Charles-Albert LEHALLE : Citation Profile

8

H index

7

i10 index

468

Citations

RESEARCH PRODUCTION:

8

Articles

42

Papers

8

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   14 years (2010 - 2024). See details.
   Cites by year: 33
   Journals where Charles-Albert LEHALLE has often published
   Relations with other researchers
   Recent citing documents: 75.    Total self citations: 22 (4.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple574
   Updated: 2026-02-21    RAS profile: 2024-06-08    
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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:

Guéant, Olivier (20)

Siu, Tak Kuen (10)

Brigo, Damiano (4)

Fermanian, Jean-David (4)

Nakatsuma, Teruo (3)

Yoshino, Naoyuki (3)

Cartea, Álvaro (2)

Bourgeois-Gironde, Sacha (2)

Tebaldi, Claudio (2)

Roncalli, Thierry (2)

Ingber, Lester (2)

Cites to:

Foucault, Thierry (25)

Guéant, Olivier (22)

Menkveld, Albert (22)

Schied, Alexander (20)

Farmer, J. (16)

Lo, Andrew (11)

Bayraktar, Erhan (8)

Potters, Marc (7)

Biais, Bruno (6)

Gerig, Austin (6)

Kandel, Eugene (6)

Main data

Where Charles-Albert LEHALLE has published?

Journals with more than one article published# docs
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org25
Post-Print / HAL10
Working Papers / HAL7

Recent works citing Charles-Albert LEHALLE (2025 and 2024)

YearTitle of citing document
2025From Glosten-Milgrom to the whole limit order book and applications to financial regulation. (2025). Huang, Weibing ; Saliba, Pamela ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1902.10743.

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2025The Support and Resistance Line Method: An Analysis via Optimal Stopping. (2025). Henderson, Vicky ; Jacka, Saul ; Liu, Ruiqi. In: Papers. RePEc:arx:papers:2103.02331.

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2025Dynamic Inventory Management with Mean-Field Competition. (2025). Li, ZI ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2210.17208.

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2025Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2211.00447.

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2025Statistical Learning with Sublinear Regret of Propagator Models. (2025). Zhang, Yufei ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2301.05157.

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2025LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework. (2025). Breton, Michele ; Liu, Hanchao ; Firoozi, Dena. In: Papers. RePEc:arx:papers:2305.15364.

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2024Optimal execution and speculation with trade signals. (2024). Bank, Peter ; Korber, Laura ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2306.00621.

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2024Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2024). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2306.05433.

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2025Decentralised Finance and Automated Market Making: Execution and Speculation. (2024). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499.

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2024Understanding the worst-kept secret of high-frequency trading. (2024). Pulido, Sergio ; Rosenbaum, Mathieu ; Sfendourakis, Emmanouil. In: Papers. RePEc:arx:papers:2307.15599.

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2024Liquidity Dynamics in RFQ Markets and Impact on Pricing. (2024). Bergault, Philippe ; Gu, Olivier. In: Papers. RePEc:arx:papers:2309.04216.

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2025Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin. In: Papers. RePEc:arx:papers:2310.14144.

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2024Modelling crypto markets by multi-agent reinforcement learning. (2024). Vrizzi, Stefano ; Palminteri, Stefano ; Lussange, Johann ; Gutkin, Boris. In: Papers. RePEc:arx:papers:2402.10803.

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2024Limit Order Book Simulations: A Review. (2024). Firoozye, Nikan ; Treleaven, Philip ; Jain, Konark ; Kochems, Jonathan. In: Papers. RePEc:arx:papers:2402.17359.

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2024Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows. (2024). Yu, Fenghui ; Lokin, Felix. In: Papers. RePEc:arx:papers:2403.02572.

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2024Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2403.10273.

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2024Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity. (2024). Bergault, Philippe ; Gu, Olivier ; Bertucci, Louis ; Guilbert, Julien ; Bouba, David. In: Papers. RePEc:arx:papers:2405.03496.

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2024Trade execution games in a Markovian environment. (2024). Ohnishi, Masamitsu ; Shimoshimizu, Makoto. In: Papers. RePEc:arx:papers:2405.07184.

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2024Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos. (2024). Zhang, YI ; Jos'e E. Figueroa-L'opez, ; Ch, Jonathan ; Yu, Chuyi. In: Papers. RePEc:arx:papers:2405.11444.

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2024A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes. (2024). Carlier, Laurent ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2405.18594.

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2024Unwinding Toxic Flow with Partial Information. (2024). Boyce, Robert ; Neuman, Eyal ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2407.04510.

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2024Automated Market Making and Decentralized Finance. (2024). Monga, Marcello. In: Papers. RePEc:arx:papers:2407.16885.

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2024Market Making with Exogenous Competition. (2024). Boyce, Robert ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2407.17393.

