Charles-Albert Lehalle

zbMath Openlehalle.charles-albertWikidataQ49692331 ScholiaQ49692331MaRDI QIDQ300837

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Improving reinforcement learning algorithms: Towards optimal learning rate policies Mathematical Finance	2024-03-14	Paper
Machine Learning and Data Sciences for Financial Markets	2023-03-01	Paper
Transaction cost analytics for corporate bonds Quantitative Finance	2022-07-22	Paper
Optimal liquidity-based trading tactics Stochastic Systems	2022-06-24	Paper
Co-impact: crowding effects in institutional trading activity Quantitative Finance	2020-09-14	Paper
Incorporating signals into optimal trading Finance and Stochastics	2019-04-24	Paper
Mean field game of controls and an application to trade crowding Mathematics and Financial Economics	2018-07-05	Paper
Mini-symposium on automatic differentiation and its applications in the financial industry ESAIM: Proceedings and Surveys	2018-03-07	Paper
Simulating and analyzing order book data: the queue-reactive model Journal of the American Statistical Association	2017-10-13	Paper
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis Mathematics and Financial Economics	2016-06-29	Paper
Optimization and statistical methods for high frequency finance ESAIM: Proceedings and Surveys	2016-01-29	Paper
General intensity shapes in optimal liquidation Mathematical Finance	2015-07-15	Paper
Real-time market microstructure analysis: online transaction cost analysis Quantitative Finance	2015-04-08	Paper
Dealing with the inventory risk: a solution to the market making problem Mathematics and Financial Economics	2013-09-13	Paper
Optimal posting price of limit orders: learning by trading Mathematics and Financial Economics	2013-08-06	Paper
Optimal portfolio liquidation with limit orders SIAM Journal on Financial Mathematics	2013-01-25	Paper
Optimal split of orders across liquidity pools: a stochastic algorithm approach SIAM Journal on Financial Mathematics	2012-04-19	Paper
Optimal control of trading algorithms: a general impulse control approach SIAM Journal on Financial Mathematics	2011-06-21	Paper
Corporate liquidity, dividend policy and default risk: optimal financial policy and agency costs International Journal of Theoretical and Applied Finance	2010-08-11	Paper

Research outcomes over time

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