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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

(50%) Capital Fund Management (CFM)

https://www.cfm.fr/en/
Paris, France
23 rue du Bac, 75005, Paris

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Agostino Capponi & Charles-Albert Lehalle & Anna Simoni & Laurent Ferrara, 2023. "Data Preselection in Machine Learning Methods: An Application to Macroeconomic Nowcasting with Google Search Data," Post-Print hal-04369062, HAL.
  2. Mengda Li & Charles-Albert Lehalle, 2021. "Do Word Embeddings Really Understand Loughran-McDonald's Polarities?," Papers 2103.09813, arXiv.org.
  3. Charles-Albert Lehalle & Eyal Neuman & Segev Shlomov, 2021. "Phase Transitions in Kyle's Model with Market Maker Profit Incentives," Papers 2103.04481, arXiv.org.
  4. 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.
  5. Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org, revised Feb 2021.
  6. 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.
  7. Charles-Albert Lehalle, 2019. "La finance de marché à l’ère de l’intelligence bon marché," Post-Print hal-02314348, HAL.
  8. Charles-Albert Lehalle & Charafeddine Mouzouni, 2019. "A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations," Papers 1902.09606, arXiv.org.
  9. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2019. "Transaction Cost Analytics for Corporate Bonds," Papers 1903.09140, arXiv.org, revised Dec 2021.
  10. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
  11. Hadrien De March & Charles-Albert Lehalle, 2018. "Optimal trading using signals," Papers 1811.03718, arXiv.org.
  12. 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.
  13. Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum, 2018. "Optimal liquidity-based trading tactics," Papers 1803.05690, arXiv.org.
  14. 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.
  15. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
  24. 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.
  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.
  26. Frédéric Abergel & Jean-Philippe Bouchaud & Thierry Foucault & Mathieu Rosenbaum & Charles-Albert Lehalle, 2012. "Market microstructure: confronting many viewpoints," Post-Print hal-00872398, HAL.
  27. Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading," Working Papers hal-00705056, HAL.
  28. Olivier Gu'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Jun 2013.
  29. 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.
  30. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
  31. 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.
  32. Y. Braouezec & C.A Lehalle, 2010. "Corporate Liquidity, Dividend Policy and Default Risk : Optimal Financial Policy and Agency Costs," Post-Print hal-00677759, HAL.
  33. Mauricio Labadie & Charles-Albert Lehalle, 2010. "Optimal algorithmic trading and market microstructure," Working Papers hal-00590283, HAL.
  34. Mauricio Labadie & Charles-Albert Lehalle, 2010. "Optimal trading algorithms and selfsimilar processes: a p-variation approach," Working Papers hal-00546145, HAL.
  35. 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.

    repec:hal:wpaper:hal-00422427 is not listed on IDEAS

Articles

  1. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2022. "Transaction cost analytics for corporate bonds," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1295-1319, July.
  2. Charles-Albert Lehalle & Guillaume Simon, 2021. "Portfolio selection with active strategies: how long only constraints shape convictions," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 443-463, October.
  3. Charles-Albert Lehalle, 2019. "La finance de marché à l’ère de l’intelligence bon marché," Revue d'économie financière, Association d'économie financière, vol. 0(3), pages 67-84.
  4. Charles-Albert Lehalle & Eyal Neuman, 2019. "Incorporating signals into optimal trading," Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
  5. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
  6. 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.
  7. 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.
  8. 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.

Chapters

  1. Mengda Li & Charles-Albert Lehalle, 2024. "Mathematics of Embeddings: Spillover of Polarities over Financial Texts," World Scientific Book Chapters, in: Andrey Itkin (ed.), REVIEWS IN MODERN QUANTITATIVE FINANCE, chapter 3, pages 151-188, World Scientific Publishing Co. Pte. Ltd..
  2. Charles-Albert Lehalle & Sophie Laruelle, 2018. "Optimal Organizations for Optimal Trading," World Scientific Book Chapters, in: Charles-Albert Lehalle & Sophie Laruelle (ed.), Market Microstructure in Practice, chapter 3, pages 193-246, World Scientific Publishing Co. Pte. Ltd..
  3. Charles-Albert Lehalle & Sophie Laruelle, 2018. "Monitoring the Fragmentation at Any Scale," World Scientific Book Chapters, in: Charles-Albert Lehalle & Sophie Laruelle (ed.), Market Microstructure in Practice, chapter 1, pages 33-115, World Scientific Publishing Co. Pte. Ltd..
  4. Charles-Albert Lehalle & Sophie Laruelle, 2018. "Understanding the Stakes and the Roots of Fragmentation," World Scientific Book Chapters, in: Charles-Albert Lehalle & Sophie Laruelle (ed.), Market Microstructure in Practice, chapter 2, pages 117-191, World Scientific Publishing Co. Pte. Ltd..
  5. Charles-Albert Lehalle & Sophie Laruelle, 2013. "Introduction," World Scientific Book Chapters, in: Charles-Albert Lehalle & Sophie Laruelle (ed.), Market Microstructure in Practice, chapter 1, pages 1-27, World Scientific Publishing Co. Pte. Ltd..

Books

  1. Capponi,Agostino & Lehalle,Charles-Albert (ed.), 2023. "Machine Learning and Data Sciences for Financial Markets," Cambridge Books, Cambridge University Press, number 9781316516195, January.
  2. Charles-Albert Lehalle & Amine Raboun (ed.), 2022. "Financial Markets in Practice:From Post-Crisis Intermediation to FinTechs," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12731, December.
  3. Charles-Albert Lehalle & Sophie Laruelle (ed.), 2018. "Market Microstructure in Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10739, December.
  4. Charles-Albert Lehalle & Sophie Laruelle (ed.), 2013. "Market Microstructure in Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8967, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

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 27 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 (22) 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 2018-04-09 2018-05-14 2019-01-07 2019-01-07 2019-03-04 2019-03-25 2020-06-29 2021-03-22. Author is listed
  2. NEP-CMP: Computational Economics (7) 2009-10-10 2011-05-14 2011-12-19 2013-12-06 2017-03-12 2020-06-29 2021-03-22. Author is listed
  3. NEP-GTH: Game Theory (4) 2016-11-06 2019-02-18 2019-03-04 2021-03-22
  4. NEP-BIG: Big Data (2) 2020-06-29 2021-03-22
  5. NEP-RMG: Risk Management (2) 2012-05-22 2012-06-25
  6. NEP-BEC: Business Economics (1) 2011-05-30
  7. NEP-EXP: Experimental Economics (1) 2016-11-06
  8. NEP-FMK: Financial Markets (1) 2015-08-01
  9. NEP-FOR: Forecasting (1) 2015-08-01
  10. NEP-UPT: Utility Models and Prospect Theory (1) 2018-04-09

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