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2024Reinforcement Learning in High-frequency Market Making. (2024). Ding, Zihan ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.21025.

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2025MarS: a Financial Market Simulation Engine Powered by Generative Foundation Model. (2025). Liu, Yang ; Fang, Shikai ; Wang, Lewen ; Bian, Jiang ; Xu, Chang. In: Papers. RePEc:arx:papers:2409.07486.

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2024Simulating and analyzing a sparse order book: an application to intraday electricity markets. (2024). Cogn, Enzo ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2410.06839.

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2024Automated Market Making: the case of Pegged Assets. (2024). Guilbert, Julien ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2411.08145.

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2025Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431.

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2024A theory of passive market impact. (2024). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Chahdi, Youssef Ouazzani. In: Papers. RePEc:arx:papers:2412.07461.

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2025Market Making with Fads, Informed, and Uninformed Traders. (2025). , Leandro ; Mathieu, Adrien ; Barucci, Emilio. In: Papers. RePEc:arx:papers:2501.03658.

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2025Synthetic 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.

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2025Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation. (2025). Bodor, Hamza ; Carlier, Laurent. In: Papers. RePEc:arx:papers:2501.08822.

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2025Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets. (2025). Xu, Tianrui ; Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:2501.12591.

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2025TRADES: Generating Realistic Market Simulations with Diffusion Models. (2025). Velardi, Paola ; Prenkaj, Bardh ; Berti, Leonardo. In: Papers. RePEc:arx:papers:2502.07071.

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2025To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management. (2025). Gu, Olivier ; Bergault, Philippe ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2503.02496.

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2025Fredholm Approach to Nonlinear Propagator Models. (2025). Tuschmann, Sturmius ; Neuman, Eyal ; de Carvalho, Nathan ; Bondi, Alessandro ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.04323.

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2025Modeling metaorder impact with a Non-Markovian Zero Intelligence model. (2025). Ravagnani, Adele ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2503.05254.

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2025Liquidity Competition Between Brokers and an Informed Trader. (2025). Li, ZI ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2503.08287.

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2025A Simple Strategy to Deal with Toxic Flow. (2025). , Leandro ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2503.18005.

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2025The effect of latency on optimal order execution policy. (2025). Smith, Paul ; Saggese, Giacinto Paolo ; Ma, Chutian. In: Papers. RePEc:arx:papers:2504.00846.

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2025Causal Portfolio Optimization: Principles and Sensitivity-Based Solutions. (2025). Dominguez, Alejandro Rodriguez. In: Papers. RePEc:arx:papers:2504.05743.

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2025Agent-based Liquidity Risk Modelling for Financial Markets. (2025). Stillman, Namid ; Baggott, Rory ; Vytelingum, Perukrishnen ; Zhang, Jianfei ; Chen, Tao ; Zhu, Dingqiu ; Lyon, Justin. In: Papers. RePEc:arx:papers:2505.15296.

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2025Ranking Quantilized Mean-Field Games with an Application to Early-Stage Venture Investments. (2025). Tchuendom, Rinel Foguen ; Firoozi, Dena ; Breton, Michele. In: Papers. RePEc:arx:papers:2507.00853.

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2025Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets. (2025). Rola, Przemyslaw. In: Papers. RePEc:arx:papers:2507.09734.

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2025Order Book Filtration and Directional Signal Extraction at High Frequency. (2025). Maiti, Prithwish ; Jain, Shashi ; Anantha, Aditya Nittur. In: Papers. RePEc:arx:papers:2507.22712.

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2025ByteGen: A Tokenizer-Free Generative Model for Orderbook Events in Byte Space. (2025). Chen, Zhi ; Li, Yang. In: Papers. RePEc:arx:papers:2508.02247.

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2025Performative Market Making. (2025). Kleitsikas, Charalampos ; Leonardos, Stefanos ; Ventre, Carmine. In: Papers. RePEc:arx:papers:2508.04344.

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2025Robust Market Making: To Quote, or not To Quote. (2025). Wang, Ziyi ; Ventre, Carmine ; Polukarov, Maria. In: Papers. RePEc:arx:papers:2508.16588.

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2025ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility. (2025). Ventre, Carmine ; Wang, Ziyi ; Polukarov, Maria. In: Papers. RePEc:arx:papers:2508.16589.

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2025Optimal Quoting under Adverse Selection and Price Reading. (2025). Barzykin, Alexander ; Gu, Olivier ; Bergault, Philippe ; Lemmel, Malo. In: Papers. RePEc:arx:papers:2508.20225.

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2025Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools. (2025). Mastrolia, Thibaut ; Wang, Hao. In: Papers. RePEc:arx:papers:2509.03916.

