Charles-Albert Lehalle

Available identifiers

zbMath Open lehalle.charles-albertWikidataQ49692331 ScholiaQ49692331MaRDI QIDQ300837

List of research outcomes

Publication	Date of Publication	Type
Improving reinforcement learning algorithms: Towards optimal learning rate policies	2024-03-14	Paper
Machine Learning and Data Sciences for Financial Markets	2023-03-01	Paper
Transaction cost analytics for corporate bonds	2022-07-22	Paper
Optimal Liquidity-Based Trading Tactics	2022-06-24	Paper
Co-impact: crowding effects in institutional trading activity	2020-09-14	Paper
Incorporating signals into optimal trading	2019-04-24	Paper
Mean field game of controls and an application to trade crowding	2018-07-05	Paper
Mini-symposium on automatic differentiation and its applications in the financial industry	2018-03-07	Paper
Simulating and Analyzing Order Book Data: The Queue-Reactive Model	2017-10-13	Paper
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis	2016-06-29	Paper
Optimization and statistical methods for high frequency finance	2016-01-29	Paper
GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION	2015-07-15	Paper
Real-time market microstructure analysis: online transaction cost analysis	2015-04-08	Paper
Dealing with the inventory risk: a solution to the market making problem	2013-09-13	Paper
Optimal posting price of limit orders: learning by trading	2013-08-06	Paper
Optimal Portfolio Liquidation with Limit Orders	2013-01-25	Paper
Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach	2012-04-19	Paper
Optimal Control of Trading Algorithms: A General Impulse Control Approach	2011-06-21	Paper
CORPORATE LIQUIDITY, DIVIDEND POLICY AND DEFAULT RISK: OPTIMAL FINANCIAL POLICY AND AGENCY COSTS	2010-08-11	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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