218 citations · 393 across the 16 of their papers we have counts for
25 papers
The Fundamental Structure of Risk: From Characteristics to Covariance
Alexandre Alouadi, Charles-Albert Lehalle
Estimating the covariance structure of financial assets typically relies on historical returns, making risk models dependent on noisy and asset-specific time series. We propose the…
Do Word Embeddings Really Understand Loughran-McDonald's Polarities?
Mengda Li, Charles-Albert Lehalle
In this paper we perform a rigorous mathematical analysis of the word2vec model, especially when it is equipped with the Skip-gram learning scheme. Our goal is to explain how embed…
Phase Transitions in Kyle's Model with Market Maker Profit Incentives
Charles-Albert Lehalle, Eyal Neuman, Segev Shlomov
We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider f…
Learning a functional control for high-frequency finance
Laura Leal, Mathieu Laurière, Charles-Albert Lehalle
We use a deep neural network to generate controllers for optimal trading on high frequency data. For the first time, a neural network learns the mapping between the preferences of…
Improving reinforcement learning algorithms: towards optimal learning rate policies
Othmane Mounjid, Charles-Albert Lehalle
This paper investigates to what extent one can improve reinforcement learning algorithms. Our study is split in three parts. First, our analysis shows that the classical asymptotic…
Transaction Cost Analytics for Corporate Bonds
Xin Guo, Charles-Albert Lehalle, Renyuan Xu
The electronic platform has been increasingly popular for executing large corporate bond orders by asset managers, who in turn have to assess the quality of their executions via Tr…
A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations
Charles-Albert Lehalle, Charafeddine Mouzouni
This paper goes beyond the optimal trading Mean Field Game model introduced by Pierre Cardaliaguet and Charles-Albert Lehalle in [Cardaliaguet, P. and Lehalle, C.-A., Mean field ga…
Optimal trading using signals
Hadrien De March, Charles-Albert Lehalle
In this paper we propose a mathematical framework to address the uncertainty emergingwhen the designer of a trading algorithm uses a threshold on a signal as a control. We rely ona…
Co-impact: Crowding effects in institutional trading activity
Frédéric Bucci, Iacopo Mastromatteo, Zoltán Eisler +3
This paper is devoted to the important yet unexplored subject of crowding effects on market impact, that we call "co-impact". Our analysis is based on a large database of metaorder…
Optimal liquidity-based trading tactics
Charles-Albert Lehalle, Othmane Mounjid, Mathieu Rosenbaum
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to fin…
Incorporating Signals into Optimal Trading
Charles-Albert Lehalle, Eyal Neuman
Optimal trading is a recent field of research which was initiated by Almgren, Chriss, Bertsimas and Lo in the late 90's. Its main application is slicing large trading orders, in th…
Mean Field Game of Controls and An Application To Trade Crowding
Pierre Cardaliaguet, Charles-Albert Lehalle
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathemati…
Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
Charles-Albert Lehalle, Othmane Mounjid
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbal…
How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. The goal of this paper is t…
Market impacts and the life cycle of investors orders
Emmanuel Bacry, Adrian Iuga, Matthieu Lasnier +1
In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different…
Simulating and analyzing order book data: The queue-reactive model
Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with…
Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
Aimé Lachapelle, Jean-Michel Lasry, Charles-Albert Lehalle +1
This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and…
Realtime market microstructure analysis: online Transaction Cost Analysis
Robert Azencott, Arjun Beri, Yutheeka Gadhyan +3
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discov…
Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
Charles-Albert Lehalle
A great deal of academic and theoretical work has been dedicated to optimal liquidation of large orders these last twenty years. The optimal split of an order through time (`optima…
Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
Mauricio Labadie, Charles-Albert Lehalle
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and st…
General Intensity Shapes in Optimal Liquidation
Olivier Guéant, Charles-Albert Lehalle
The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Th…
Optimal posting price of limit orders: learning by trading
Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts…
Optimal Portfolio Liquidation with Limit Orders
Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss, or only…
Dealing with the Inventory Risk. A solution to the market making problem
Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia
Market makers continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the b…