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Charles-Albert Lehalle

Personal Details

First Name:Charles-Albert
Middle Name:
Last Name:Lehalle
Suffix:
RePEc Short-ID:ple574
[This author has chosen not to make the email address public]
http://www.citeulike.org/user/lehalle/author/Lehalle
Terminal Degree: (from RePEc Genealogy)

Affiliation

Capital Fund Management (CFM)

https://www.cfm.fr/en/
Paris, France

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. 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.
  2. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Apr 2017.
  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.
  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. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
  11. 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.
  12. 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.
  13. Frédéric Abergel & Jean-Philippe Bouchaud & Thierry Foucault & Mathieu Rosenbaum & Charles-Albert Lehalle, 2012. "Market microstructure: confronting many viewpoints," Post-Print hal-00872398, HAL.
  14. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
  15. Olivier Gu'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Jun 2013.
  16. 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.
  17. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
  18. 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.
  19. Y. Braouezec & C.A Lehalle, 2010. "Corporate Liquidity, Dividend Policy and Default Risk : Optimal Financial Policy and Agency Costs," Post-Print hal-00677759, HAL.
  20. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pagès, 2010. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Working Papers hal-00422427, HAL.
  21. Mauricio Labadie & Charles-Albert Lehalle, 2010. "Optimal algorithmic trading and market microstructure," Working Papers hal-00590283, HAL.
  22. Mauricio Labadie & Charles-Albert Lehalle, 2010. "Optimal trading algorithms and selfsimilar processes: a p-variation approach," Working Papers hal-00546145, HAL.

Articles

  1. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
  2. 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.
  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. 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.

Books

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

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, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Apr 2017.

    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. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.

  2. 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 Apr 2017.

  3. 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. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Apr 2017.
    2. 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.

  4. 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. 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.

  5. 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. Xiaofei Lu & Frédéric Abergel, 2017. "Limit order book modelling with high dimensional Hawkes processes," Working Papers hal-01512430, HAL.
    2. Ioane Muni Toke, 2016. "Reconstruction of Order Flows using Aggregated Data," Papers 1604.02759, arXiv.org.
    3. 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.
    4. Frédéric Abergel & Côme Huré & Huyên Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Working Papers hal-01514987, HAL.
    5. 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.
    6. Marvin S. Mueller, 2016. "A stochastic Stefan-type problem under first order boundary conditions," Papers 1601.03968, arXiv.org, revised Aug 2016.
    7. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
    8. Weibing Huang & Mathieu Rosenbaum, 2015. "Ergodicity and diffusivity of Markovian order book models: a general framework," Papers 1505.04936, arXiv.org.
    9. 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.
    10. 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.
    11. 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.
    12. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2018. "Optimal inventory management and order book modeling," Working Papers hal-01710301, HAL.
    13. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2017. "Hybrid marked point processes: characterisation, existence and uniqueness," Papers 1707.06970, arXiv.org, revised Dec 2017.
    14. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2018. "Optimal inventory management and order book modeling," Papers 1802.08135, arXiv.org.
    15. Xiaofei Lu & Frédéric Abergel, 2018. "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print hal-01686122, HAL.
    16. 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.
    17. 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.
    18. 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.
    19. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Apr 2017.
    20. Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum, 2018. "Optimal liquidity-based trading tactics," Papers 1803.05690, arXiv.org.
    21. Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
    22. 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.
    23. 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. 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. Hans Follmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
    6. 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.
    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, arXiv.org, revised Dec 2013.

  7. 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. "Are Order Anticipation Strategies Harmful? A Theoretical Approach," Papers 1609.00599, arXiv.org, revised Sep 2017.
    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.

  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.

    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.

  9. 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. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
    3. 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.
    4. 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.
    5. Delaney, L., 2016. "Equilibrium Investment in High Frequency Trading Technology: A Real Options Approach," Working Papers 15/14, Department of Economics, City University London.
    6. 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.
    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, arXiv.org, revised Dec 2013.

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

    Cited by:

    1. 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.
    2. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. Xuefeng Gao & S. J. Deng, 2014. "Hydrodynamic limit of order book dynamics," Papers 1411.7502, arXiv.org, revised Feb 2016.
    9. Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
    10. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Working Papers hal-00737491, HAL.
    11. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.

