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Charles-Albert Lehalle

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First Name:Charles-Albert
Middle Name:
Last Name:Lehalle
RePEc Short-ID:ple574
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  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,, revised Jun 2017.
  2. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847,, 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,, revised Dec 2016.
  4. Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904,, 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,
  6. Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle, 2014. "Market impacts and the life cycle of investors orders," Papers 1412.0217,, 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,, 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,, revised Mar 2013.
  10. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592,
  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,, 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,, 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,, 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,, revised Aug 2012.
  17. Olivier Gu\'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279,, 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,, 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.
  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.
  1. Charles-Albert Lehalle & Sophie Laruelle (ed.), 2013. "Market Microstructure in Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8967, July-Dece.
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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