8
H index
6
i10 index
430
Citations
Charles-Albert LEHALLE : Citation Profile
| RESEARCH PRODUCTION: 8 Articles 42 Papers 8 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2010 - 2024). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Charles-Albert LEHALLE. | Is cited by:
| Cites to:
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Main data
Where Charles-Albert LEHALLE has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 25 |
| Post-Print / HAL | 10 |
| Working Papers / HAL | 7 |
Recent works citing Charles-Albert LEHALLE (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2025 | Statistical Learning with Sublinear Regret of Propagator Models. (2023). Zhang, Yufei ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2301.05157. Full description at Econpapers || Download paper |
| 2024 | Optimal execution and speculation with trade signals. (2023). Korber, Laura ; 'Alvaro Cartea, ; Bank, Peter. In: Papers. RePEc:arx:papers:2306.00621. Full description at Econpapers || Download paper |
| 2024 | Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2306.05433. Full description at Econpapers || Download paper |
| 2024 | Decentralised Finance and Automated Market Making: Execution and Speculation. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499. Full description at Econpapers || Download paper |
| 2024 | Understanding the least well-kept secret of high-frequency trading. (2023). Sfendourakis, Emmanouil ; Rosenbaum, Mathieu ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2307.15599. Full description at Econpapers || Download paper |
| 2024 | Modeling liquidity in corporate bond markets: applications to price adjustments. (2023). Gu, Olivier ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2309.04216. Full description at Econpapers || Download paper |
| 2024 | Limit Order Book Simulations: A Review. (2024). Treleaven, Philip ; Kochems, Jonathan ; Firoozye, Nick ; Jain, Konark. In: Papers. RePEc:arx:papers:2402.17359. Full description at Econpapers || Download paper |
| 2024 | Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows. (2024). Yu, Fenghui ; Lokin, Felix. In: Papers. RePEc:arx:papers:2403.02572. Full description at Econpapers || Download paper |
| 2024 | Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2403.10273. Full description at Econpapers || Download paper |
| 2024 | Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity. (2024). Guilbert, Julien ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2405.03496. Full description at Econpapers || Download paper |
| 2024 | Trade execution games in a Markovian environment. (2024). Shimoshimizu, Makoto ; Ohnishi, Masamitsu. In: Papers. RePEc:arx:papers:2405.07184. Full description at Econpapers || Download paper |
| 2024 | Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2024). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431. Full description at Econpapers || Download paper |
| 2024 | A theory of passive market impact. (2024). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Chahdi, Youssef Ouazzani. In: Papers. RePEc:arx:papers:2412.07461. Full description at Econpapers || Download paper |
| 2025 | Market Making with Fads, Informed, and Uninformed Traders. (2025). , Leandro ; Mathieu, Adrien ; Barucci, Emilio. In: Papers. RePEc:arx:papers:2501.03658. Full description at Econpapers || Download paper |
| 2025 | Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chance. (2025). Lehalle, Charles-Albert ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2501.03993. Full description at Econpapers || Download paper |
| 2025 | Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation. (2025). Bodor, Hamza ; Carlier, Laurent. In: Papers. RePEc:arx:papers:2501.08822. Full description at Econpapers || Download paper |
| 2025 | Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets. (2025). Xu, Tianrui ; Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:2501.12591. Full description at Econpapers || Download paper |
| 2025 | TRADES: Generating Realistic Market Simulations with Diffusion Models. (2025). Velardi, Paola ; Prenkaj, Bardh ; Berti, Leonardo. In: Papers. RePEc:arx:papers:2502.07071. Full description at Econpapers || Download paper |
| 2024 | High frequency market making: The role of speed. (2024). Salam, Mehmet ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000581. Full description at Econpapers || Download paper |
| 2024 | Across-time risk-aware strategies for outperforming a benchmark. (2024). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:776-800. Full description at Econpapers || Download paper |
| 2024 | Execution uncertainty of dark pools and portfolio balance. (2024). Li, Tangrong ; Sun, Xuchu ; Zhu, Jianchang. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003064. Full description at Econpapers || Download paper |
| 2025 | A mathematical framework for modelling order book dynamics. (2025). Degond, Pierre ; Cont, Rama ; Lifan, Xuan. In: Post-Print. RePEc:hal:journl:hal-03968767. Full description at Econpapers || Download paper |
| 2024 | Mesoscale effects of trader learning behaviors in financial markets: A multi-agent reinforcement learning study. (2024). Gutkin, Boris ; Palminteri, Stefano ; Vrizzi, Stefano ; Lussange, Johann. In: Post-Print. RePEc:hal:journl:hal-04790290. Full description at Econpapers || Download paper |
Charles-Albert LEHALLE has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Charles-Albert LEHALLE:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | Optimal split of orders across liquidity pools: a stochastic algorithm approach In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Optimal split of orders across liquidity pools: a stochastic algorithm approach.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2012 | Dealing with the Inventory Risk. A solution to the market making problem In: Papers. [Full Text][Citation analysis] | paper | 96 |
| 2013 | Dealing with the Inventory Risk. A solution to the market making problem.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 96 | paper | |