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2025Dynamics of Liquidity Surfaces in Uniswap v3. (2025). Risk, Jimmy ; Wang, Tai-Ho ; Tung, Shen-Ning. In: Papers. RePEc:arx:papers:2509.05013.

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2025Competition and Incentives in a Shared Order Book. (2025). Ren'e A"id, ; Bergault, Philippe ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2509.10094.

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2025FinFlowRL: An Imitation-Reinforcement Learning Framework for Adaptive Stochastic Control in Finance. (2025). Chen, Zhi ; Li, Yang ; Zhang, Ruixun ; Yang, Steve Y. In: Papers. RePEc:arx:papers:2509.17964.

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2025Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04569.

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2025A Deterministic Limit Order Book Simulator with Hawkes-Driven Order Flow. (2025). el Karmi, Sohaib. In: Papers. RePEc:arx:papers:2510.08085.

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2025FinFlowRL: An Imitation-Reinforcement Learning Framework for Adaptive Stochastic Control in Finance. (2025). Li, Yang ; Chen, Zhi. In: Papers. RePEc:arx:papers:2510.15883.

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2024Through stormy seas: how fragile is liquidity across asset classes and time?. (2024). Aquilina, Matteo ; Aliyev, Nihad ; Rzayev, Khaladdin ; Zhu, Sonya. In: BIS Working Papers. RePEc:bis:biswps:1229.

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2025Decentralised finance and automated market making: Execution and speculation. (2025). Cartea, Lvaro ; Drissi, Fayal ; Monga, Marcello. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925001009.

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2024High frequency market making: The role of speed. (2024). Ait-Sahalia, Yacine ; Salam, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000581.

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2024Across-time risk-aware strategies for outperforming a benchmark. (2024). Li, Yuying ; van Staden, Pieter M ; Forsyth, Peter A. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:776-800.

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2024Execution uncertainty of dark pools and portfolio balance. (2024). Sun, Xuchu ; Li, Tangrong ; Zhu, Jianchang. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003064.

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2025Markowitz portfolios under transaction costs. (2025). Ledoit, Olivier ; Wolf, Michael. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000031.

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2025Cross−impact and price bubbles in hybrid financial markets. (2025). Giannetti, Caterina ; Cordoni, Francesco ; Chapkovski, Philipp ; Lillo, Fabrizio. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:118:y:2025:i:c:s2214804325000643.

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2025Deep limit order book forecasting: a microstructural guide. (2025). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128950.

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2025Optimal Liquidation with Signals: the General Propagator Case. (2025). Jaber, Eduardo Abi ; Neuman, Eyal. In: Post-Print. RePEc:hal:journl:hal-03835948.

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2025A mathematical framework for modelling order book dynamics. (2025). Degond, Pierre ; Cont, Rama ; Lifan, Xuan. In: Post-Print. RePEc:hal:journl:hal-03968767.

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2025Understanding the worst-kept secret of high-frequency trading. (2025). Pulido, Sergio ; Sfendourakis, Emmanouil ; Rosenbaum, Mathieu. In: Post-Print. RePEc:hal:journl:hal-04362236.

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2024Mesoscale 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.

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2024Mesoscale effects of trader learning behaviors in financial markets: A multi-agent reinforcement learning study. (2024). Lussange, Johann ; Palminteri, Stefano ; Vrizzi, Stefano ; Gutkin, Boris. In: PLOS ONE. RePEc:plo:pone00:0301141.

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2024Optimal order execution under price impact: a hybrid model. (2024). Giacinto, Marina ; Wang, Tai-Ho ; Tebaldi, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05082-8.

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2024Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions. (2024). Guéant, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe ; Guant, Olivier. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:2:d:10.1007_s42521-023-00101-0.

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2024Optimal trade execution in cryptocurrency markets. (2024). Bundi, Nils ; Khashanah, Khaldoun ; Wei, Ching-Lin. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:2:d:10.1007_s42521-023-00103-y.

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2025Fast and slow optimal trading with exogenous information. (2025). Micheli, Alessandro ; Cont, Rama ; Neuman, Eyal. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:2:d:10.1007_s00780-025-00560-w.

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2025Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?. (2025). Ruan, Xinfeng ; Fan, Zheqi ; Ye, Yifan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:612-636.

