Charles-Albert LEHALLE : Citation Profile

Are you Charles-Albert LEHALLE?

8

H index

6

i10 index

418

Citations

RESEARCH PRODUCTION:

8

Articles

42

Papers

8

Chapters

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   14 years (2010 - 2024). See details.
   Cites by year: 29
   Journals where Charles-Albert LEHALLE has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 22 (5 %)

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   Permalink: http://citec.repec.org/ple574
   Updated: 2024-12-03    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 (19)

Siu, Tak Kuen (10)

Brigo, Damiano (4)

Nakatsuma, Teruo (2)

Cartea, Álvaro (2)

Ingber, Lester (2)

Yoshino, Naoyuki (2)

Roncalli, Thierry (2)

Jacquier, Antoine (1)

Kovaleva, Polina (1)

Szafarz, Ariane (1)

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)

Gerig, Austin (6)

Kandel, Eugene (6)

Biais, Bruno (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 (2024 and 2023)

YearTitle of citing document
2023Optimal liquidation under indirect price impact with propagator. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023012.

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2023On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731.

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2023Optimal Trading with Signals and Stochastic Price Impact. (2021). Saporito, Yuri F ; Fouque, Jean-Pierre ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2101.10053.

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2023Trading with the Crowd. (2021). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2106.09267.

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2023Market 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.

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2023Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2112.02961.

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2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2023Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478.

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2023Do 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.

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2023Dealing with multi-currency inventory risk in FX cash markets. (2022). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2207.04100.

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2023Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901.

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2023Towards 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.

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2023Automated 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.

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2023Statistical Learning with Sublinear Regret of Propagator Models. (2023). Zhang, Yufei ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2301.05157.

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2023A mathematical framework for modelling order book dynamics. (2023). Xuan, Lifan ; Degond, Pierre ; Cont, Rama. In: Papers. RePEc:arx:papers:2302.01169.

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2023Order 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.

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2023Towards systematic intraday news screening: a liquidity-focused approach. (2023). Rosenbaum, Mathieu ; Zhang, Jianfei. In: Papers. RePEc:arx:papers:2304.05115.

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2023LQG 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.

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2023Optimal execution and speculation with trade signals. (2023). Korber, Laura ; 'Alvaro Cartea, ; Bank, Peter. In: Papers. RePEc:arx:papers:2306.00621.

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2023Optimal 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.

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2024Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2306.05433.

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2024Decentralised Finance and Automated Market Making: Execution and Speculation. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499.

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2023Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024.

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2023Towards Generalizable Reinforcement Learning for Trade Execution. (2023). Zhao, LI ; Li, Jian ; Chen, Jianyu ; Duan, Yitong ; Zhang, Chuheng. In: Papers. RePEc:arx:papers:2307.11685.

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2024Understanding the least well-kept secret of high-frequency trading. (2023). Sfendourakis, Emmanouil ; Rosenbaum, Mathieu ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2307.15599.

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2023IMM: 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.

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2023Signature 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.

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2024Modeling liquidity in corporate bond markets: applications to price adjustments. (2023). Gu, Olivier ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2309.04216.

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

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2024Limit Order Book Simulations: A Review. (2024). Treleaven, Philip ; Kochems, Jonathan ; Firoozye, Nick ; Jain, Konark. 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). Guilbert, Julien ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2405.03496.

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

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2023Algorithmic 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.

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2023Recent 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.

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2023A 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.

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2023Trading with the crowd. (2023). Voss, Moritz ; Neuman, Eyal. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:548-617.

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2023A 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.

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2024High 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.

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2024Across-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.

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2023Stock market reaction to news: Do tense and horizon matter?. (2023). Laudy, Olav ; Huynh, Karen ; Briere, Marie ; Pouget, Sebastien. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010024.

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2024Execution 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.

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2023Queue-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.

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2023A mathematical framework for modelling order book dynamics. (2023). Lifan, Xuan ; Degond, Pierre ; Cont, Rama. In: Working Papers. RePEc:hal:wpaper:hal-03968767.

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2023Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-04119787.

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2023Stock 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.

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2023Optimal 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.

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2023Research 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.

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2023Optimal 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.

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2023Microfounding 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.

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2023Optimal 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.

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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]		paper95
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: 95		paper
2012Optimal Portfolio Liquidation with Limit Orders In: Papers.
[Full Text][Citation analysis]		paper63
2012Optimal Portfolio Liquidation with Limit Orders.(2012) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 63		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]		paper73
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: 73		article
2014Market impacts and the life cycle of investors orders In: Papers.
[Full Text][Citation analysis]		paper5
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]		paper30
2019Incorporating signals into optimal trading.(2019) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		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]		paper18
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: 18		paper
2021Transaction Cost Analytics for Corporate Bonds In: Papers.
[Full Text][Citation analysis]		paper0
2022Transaction cost analytics for corporate bonds.(2022) In: Quantitative Finance.
[Full Text][Citation analysis]
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]		paper8
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]		paper3
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.
[Full Text][Citation analysis]		paper4
2012Optimal starting times, stopping times and risk measures for algorithmic trading In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Portfolio selection with active strategies: how long only constraints shape convictions In: Journal of Asset Management.
[Full Text][Citation analysis]		article1
2024Mathematics of Embeddings: Spillover of Polarities over Financial Texts In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2018Monitoring the Fragmentation at Any Scale In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2013Monitoring the Fragmentation at Any Scale.(2013) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 0		chapter
2018Understanding the Stakes and the Roots of Fragmentation In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2013Understanding the Stakes and the Roots of Fragmentation.(2013) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 0		chapter
2018Optimal Organizations for Optimal Trading In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2013Optimal Organisations for Optimal Trading.(2013) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 0		chapter
2013Introduction In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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