218 citations · 393 across the 16 of their papers we have counts for
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q-fin.TR2016
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…
q-fin.TR2016
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…