| 2012 | Optimal Portfolio Liquidation with Limit Orders In: Papers. [Full Text][Citation analysis] | paper | 65 |
| 2012 | Optimal Portfolio Liquidation with Limit Orders.(2012) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
| 2012 | Optimal posting price of limit orders: learning by trading In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | General Intensity Shapes in Optimal Liquidation In: Papers. [Full Text][Citation analysis] | paper | 36 |
| 2015 | GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION.(2015) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
| 2013 | Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Realtime market microstructure analysis: online Transaction Cost Analysis In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Real-time market microstructure analysis: online transaction cost analysis.(2014) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2015 | Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Simulating and analyzing order book data: The queue-reactive model In: Papers. [Full Text][Citation analysis] | paper | 77 |
| 2015 | Simulating and Analyzing Order Book Data: The Queue-Reactive Model.(2015) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 77 | article | |
| 2014 | Market impacts and the life cycle of investors orders In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Mean Field Game of Controls and An Application To Trade Crowding In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2017 | Mini-symposium on automatic differentiation and its applications in the financial industry In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Incorporating Signals into Optimal Trading In: Papers. [Full Text][Citation analysis] | paper | 31 |
| 2019 | Incorporating signals into optimal trading.(2019) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
| 2018 | Optimal liquidity-based trading tactics In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2018 | Co-impact: Crowding effects in institutional trading activity In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2018 | Optimal trading using signals In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Optimal trading using signals.(2019) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Endogeneous Dynamics of Intraday Liquidity In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations In: Papers. [Full Text][Citation analysis] | paper | 18 |
| 2019 | A MEAN FIELD GAME OF PORTFOLIO TRADING AND ITS CONSEQUENCES ON PERCEIVED CORRELATIONS.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2021 | Transaction Cost Analytics for Corporate Bonds In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Transaction cost analytics for corporate bonds.(2022) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Learning a functional control for high-frequency finance In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Phase Transitions in Kyles Model with Market Maker Profit Incentives In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Do Word Embeddings Really Understand Loughran-McDonalds Polarities? In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | La finance de marché à l’ère de l’intelligence bon marché In: Revue d'économie financière. [Full Text][Citation analysis] | article | 0 |
| 2019 | La finance de marché à l’ère de l’intelligence bon marché.(2019) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2010 | Corporate Liquidity, Dividend Policy and Default Risk : Optimal Financial Policy and Agency Costs In: Post-Print. [Citation analysis] | paper | 2 |
| 2010 | CORPORATE LIQUIDITY, DIVIDEND POLICY AND DEFAULT RISK: OPTIMAL FINANCIAL POLICY AND AGENCY COSTS.(2010) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2012 | Market microstructure: confronting many viewpoints In: Post-Print. [Citation analysis] | paper | 9 |
| 2013 | OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance In: Post-Print. [Citation analysis] | paper | 3 |
| 2020 | Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies In: Post-Print. [Citation analysis] | paper | 3 |
| 2019 | Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies.(2019) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2023 | Data Preselection in Machine Learning Methods: An Application to Macroeconomic Nowcasting with Google Search Data In: Post-Print. [Citation analysis] | paper | 0 |
| 2010 | Optimal split of orders across liquidity pools: a stochastic algorithm approach In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2010 | Optimal trading algorithms and selfsimilar processes: a p-variation approach In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Optimal algorithmic trading and market microstructure In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Optimal starting times, stopping times and risk measures for algorithmic trading In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Portfolio selection with active strategies: how long only constraints shape convictions In: Journal of Asset Management. [Full Text][Citation analysis] | article | 2 |
| 2024 | Mathematics of Embeddings: Spillover of Polarities over Financial Texts In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2018 | Monitoring the Fragmentation at Any Scale In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2013 | Monitoring the Fragmentation at Any Scale.(2013) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2018 | Understanding the Stakes and the Roots of Fragmentation In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2013 | Understanding the Stakes and the Roots of Fragmentation.(2013) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2018 | Optimal Organizations for Optimal Trading In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2013 | Optimal Organisations for Optimal Trading.(2013) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2013 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team