Charles-Albert Lehalle

According to our database, Charles-Albert Lehalle authored at least 8 papers between 2011 and 2020.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2020

Learning a functional control for high-frequency finance.

Laura Leal, Mathieu Laurière, Charles-Albert Lehalle

CoRR, 2020

2019

Incorporating signals into optimal trading.

Charles-Albert Lehalle, Eyal Neuman

Finance Stochastics, 2019

Improving reinforcement learning algorithms: towards optimal learning rate policies.

Othmane Mounjid, Charles-Albert Lehalle

CoRR, 2019

2017

Mini-symposium on automatic differentiation and its applications in the financial industry.

Sébastien Geeraert, Charles-Albert Lehalle, Barak A. Pearlmutter, Olivier Pironneau, Adil Reghai

CoRR, 2017

2013

Realtime market microstructure analysis: online Transaction Cost Analysis

Robert Azencott, Arjun Beri, Yutheeka Gadhyan, Nicolas Joseph, Charles-Albert Lehalle, Matthew Rowley

CoRR, 2013

2012

Optimal Portfolio Liquidation with Limit Orders.

Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia

SIAM J. Financial Math., 2012

2011

Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach.

Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès

SIAM J. Financial Math., 2011

Optimal Control of Trading Algorithms: A General Impulse Control Approach.

Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle

SIAM J. Financial Math., 2011