My Profile:
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Main References:
- Book: Market Microstructure in Practice
- Journal: Market Microstructure and Liquidity
- Conference: Market Microstructure: Confronting Many Viewpoints
- Workshop: The CFM-Imperial Workshop
Working Places:
- CFM
- L’Institut Louis Bachelier
- Imperial College, London
- The Analytics and Models For Regulation Chair, at Ecole Polytechnique
- Université Pierre et Marie Curie, Master 2 Probability et Finance
- Université Paris Dauphine, MASEF
Selected Publications:
- Mean Field Games
- Cardaliaguet, P., and Lehalle, C.-A. (2016). Mean field game of controls and an application to trade crowding.Mathematics and Financial Economics
- Lachapelle, A., Lasry, J.-M., Lehalle, C.-A., and Lions, P.-L. (2016). Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis. Mathematics and Financial Economics, 10 (3), 223-262.
- Optimal Trading
- Lehalle, C.-A., and Mounjid, O. (2016). Limit order strategic placement with adverse selection risk and the role of latency.Market Microstructure and Liquidity (forthcoming)
- Guéant, O., and Lehalle, C.-A. (2015). General intensity shapes in optimal liquidation. Mathematical Finance, 25 (3), 457-495.
- Bouchard, B., Dang, N.-M., and Lehalle, C.-A. (2011). Optimal control of trading algorithms: a general impulse control approach. SIAM J. Financial Mathematics, 2 (1), 404-438.
- Lehalle, C.-A. (2009). Rigorous strategic trading: Balanced portfolio and Mean-Reversion. The Journal of Trading, 4 (3), 40-46.
- Guéant, O., Lehalle, C.-A., and Fernandez-Tapia, J. (2013). Dealing with the inventory risk: a solution to the market making problem. Mathematics and Financial Economics, 4 (7), 477-507.
- Machine Learning
- Laruelle, S., Lehalle, C.-A., and Pagès, G. (2013). Optimal posting price of limit orders: learning by trading. Mathematics and Financial Economics, 7 (3), 359-403.
- Azencott, R., Beri, A., Gadhyan, Y., Joseph, N., Lehalle, C.-A., and Rowley, M. (2014). Realtime market microstructure analysis: online transaction cost analysis. Quantitative Finance, (pp. 0-19).
- Lehalle, C.-A., and Azencott, R. (1999). Piecewise affine neural networks and nonlinear control: Stability results. IEEE International Symposium on Intelligent Control/Intelligent Systems and Semiotics.
- Lehalle, C.-A., and Azencott, R. (2004). On the fly health monitoring of mechanical hazards from under sampled signals in formula one. FISITA World Automotive Congress.
- Orderbook Dynamics
- Huang, W., Lehalle, C.-A., and Rosenbaum, M. (2015). Simulating and analyzing order book data: The queue-reactive model. Journal of the American Statistical Association, 10 (509).
- Lehalle, C.-A., Guéant, O., and Razafinimanana, J. (2010). High frequency simulations of an order book: a Two-Scales approach. In F. Abergel, B. K. Chakrabarti, A. Chakraborti, & M. Mitra (Eds.) Econophysics of Order-Driven Markets, New Economic Windows. Springer.
- Market Microstructure
- Bacry, E., Iuga, A., Lasnier, M., and Lehalle, C.-A. (2015). Market impacts and the life cycle of investors orders. Market Microstructure and Liquidity, 1 (2).
- Lehalle, C.-A. (2013). Market microstructure knowledge needed to control an intra-day trading process.inHandbook on Systemic Risk
- Others
- Geeraert, S., Lehalle, C.-A., Pearlmutter, B., Pironneau, O., & Reghai, A. (2017). Mini-symposium on automatic differentiation and its applications in the financial industry.
ESAIM Proceedings - Braouezec, Y., and Lehalle, C.-A. (2010). Corporate liquidity, dividend policy and default risk: Optimal financial policy and agency costs. International Journal of Theoretical and Applied Finance, 13 (4).