Követés
charles-albert lehalle
charles-albert lehalle
Abu Dhabi Investment Authority
E-mail megerősítve itt: lehalle.net - Kezdőlap
Cím
Hivatkozott rá
Hivatkozott rá
Év
Mean field game of controls and an application to trade crowding
P Cardaliaguet, CA Lehalle
Mathematics and Financial Economics 12, 335-363, 2018
2352018
Dealing with the Inventory Risk. A solution to the market making problem
O Guéant, CA Lehalle, J Fernandez Tapia
Arxiv preprint arXiv:1105.3115, 2011
2262011
Optimal Portfolio Liquidation with Limit Orders
O Guéant, CA Lehalle, J Fernandez-Tapia
Arxiv preprint arXiv:1106.3279, 2011
1912011
Simulating and analyzing order book data: The queue-reactive model
W Huang, CA Lehalle, M Rosenbaum
Journal of the American Statistical Association 110 (509), 107-122, 2015
1752015
Market microstructure in practice
CA Lehalle, S Laruelle
World Scientific, 2018
1542018
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
A Lachapelle, JM Lasry, CA Lehalle, PL Lions
Mathematics and Financial Economics 10, 223-262, 2016
1372016
Market impacts and the life cycle of investors orders
E Bacry, A Iuga, M Lasnier, CA Lehalle
Market Microstructure and Liquidity 1 (02), 1550009, 2015
1122015
Optimal control of trading algorithms: a general impulse control approach
B Bouchard, NM Dang, CA Lehalle
SIAM Journal on financial mathematics 2 (1), 404-438, 2011
1022011
General Intensity Shapes in Optimal Liquidation
O Guéant, CA Lehalle
arXiv. org, 2012
972012
Optimal split of orders across liquidity pools: a stochastic algorithm approach
S Laruelle, G Pagès, CA Lehalle
Arxiv preprint arXiv:0910.1166, 2009
922009
Incorporating signals into optimal trading
CA Lehalle, E Neuman
Finance and Stochastics 23, 275-311, 2019
702019
Optimal posting price of limit orders: learning by trading
S Laruelle, CA Lehalle, G Pagès
Mathematics and Financial Economics 7 (3), 359-403, 2013
582013
Market microstructure: confronting many viewpoints
F Abergel, JP Bouchaud, T Foucault, CA Lehalle, M Rosenbaum
John Wiley & Sons, 2012
492012
Limit order strategic placement with adverse selection risk and the role of latency
CA Lehalle, O Mounjid
Market Microstructure and Liquidity 3 (01), 1750009, 2017
462017
Market Microstructure knowledge needed to control an intra-day trading process
CA Lehalle
Handbook on Systemic Risk, J-P Fouque and J Langsam Editors, 992, 2013
38*2013
The behavior of high-frequency traders under different market stress scenarios
N Megarbane, P Saliba, CA Lehalle, M Rosenbaum
Market Microstructure and Liquidity 3 (03n04), 1850005, 2017
322017
Optimal starting times, stopping times and risk measures for algorithmic trading
M Labadie, CA Lehalle
30*2012
Co-impact: Crowding effects in institutional trading activity
F Bucci, I Mastromatteo, Z Eisler, F Lillo, JP Bouchaud, CA Lehalle
Quantitative Finance 20 (2), 193-205, 2020
282020
A mean field game of portfolio trading and its consequences on perceived correlations
CA Lehalle, C Mouzouni
arXiv preprint arXiv:1902.09606, 2019
282019
High-frequency simulations of an order book: a two-scale approach
CA Lehalle, O Guéant, J Razafinimanana
Econophysics of Order-driven Markets: Proceedings of Econophys-Kolkata V, 73-92, 2011
282011
A rendszer jelenleg nem tudja elvégezni a műveletet. Próbálkozzon újra később.
Cikkek 1–20