Access Statistics for Charles-Albert LEHALLE

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations 0 0 0 9 0 1 1 38
A mean field game of portfolio trading and its consequences on perceived correlations 0 0 0 5 0 1 4 35
Co-impact: Crowding effects in institutional trading activity 0 1 2 38 1 3 7 109
Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs 0 0 0 0 0 0 1 31
Data Preselection in Machine Learning Methods: An Application to Macroeconomic Nowcasting with Google Search Data 0 0 0 0 6 10 10 10
Dealing with the Inventory Risk. A solution to the market making problem 0 0 1 119 2 4 20 480
Dealing with the Inventory Risk. A solution to the market making problem 0 0 0 0 1 6 26 153
Do Word Embeddings Really Understand Loughran-McDonald's Polarities? 0 0 1 1 1 1 9 17
Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis 0 0 0 86 0 2 5 197
Endogeneous Dynamics of Intraday Liquidity 0 0 0 13 1 1 4 51
General Intensity Shapes in Optimal Liquidation 0 0 0 29 0 1 1 110
How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program 0 0 0 24 0 0 1 37
Incorporating Signals into Optimal Trading 0 0 5 34 0 0 10 82
La finance de marché à l’ère de l’intelligence bon marché 0 0 0 1 0 0 0 18
Learning a functional control for high-frequency finance 0 0 1 15 0 0 5 30
Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency 0 0 2 37 0 0 5 55
Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process 0 1 1 57 0 1 1 139
Market impacts and the life cycle of investors orders 0 0 1 13 0 0 2 46
Market microstructure: confronting many viewpoints 0 0 1 1 3 8 31 106
Mean Field Game of Controls and An Application To Trade Crowding 0 0 0 25 1 3 7 39
Mini-symposium on automatic differentiation and its applications in the financial industry 0 0 0 23 0 0 0 59
Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance 0 0 0 0 0 0 0 3
OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE 1 1 2 15 1 1 4 46
Optimal Portfolio Liquidation with Limit Orders 0 0 0 0 0 0 0 17
Optimal Portfolio Liquidation with Limit Orders 1 1 2 75 2 4 10 228
Optimal algorithmic trading and market microstructure 0 1 2 232 1 3 7 429
Optimal liquidity-based trading tactics 0 0 1 15 2 2 3 36
Optimal posting price of limit orders: learning by trading 0 0 0 54 0 1 1 182
Optimal split of orders across liquidity pools: a stochastic algorithm approach 0 0 0 0 0 0 0 0
Optimal split of orders across liquidity pools: a stochastic algorithm approach 0 0 0 86 0 0 0 176
Optimal starting times, stopping times and risk measures for algorithmic trading 0 0 0 68 0 0 1 183
Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall 0 0 2 68 3 3 5 122
Optimal trading algorithms and selfsimilar processes: a p-variation approach 0 0 0 58 0 0 0 145
Optimal trading using signals 0 0 2 9 0 1 4 36
Optimal trading using signals 0 0 0 0 0 0 0 45
Phase Transitions in Kyle's Model with Market Maker Profit Incentives 0 0 1 14 0 0 2 15
Realtime market microstructure analysis: online Transaction Cost Analysis 0 1 2 50 1 2 7 96
Simulating and analyzing order book data: The queue-reactive model 0 0 3 43 0 1 12 126
Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies 0 0 0 0 0 1 1 1
Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies 0 0 0 0 0 1 2 29
Transaction Cost Analytics for Corporate Bonds 0 0 0 16 0 0 1 77
Total Working Papers 2 6 32 1,333 26 62 210 3,834
1 registered items for which data could not be found


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
CORPORATE LIQUIDITY, DIVIDEND POLICY AND DEFAULT RISK: OPTIMAL FINANCIAL POLICY AND AGENCY COSTS 0 0 1 6 2 2 4 38
GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION 0 0 0 3 0 1 2 30
Incorporating signals into optimal trading 1 1 2 9 1 1 13 51
La finance de marché à l’ère de l’intelligence bon marché 0 0 3 12 0 1 5 30
Portfolio selection with active strategies: how long only constraints shape convictions 0 0 1 6 0 1 4 27
Real-time market microstructure analysis: online transaction cost analysis 0 0 0 6 0 0 2 59
Simulating and Analyzing Order Book Data: The Queue-Reactive Model 0 0 3 12 0 0 3 41
Transaction cost analytics for corporate bonds 0 0 0 0 0 0 0 0
Total Journal Articles 1 1 10 54 3 6 33 276


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Introduction 0 4 18 52 1 8 25 75
Monitoring the Fragmentation at Any Scale 0 4 10 17 0 6 13 33
Monitoring the Fragmentation at Any Scale 0 0 2 7 0 1 5 17
Optimal Organisations for Optimal Trading 0 0 0 11 0 0 0 18
Optimal Organizations for Optimal Trading 0 0 0 5 0 0 2 12
Understanding the Stakes and the Roots of Fragmentation 0 0 0 1 0 0 1 3
Understanding the Stakes and the Roots of Fragmentation 0 0 0 3 1 1 1 8
Total Chapters 0 8 30 96 2 16 47 166


Statistics updated 2024-04-03