20 citations · 24 across the 3 of their papers we have counts for
8 papers
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…
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…