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Charles-Albert LEHALLE has edited the books:

YearTitleTypeCited

Works by Charles-Albert LEHALLE:

YearTitleTypeCited
2010Optimal split of orders across liquidity pools: a stochastic algorithm approach In: Papers.
[Full Text][Citation analysis]		paper1
2011Optimal 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
2012Dealing with the Inventory Risk. A solution to the market making problem In: Papers.
[Full Text][Citation analysis]		paper110
2013Dealing with the Inventory Risk. A solution to the market making problem.(2013) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 110		paper
2012Optimal Portfolio Liquidation with Limit Orders In: Papers.
[Full Text][Citation analysis]		paper68
2012Optimal Portfolio Liquidation with Limit Orders.(2012) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 68		paper
2012Optimal posting price of limit orders: learning by trading In: Papers.
[Full Text][Citation analysis]		paper0
2013General Intensity Shapes in Optimal Liquidation In: Papers.
[Full Text][Citation analysis]		paper36
2015GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION.(2015) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2013Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall In: Papers.
[Full Text][Citation analysis]		paper1
2013Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process In: Papers.
[Full Text][Citation analysis]		paper5
2013Realtime market microstructure analysis: online Transaction Cost Analysis In: Papers.
[Full Text][Citation analysis]		paper1
2014Real-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
2015Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis In: Papers.
[Full Text][Citation analysis]		paper5
2014Simulating and analyzing order book data: The queue-reactive model In: Papers.
[Full Text][Citation analysis]		paper83
2015Simulating 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: 83		article
2014Market impacts and the life cycle of investors orders In: Papers.
[Full Text][Citation analysis]		paper6
2015How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program In: Papers.
[Full Text][Citation analysis]		paper0
2018Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency In: Papers.
[Full Text][Citation analysis]		paper1
2017Mean Field Game of Controls and An Application To Trade Crowding In: Papers.
[Full Text][Citation analysis]		paper8
2017Mini-symposium on automatic differentiation and its applications in the financial industry In: Papers.
[Full Text][Citation analysis]		paper0
2018Incorporating Signals into Optimal Trading In: Papers.
[Full Text][Citation analysis]		paper37
2019Incorporating signals into optimal trading.(2019) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		article
2018Optimal liquidity-based trading tactics In: Papers.
[Full Text][Citation analysis]		paper8
2018Co-impact: Crowding effects in institutional trading activity In: Papers.
[Full Text][Citation analysis]		paper7
2018Optimal trading using signals In: Papers.
[Full Text][Citation analysis]		paper0
2019Optimal trading using signals.(2019) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2018Endogeneous Dynamics of Intraday Liquidity In: Papers.
[Full Text][Citation analysis]		paper1
2019A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations In: Papers.
[Full Text][Citation analysis]		paper21
2019A 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: 21		paper
2021Transaction Cost Analytics for Corporate Bonds In: Papers.
[Full Text][Citation analysis]		paper0
2022Transaction cost analytics for corporate bonds.(2022) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 0		article
2021Learning a functional control for high-frequency finance In: Papers.
[Full Text][Citation analysis]		paper0
2021Phase Transitions in Kyles Model with Market Maker Profit Incentives In: Papers.
[Full Text][Citation analysis]		paper1
2021Do Word Embeddings Really Understand Loughran-McDonalds Polarities? In: Papers.
[Full Text][Citation analysis]		paper0
2019La finance de marché à l’ère de l’intelligence bon marché In: Revue d'économie financière.
[Full Text][Citation analysis]		article0
2019La 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
2010Corporate Liquidity, Dividend Policy and Default Risk : Optimal Financial Policy and Agency Costs In: Post-Print.
[Citation analysis]		paper2
2010CORPORATE 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
2012Market microstructure: confronting many viewpoints In: Post-Print.
[Citation analysis]		paper10
2013Optimization and statistical methods for high frequency finance In: Post-Print.
[Full Text][Citation analysis]		paper0
2020Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance In: Post-Print.
[Citation analysis]		paper4
2020Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies In: Post-Print.
[Citation analysis]		paper3
2019Stock 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
2023Data Preselection in Machine Learning Methods: An Application to Macroeconomic Nowcasting with Google Search Data In: Post-Print.
[Citation analysis]		paper0
2010Optimal split of orders across liquidity pools: a stochastic algorithm approach In: Working Papers.
[Full Text][Citation analysis]		paper7
2010Optimal trading algorithms and selfsimilar processes: a p-variation approach In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Optimal algorithmic trading and market microstructure In: Working Papers.
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2012Optimal starting times, stopping times and risk measures for algorithmic trading In: Working Papers.
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2021Portfolio selection with active strategies: how long only constraints shape convictions In: Journal of Asset Management.
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2024Mathematics of Embeddings: Spillover of Polarities over Financial Texts In: World Scientific Book Chapters.
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2018Monitoring the Fragmentation at Any Scale In: World Scientific Book Chapters.
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2013Monitoring the Fragmentation at Any Scale.(2013) In: World Scientific Book Chapters.
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2018Understanding the Stakes and the Roots of Fragmentation In: World Scientific Book Chapters.
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2013Understanding the Stakes and the Roots of Fragmentation.(2013) In: World Scientific Book Chapters.
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2018Optimal Organizations for Optimal Trading In: World Scientific Book Chapters.
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2013Optimal Organisations for Optimal Trading.(2013) In: World Scientific Book Chapters.
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