  11. 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. 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.
    2. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
    3. Frédéric Abergel & Côme Huré & Huyên Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Working Papers hal-01514987, HAL.
    4. Joaquin Fernandez-Tapia & Olivier Gu'eant & Jean-Michel Lasry, 2015. "Optimal Real-Time Bidding Strategies," Papers 1511.08409, arXiv.org, revised Jun 2016.
    5. 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.
    6. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
    7. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
    8. 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.
    9. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.
    10. 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.
    11. N. Baradel & B. Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
    12. 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.
    13. 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.
    14. 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.
    15. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
    16. M. Alessandra Crisafi & Andrea Macrina, 2015. "Dark-Pool Perspective of Optimal Market Making," Papers 1502.02863, arXiv.org.
    17. 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.
    18. Christoph Kuhn & Johannes Muhle-Karbe, 2013. "Optimal Liquidity Provision," Papers 1309.5235, arXiv.org, revised Feb 2015.
    19. Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum, 2018. "Optimal liquidity-based trading tactics," Papers 1803.05690, arXiv.org.
    20. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
    21. 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.
    22. M. Alessandra Crisafi & Andrea Macrina, 2014. "Simultaneous Trading in 'Lit' and Dark Pools," Papers 1405.2023, arXiv.org, revised Jan 2016.
    23. 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.
    24. 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.
    25. 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.

  12. 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. Olivier Gu'eant, 2012. "Optimal execution and block trade pricing: a general framework," Papers 1210.6372, arXiv.org, revised Dec 2014.
    2. Olivier Gu'eant, 2012. "Execution and block trade pricing with optimal constant rate of participation," Papers 1210.7608, arXiv.org, revised Dec 2013.
    3. N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Papers 1604.06342, 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. Filippo Passerini & Samuel E. Vazquez, 2015. "Optimal Trading with Alpha Predictors," Papers 1501.03756, arXiv.org, revised Jan 2015.
    6. Joaquin Fernandez-Tapia & Olivier Gu'eant & Jean-Michel Lasry, 2015. "Optimal Real-Time Bidding Strategies," Papers 1511.08409, arXiv.org, revised Jun 2016.
    7. 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.
    8. 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.
    9. 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.
    10. N. Baradel & B. Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
    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. 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.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. 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.
    19. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Apr 2017.
    20. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
    21. A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
    22. Christopher Lorenz & Alexander Schied, 2012. "Drift dependence of optimal trade execution strategies under transient price impact," Papers 1204.2716, arXiv.org, revised Mar 2013.
    23. Xuefeng Gao & S. J. Deng, 2014. "Hydrodynamic limit of order book dynamics," Papers 1411.7502, arXiv.org, revised Feb 2016.
    24. Kyle Bechler & Mike Ludkovski, 2014. "Optimal Execution with Dynamic Order Flow Imbalance," Papers 1409.2618, arXiv.org, revised Oct 2014.
    25. N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Working Papers hal-01304019, HAL.
    26. 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.
    27. Wai-Ki Ching & Jia-Wen Gu & Qing-Qing Yang & Tak-Kuen Siu, 2015. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Papers 1512.08866, arXiv.org.
    28. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.

  13. 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.

  14. 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. 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.

  15. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pagès, 2010. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Working Papers hal-00422427, HAL.

    Cited by:

    1. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
    2. 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.
    3. 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.
    4. Olivier Gu'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Jun 2013.
    5. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
    6. 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.
    7. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
    8. 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.
    9. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
    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, arXiv.org, revised Aug 2012.
    11. Bruno Bouchard & Ngoc-Minh Dang, 2013. "Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation," Finance and Stochastics, Springer, vol. 17(1), pages 31-72, January.
    12. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Working Papers hal-00737491, HAL.
    13. 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.
    14. 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.

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

    Cited by:

    1. 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.
    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-," CARF F-Series CARF-F-411, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

Articles

  1. 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.
  2. 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.
  3. 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.

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. 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.
    2. 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.
    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.
    4. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Apr 2017.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 19 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (14) 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 2014-12-24 2015-08-01 2016-10-09 2017-04-09. Author is listed
  2. NEP-CMP: Computational Economics (5) 2009-10-10 2011-05-14 2011-12-19 2013-12-06 2017-03-12. Author is listed
  3. NEP-RMG: Risk Management (2) 2012-05-22 2012-06-25
  4. NEP-BEC: Business Economics (1) 2011-05-30
  5. NEP-EXP: Experimental Economics (1) 2016-11-06
  6. NEP-FMK: Financial Markets (1) 2015-08-01
  7. NEP-FOR: Forecasting (1) 2015-08-01
  8. NEP-GTH: Game Theory (1) 2016-11-06

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