arXiv.org.
    3. Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.
    4. N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Papers 1604.06342, arXiv.org.
    5. 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, arXiv.org, revised Aug 2015.
    6. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    7. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2018. "Optimal make-take fees for market making regulation," Papers 1805.02741, arXiv.org, revised Nov 2019.
    8. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
    9. Olivier Guéant & Jiang Pu & Guillaume Royer, 2015. "Accelerated Share Repurchase: Pricing And Execution Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
    10. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2019. "Optimal make-take fees for market making regulation," Working Papers hal-02379592, HAL.
    11. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "Simulating and Analyzing Order Book Data: The Queue-Reactive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
    12. Damiano Brigo & Federico Graceffa & Eyal Neuman, 2022. "Price impact on term structure," Quantitative Finance, Taylor & Francis Journals, vol. 22(1), pages 171-195, January.
    13. Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward, 2017. "Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-29, June.
    14. Lokka, A. & Xu, Junwei, 2020. "Optimal liquidation trajectories for the Almgren-Chriss model," LSE Research Online Documents on Economics 106977, London School of Economics and Political Science, LSE Library.
    15. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
    16. N. Baradel & Bruno Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
    17. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
    18. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Working Papers hal-03835948, HAL.
    19. Olivier Gu'eant, 2014. "Optimal execution of ASR contracts with fixed notional," Papers 1410.1481, arXiv.org, revised May 2016.
    20. Aur'elien Alfonsi & Pierre Blanc, 2015. "Extension and calibration of a Hawkes-based optimal execution model," Papers 1506.08740, arXiv.org.
    21. Simon F'ecamp & Joseph Mikael & Xavier Warin, 2019. "Risk management with machine-learning-based algorithms," Papers 1902.05287, arXiv.org, revised Aug 2020.
    22. Eyal Neuman & Moritz Vo{ss}, 2020. "Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact," Papers 2002.09549, arXiv.org, revised Jan 2022.
    23. Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    24. P. B. Lerner, 2020. "Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010," Papers 2004.06200, arXiv.org, revised May 2020.
    25. Eyal Neuman & Yufei Zhang, 2023. "Statistical Learning with Sublinear Regret of Propagator Models," Papers 2301.05157, arXiv.org.
    26. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.
    27. Peter B. Lerner, 2022. "Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010," Mathematics, MDPI, vol. 10(14), pages 1-25, July.
    28. Olivier Gu'eant & Jiang Pu, 2013. "Option pricing and hedging with execution costs and market impact," Papers 1311.4342, arXiv.org, revised Apr 2015.
    29. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    30. Olivier Gu'eant & Jiang Pu & Guillaume Royer, 2013. "Accelerated Share Repurchase: pricing and execution strategy," Papers 1312.5617, arXiv.org, revised Sep 2014.
    31. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org.
    32. Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
    33. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
    34. Marc Hoffmann & Mauricio Labadie & Charles-Albert Lehalle & Gilles Pagès & Huyên Pham & Mathieu Rosenbaum, 2013. "Optimization And Statistical Methods For High Frequency Finance," Post-Print hal-01102785, HAL.
    35. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
    36. Thomas Krabichler & Josef Teichmann, 2020. "A constraint-based notion of illiquidity," Papers 2004.12394, arXiv.org.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.