Charles‐Albert Lehalle

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

6

DOWNLOADS

583

CITATIONS

1

Scholarly Papers (6)

1.

The Behaviour of High-Frequency Traders Under Different Market Stress Scenarios

Number of pages: 58 Posted: 22 Aug 2017
Nicolas Megarbane, Pamela Saliba, Charles‐Albert Lehalle and Mathieu Rosenbaum
Autorité des Marchés Financiers, Autorité des Marchés Financiers, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 451 (61,759)

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High frequency trading, volatility, microstructure, regulation

2.

Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies

Number of pages: 34 Posted: 28 May 2019
Marie Briere, Charles‐Albert Lehalle, Tamara Nefedova and Amine Raboun
Amundi Asset Management, Capital Fund Management, Université Paris-Dauphine and Université Paris Dauphine
Downloads 74 (316,062)

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Trading Costs, Market Impact, Liquidity, Anomalies-based Investments

3.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Scuola Normale Superiore, Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 43 (405,416)

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4.

Stylized Facts on Price Formation on Corporate Bonds and Best Execution Analysis

Number of pages: 36 Posted: 19 Apr 2019
Xin Guo, Charles‐Albert Lehalle and Renyuan Xu
University of California, Berkeley - Department of Industrial Engineering and Operations Research, Capital Fund Management and University of California, Berkeley - Department of Industrial Engineering and Operations Research
Downloads 15 (540,527)

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Bond liquidity, transaction costs analysis, riskless principal trades, price impact, Enhanced TRACE

5.

General Intensity Shapes in Optimal Liquidation

Mathematical Finance, Vol. 25, Issue 3, pp. 457-495, 2015
Number of pages: 39 Posted: 05 Jun 2015
Olivier Edmond Guéant and Charles‐Albert Lehalle
Université Paris VII Denis Diderot and Capital Fund Management
Downloads 0 (655,592)
Citation 1
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optimal liquidation, limit orders, stochastic optimal control, viscosity solutions

6.

Portfolio Selection With Active Strategies: How Long Only Constraints Shape Convictions

Number of pages: 45
Guillaume Simon and Charles‐Albert Lehalle
Capital Fund Management and Capital Fund Management
Downloads 0

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Portfolio Selection, Long Only, Long-Short, Factors, Sparsity, Optimization, Number of positions, Benchmark