Charles‐Albert Lehalle

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

7

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Top 48,749

in Total Papers Downloads

816

CITATIONS
Rank 25,258

SSRN RANKINGS

Top 25,258

in Total Papers Citations

24

Scholarly Papers (7)

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 468 (59,823)
Citation 4

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High frequency trading, volatility, microstructure, regulation

2.

Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies

Université Paris-Dauphine Research Paper No. 3380239
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 Euronext Paris
Downloads 115 (240,692)
Citation 1

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

3.

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 112 (243,721)

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

4.

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

Number of pages: 36 Posted: 17 Jul 2019
Marie Briere, Charles‐Albert Lehalle, Tamara Nefedova and Amine Raboun
Amundi Asset Management, Capital Fund Management, Université Paris-Dauphine and Euronext Paris
Downloads 57 (370,164)

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Trading Costs, Liquidity, Crowding, Bayesian Networks

5.

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 45 (403,647)
Citation 5

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6.

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 19 (525,157)

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

7.

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 (666,984)
Citation 1
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optimal liquidation, limit orders, stochastic optimal control, viscosity solutions