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Lehalle.net

The web site of Charles-Albert Lehalle

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Jump to Main References
Jump to Working Places
Jump to Selected Publications

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Main References:



 * Book: Market Microstructure in Practice
 * Journal: Market Microstructure and Liquidity
 * Conference: Market Microstructure: Confronting Many Viewpoints
 * Workshop: The CFM-Imperial Workshop

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Working Places:



 * CFM
 * L’Institut Louis Bachelier
 * Imperial College, London
 * The Analytics and Models For Regulation Chair, at Ecole Polytechnique
 * Université Pierre et Marie Curie, Master 2 Probability et Finance
 * Université Paris Dauphine, MASEF

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Selected Publications:



 * Mean Field Games
 * Cardaliaguet, P., and Lehalle, C.-A. (2016). Mean field game of controls and
   an application to trade crowding.Mathematics and Financial Economics
 * Lachapelle, A., Lasry, J.-M., Lehalle, C.-A., and Lions, P.-L. (2016).
   Efficiency of the price formation process in presence of high frequency
   participants: a mean field game analysis. Mathematics and Financial
   Economics, 10 (3), 223-262.
 * Optimal Trading
 * Lehalle, C.-A., and Mounjid, O. (2016). Limit order strategic placement with
   adverse selection risk and the role of latency.Market Microstructure and
   Liquidity (forthcoming)
 * Guéant, O., and Lehalle, C.-A. (2015). General intensity shapes in optimal
   liquidation. Mathematical Finance, 25 (3), 457-495.
 * Bouchard, B., Dang, N.-M., and Lehalle, C.-A. (2011). Optimal control of
   trading algorithms: a general impulse control approach. SIAM J. Financial
   Mathematics, 2 (1), 404-438.
 * Lehalle, C.-A. (2009). Rigorous strategic trading: Balanced portfolio and
   Mean-Reversion. The Journal of Trading, 4 (3), 40-46.
 * Guéant, O., Lehalle, C.-A., and Fernandez-Tapia, J. (2013). Dealing with the
   inventory risk: a solution to the market making problem. Mathematics and
   Financial Economics, 4 (7), 477-507.
 * Machine Learning
 * Laruelle, S., Lehalle, C.-A., and Pagès, G. (2013). Optimal posting price of
   limit orders: learning by trading. Mathematics and Financial Economics, 7
   (3), 359-403.
 * Azencott, R., Beri, A., Gadhyan, Y., Joseph, N., Lehalle, C.-A., and Rowley,
   M. (2014). Realtime market microstructure analysis: online transaction cost
   analysis. Quantitative Finance, (pp. 0-19).
 * Lehalle, C.-A., and Azencott, R. (1999). Piecewise affine neural networks and
   nonlinear control: Stability results. IEEE International Symposium on
   Intelligent Control/Intelligent Systems and Semiotics.
 * Lehalle, C.-A., and Azencott, R. (2004). On the fly health monitoring of
   mechanical hazards from under sampled signals in formula one. FISITA World
   Automotive Congress.
 * Orderbook Dynamics
 * Huang, W., Lehalle, C.-A., and Rosenbaum, M. (2015). Simulating and analyzing
   order book data: The queue-reactive model. Journal of the American
   Statistical Association, 10 (509).
 * Lehalle, C.-A., Guéant, O., and Razafinimanana, J. (2010). High frequency
   simulations of an order book: a Two-Scales approach. In F. Abergel, B. K.
   Chakrabarti, A. Chakraborti, & M. Mitra (Eds.) Econophysics of Order-Driven
   Markets, New Economic Windows. Springer.
 * Market Microstructure
 * Bacry, E., Iuga, A., Lasnier, M., and Lehalle, C.-A. (2015). Market impacts
   and the life cycle of investors orders. Market Microstructure and Liquidity,
   1 (2).
 * Lehalle, C.-A. (2013). Market microstructure knowledge needed to control an
   intra-day trading process.inHandbook on Systemic Risk
 * Others
 * Geeraert, S., Lehalle, C.-A., Pearlmutter, B., Pironneau, O., & Reghai, A.
   (2017). Mini-symposium on automatic differentiation and its applications in
   the financial industry.
   ESAIM Proceedings
 * Braouezec, Y., and Lehalle, C.-A. (2010). Corporate liquidity, dividend
   policy and default risk: Optimal financial policy and agency costs.
   International Journal of Theoretical and Applied Finance, 13 (4).

 

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