Charles‐Albert Lehalle
- Simulating and analyzing order book data: The queue-reactive model
2013/12/02 by Weibing Huang, Charles‐Albert Lehalle, Huang, Weibing +3 · 9 citations
Decision Sciences · Economics, Econometrics and Finance · #Advanced Bandit Algorithms Research #FOS: Economics and business #Financial Markets and Investment Strategies #Statistical Finance (q-fin.ST) #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR)
- General Intensity Shapes in Optimal Liquidation
2012/03/31 by Olivier Guéant, Guéant, Olivier, Charles‐Albert Lehalle +1 · 3 citations
Economics, Econometrics and Finance · Decision Sciences · #Stochastic processes and financial applications #Economic theories and models #Risk and Portfolio Optimization
- Efficiency of the Price Formation Process in Presence of High Frequency\n Participants: a Mean Field Game analysis
2013/05/27 by Aimé Lachapelle, Lachapelle, Aimé, Jean‐Michel Lasry +5 · 3 citations
Economics, Econometrics and Finance · #Economic theories and models #Complex Systems and Time Series Analysis #Financial Markets and Investment Strategies
- Limit Order Strategic Placement with Adverse Selection Risk and the Role\n of Latency
2016/10/02 by Charles‐Albert Lehalle, Othmane Mounjid, Lehalle, Charles-Albert +1 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · #49L99 #91G80 #93C95 #93E20 #Auction Theory and Applications #Banking stability, regulation, efficiency #Economic theories and models #FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
- Incorporating Signals into Optimal Trading
2017/04/04 by Charles‐Albert Lehalle, Lehalle, Charles-Albert, Eyal Neuman +1 · 1 citation
Economics, Econometrics and Finance · #60H30 #91G80 #93E20 #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
- A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations
2019/01/31 by Charles‐Albert Lehalle, Charafeddine Mouzouni, Lehalle, Charles-Albert +1 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
- Improving reinforcement learning algorithms: towards optimal learning rate policies
2019/11/06 by Othmane Mounjid, Mounjid, Othmane, Charles‐Albert Lehalle +1 · 1 citation
Computer Science · Decision Sciences · Engineering · #Advanced Bandit Algorithms Research #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Optimization and Control (math.OC) #Reinforcement Learning in Robotics #Scheduling and Optimization Algorithms