Citation profile for Charles-Albert LEHALLE

Charles-Albert LEHALLE : Citation Profile

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399

Citations

RESEARCH PRODUCTION:

Articles

Papers

Chapters

EDITOR:

Books edited

RESEARCH ACTIVITY:

   13 years (2010 - 2023). See details.
   Cites by year: 30
   Journals where Charles-Albert LEHALLE has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 22 (5.23 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple574
   Updated: 2024-04-18    RAS profile: 2024-01-28
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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:

Siu, Tak Kuen (10)

Brigo, Damiano (4)

Roncalli, Thierry (2)

Cartea, Álvaro (2)

Yoshino, Naoyuki (2)

Ingber, Lester (2)

Nakatsuma, Teruo (2)

Jacquier, Antoine (1)

Leung, Tim (1)

Kovaleva, Polina (1)

Szafarz, Ariane (1)

Cites to:

Foucault, Thierry (25)

Menkveld, Albert (22)

Schied, Alexander (20)

Farmer, J. (16)

Lo, Andrew (11)

Bayraktar, Erhan (8)

Potters, Marc (7)

Biais, Bruno (6)

Gerig, Austin (6)

Mantegna, Rosario (5)

Schöneborn, Torsten (4)

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 (2024 and 2023)

Year	Title of citing document
2023	Optimal liquidation under indirect price impact with propagator. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023012. Full description at Econpapers \|\| Download paper
2023	On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731. Full description at Econpapers \|\| Download paper
2023	Optimal Trading with Signals and Stochastic Price Impact. (2021). Saporito, Yuri F ; Fouque, Jean-Pierre ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2101.10053. Full description at Econpapers \|\| Download paper
2023	Trading with the Crowd. (2021). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2106.09267. Full description at Econpapers \|\| Download paper
2023	Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control. (2021). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2112.02269. Full description at Econpapers \|\| Download paper
2023	Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2112.02961. Full description at Econpapers \|\| Download paper
2023	Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553. Full description at Econpapers \|\| Download paper
2023	Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478. Full description at Econpapers \|\| Download paper
2023	Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423. Full description at Econpapers \|\| Download paper
2023	Dealing with multi-currency inventory risk in FX cash markets. (2022). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2207.04100. Full description at Econpapers \|\| Download paper
2023	Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901. Full description at Econpapers \|\| Download paper
2023	Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations. (2022). Balch, Tucker ; Zheng, Zeyu ; Xu, Mengda ; Vann, Jared ; Amrouni, Selim ; Spooner, Thomas ; Ganesh, Sumitra ; Ardon, Leo ; Vadori, Nelson ; Veloso, Manuela. In: Papers. RePEc:arx:papers:2210.07184. Full description at Econpapers \|\| Download paper
2023	Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. (2022). Gu, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2212.00336. Full description at Econpapers \|\| Download paper
2023	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
2023	A mathematical framework for modelling order book dynamics. (2023). Xuan, Lifan ; Degond, Pierre ; Cont, Rama. In: Papers. RePEc:arx:papers:2302.01169. Full description at Econpapers \|\| Download paper
2023	Order book regulatory impact on stock market quality: a multi-agent reinforcement learning perspective. (2023). Gutkin, Boris ; Lussange, Johann. In: Papers. RePEc:arx:papers:2302.04184. Full description at Econpapers \|\| Download paper
2023	Towards systematic intraday news screening: a liquidity-focused approach. (2023). Rosenbaum, Mathieu ; Zhang, Jianfei. In: Papers. RePEc:arx:papers:2304.05115. Full description at Econpapers \|\| Download paper
2023	LQG Risk-Sensitive Mean Field Games with a Major Agent: A Variational Approach. (2023). Breton, Michele ; Firoozi, Dena ; Liu, Hanchao. In: Papers. RePEc:arx:papers:2305.15364. Full description at Econpapers \|\| Download paper
2023	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
2023	Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis. (2023). Sun, Danny D ; Liu, Shuaiqiang ; Gong, Shiqi. In: Papers. RePEc:arx:papers:2306.02764. 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
2023	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
2023	Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024. Full description at Econpapers \|\| Download paper
2023	Towards Generalizable Reinforcement Learning for Trade Execution. (2023). Zhao, LI ; Li, Jian ; Chen, Jianyu ; Duan, Yitong ; Zhang, Chuheng. In: Papers. RePEc:arx:papers:2307.11685. Full description at Econpapers \|\| Download paper
2023	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
2023	IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making. (2023). An, BO ; Guo, Jian ; Li, Jian ; Lin, Zhouchi ; Zheng, Jiahao ; Niu, Hui. In: Papers. RePEc:arx:papers:2308.08918. Full description at Econpapers \|\| Download paper
2023	Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals. (2023). Wiese, Magnus ; Horvath, Blanka ; Futter, Owen. In: Papers. RePEc:arx:papers:2308.15135. Full description at Econpapers \|\| Download paper
2023	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
2023	Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers \|\| Download paper
2023	Algorithmic market making in dealer markets with hedging and market impact. (2023). Gueant, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:41-79. Full description at Econpapers \|\| Download paper
2023	Recent advances in reinforcement learning in finance. (2023). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503. Full description at Econpapers \|\| Download paper
2023	A Leland model for delta hedging in central risk books. (2023). Webster, Kevin ; Wang, Zexin ; Muhlekarbe, Johannes. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:504-547. Full description at Econpapers \|\| Download paper
2023	Trading with the crowd. (2023). Voss, Moritz ; Neuman, Eyal. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:548-617. Full description at Econpapers \|\| Download paper
2023	A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers \|\| Download paper
2023	Queue-reactive Hawkes models for the order flow. (2022). Bacry, Emmanuel ; Muzy, Jean-Franois ; Rambaldi, Marcello ; Wu, Peng. In: Post-Print. RePEc:hal:journl:hal-02409073. Full description at Econpapers \|\| Download paper
2023	A mathematical framework for modelling order book dynamics. (2023). Lifan, Xuan ; Degond, Pierre ; Cont, Rama. In: Working Papers. RePEc:hal:wpaper:hal-03968767. Full description at Econpapers \|\| Download paper
2023	Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-04119787. Full description at Econpapers \|\| Download paper
2023	Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model. (2023). Gutkin, Boris ; Palminteri, Stefano ; Bourgeois-Gironde, Sacha ; Vrizzi, Stefano ; Lussange, Johann. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10249-3. Full description at Econpapers \|\| Download paper
2023	Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset. (2023). Aksoy, Umit ; Uur, Omur ; Aydoan, Burcu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10272-4. Full description at Econpapers \|\| Download paper
2023	Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market. (2023). Song, Shijia ; Luo, Qixuan ; Li, Handong. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10316-9. Full description at Econpapers \|\| Download paper
2023	Optimal execution with stochastic delay. (2023). Sanchez-Betancourt, Leandro ; Cartea, Alvaro. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00491-w. Full description at Econpapers \|\| Download paper
2023	Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents. (2023). Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo ; Vodret, Michele. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00379-8. Full description at Econpapers \|\| Download paper
2023	Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z. 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	87
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: 87	paper
2012	Optimal Portfolio Liquidation with Limit Orders In: Papers. [Full Text][Citation analysis]	paper	62
2012	Optimal Portfolio Liquidation with Limit Orders.(2012) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 62	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	35
2015	GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION.(2015) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35	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	71
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: 71	article
2014	Market impacts and the life cycle of investors orders In: Papers. [Full Text][Citation analysis]	paper	4
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	7
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	27
2019	Incorporating signals into optimal trading.(2019) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27	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	8
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	2
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: 2	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	4
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	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