Charles‐Albert Lehalle

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

7

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3,319

SSRN CITATIONS
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Top 36,117

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18

CROSSREF CITATIONS

11

Scholarly Papers (7)

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1.

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

Number of pages: 58 Posted: 22 Aug 2017
Nicolas Megarbane, Pamela Saliba, Pamela Saliba, Charles‐Albert Lehalle and Mathieu Rosenbaum
Autorité des Marchés Financiers, Autorité des Marchés FinanciersEcole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 875 (53,522)
Citation 7

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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 594 (88,599)
Citation 1

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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 529 (102,507)
Citation 6

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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 494 (111,462)
Citation 3

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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 New York University
Downloads 444 (126,427)

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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 221 (264,291)

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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
Frederic Bucci, Iacopo Mastromatteo, Zoltan Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud and Charles‐Albert Lehalle
Scuola Normale Superiore, Capital Fund Management, Imperial College London - Department of Mathematics, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 162 (349,415)
Citation 9

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