Charles-Albert Lehalle

Publication Activity (10 Years)

Years Active: 2011-2020
Publications (10 Years): 4

Top Topics

Optimal Portfolio

Financial Institutions

Top Venues

Finance Stochastics

SIAM J. Financial Math.

Publications

Laura Leal, Mathieu Laurière, Charles-Albert Lehalle
Learning a functional control for high-frequency finance. CoRR (2020)
Charles-Albert Lehalle, Eyal Neuman
Incorporating signals into optimal trading. Finance Stochastics 23 (2) (2019)
Othmane Mounjid, Charles-Albert Lehalle
Improving reinforcement learning algorithms: towards optimal learning rate policies. CoRR (2019)
Sébastien Geeraert, Charles-Albert Lehalle, Barak A. Pearlmutter, Olivier Pironneau, Adil Reghai
Mini-symposium on automatic differentiation and its applications in the financial industry. CoRR (2017)
Robert Azencott, Arjun Beri, Yutheeka Gadhyan, Nicolas Joseph, Charles-Albert Lehalle, Matthew Rowley
Realtime market microstructure analysis: online Transaction Cost Analysis CoRR (2013)
Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia
Optimal Portfolio Liquidation with Limit Orders. SIAM J. Financial Math. 3 (1) (2012)
Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle
Optimal Control of Trading Algorithms: A General Impulse Control Approach. SIAM J. Financial Math. 2 (1) (2011)
Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia
Optimal Portfolio Liquidation with Limit Orders CoRR (2011)
Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès
Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach. SIAM J. Financial Math. 2 (1) (2011)