Nombre de documents

16

Researcher


Article dans une revue4 documents

  • Sébastien Geeraert, Charles-Albert Lehalle, Barak Pearlmutter, Olivier Pironneau, Adil Reghai. Mini-symposium on automatic differentiation and its applications in the financial industry. ESAIM: Proceedings, EDP Sciences, 2017. <hal-01476970v2>
  • Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia. Dealing with the Inventory Risk. A solution to the market making problem. Mathematics and Financial Economics, Springer Verlag, 2013, 7 (4), pp.477-507. <http://link.springer.com/article/10.1007%2Fs11579-012-0087-0>. <hal-01393110>
  • Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia. Optimal Portfolio Liquidation with Limit Orders. SIAM Journal on Financial Mathematics, SIAM, 2012, 3 (1), pp.740-764. <http://epubs.siam.org/doi/abs/10.1137/110850475>. <hal-01393114>
  • Bruno Bouchard, Ngoc Minh Dang, Charles-Albert Lehalle. Optimal control of trading algorithms: a general impulse control approach. SIAM Journal on Financial Mathematics, SIAM, 2011, 2, pp.404-438. <10.1137/090777293>. <hal-00432203>

Communication dans un congrès1 document

  • Marc Hoffmann, Mauricio Labadie, Charles-Albert Lehalle, Gilles Pagès, Huyên Pham, et al.. OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE . SMAI 2013, May 2013, Seignosse, France. 45, pp.219 - 228, 2014, <10.1051/proc/201445022>. <hal-01102785>

Direction d'ouvrage, Proceedings1 document

  • Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault, Mathieu Rosenbaum, Charles-Albert Lehalle. Market microstructure: confronting many viewpoints. Wiley, pp.254, 2012, 978-1-119-95241-1. <hal-00872398>

Pré-publication, Document de travail7 documents

  • Pierre Cardaliaguet, Charles-Albert Lehalle. Mean Field Game of Controls and An Application To Trade Crowding. 2017. <hal-01389128v2>
  • Mauricio Labadie, Charles-Albert Lehalle. Optimal starting times, stopping times and risk measures for algorithmic trading. 2012. <hal-00705056>
  • Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès. Optimal posting price of limit orders: learning by trading. 2012. <hal-00650314v2>
  • Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia. Dealing with the Inventory Risk. 2011. <hal-00628528>
  • Oliver Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia. Optimal Portfolio Liquidation with Limit Orders. 2011. <hal-00628533>
  • Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès. Optimal split of orders across liquidity pools: a stochastic algorithm approach. 2010. <hal-00422427v3>
  • Mauricio Labadie, Charles-Albert Lehalle. Optimal trading algorithms and selfsimilar processes: a p-variation approach. 2010. <hal-00546145>

Rapport1 document

  • Mauricio Labadie, Charles-Albert Lehalle. Optimal algorithmic trading and market microstructure. 2010. <hal-00590283v2>

Thèse1 document

  • Charles-Albert Lehalle. Le contrôle non linéaire par réseaux de neurones formels: les perceptrons affines par morceaux. Mathématiques [math]. Université Pierre et Marie Curie - Paris VI, 2005. Français. <tel-00009592>

HDR1 document

  • Charles-Albert Lehalle. Mathematical Models to Study and Control the Price Formation Process. Trading and Market Microstructure [q-fin.TR]. Université Pierre et Marie Curie, 2015. <tel-01248473>