Charles‐Albert Lehalle

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 31,082

SSRN RANKINGS

Top 31,082

in Total Papers Downloads

2,245

SSRN CITATIONS
Rank 25,232

SSRN RANKINGS

Top 25,232

in Total Papers Citations

14

CROSSREF CITATIONS

23

Scholarly Papers (8)

1.

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

Number of pages: 58 Posted: 22 Aug 2017
Autorité des Marchés Financiers, Autorité des Marchés FinanciersEcole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 662 (55,591)
Citation 7

Abstract:

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High frequency trading, volatility, microstructure, regulation

2.

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

Number of pages: 45 Posted: 21 Jun 2019
Charles‐Albert Lehalle and Guillaume Simon
Capital Fund Management and Capital Fund Management
Downloads 373 (111,311)
Citation 1

Abstract:

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

3.

Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies

Université Paris-Dauphine Research Paper No. 3380239
Number of pages: 37 Posted: 28 May 2019 Last Revised: 14 Jan 2020
Marie Briere, Charles‐Albert Lehalle, Tamara Nefedova and Amine Raboun
Amundi Asset Management, Capital Fund Management, Université Paris Dauphine - PSL and Euronext Paris
Downloads 341 (123,070)
Citation 6

Abstract:

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

4.

Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance

Université Paris-Dauphine Research Paper No. 3420665
Number of pages: 36 Posted: 17 Jul 2019 Last Revised: 22 Feb 2022
Marie Briere, Charles‐Albert Lehalle, Tamara Nefedova and Amine Raboun
Amundi Asset Management, Capital Fund Management, Université Paris Dauphine - PSL and Euronext Paris
Downloads 333 (126,204)
Citation 1

Abstract:

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Trading Costs, Liquidity, Crowding, Bayesian Networks

5.

Transaction Cost Analytics for Corporate Bonds

Number of pages: 39 Posted: 19 Apr 2019 Last Revised: 11 Feb 2021
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 Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 299 (141,381)

Abstract:

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

6.

Liquidity Provision and Market-Making in Different Uncertainty Regimes: Evidence from the COVID-19 Market Crash

Number of pages: 40 Posted: 30 Mar 2021
Amine Raboun, Marie Briere and Charles‐Albert Lehalle
Euronext Paris, Amundi Asset Management and Capital Fund Management
Downloads 124 (312,680)

Abstract:

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Price Formation Process, Liquidity, COVID-19 Pandemic

7.

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 112 (332,099)
Citation 8

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8.

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 1 (873,108)
Citation 3

Abstract:

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optimal liquidation, limit orders, stochastic optimal control, viscosity solutions