Charles-Albert Lehalle

Capital Fund Management

Senior Research Advisor

23/25, rue de l'Université

Paris, 75007

France

http://https://www.cfm.fr/en/

CFM-Imperial College Institute of Quantitative Finance

Visiting Researcher

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

  • Capital Fund Management

  • CFM-Imperial College Institute of Quantitative Finance

SCHOLARLY PAPERS

5

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1,880

SSRN CITATIONS
Rank 39,776

SSRN RANKINGS

Top 39,776

in Total Papers Citations

8

CROSSREF CITATIONS

6

Scholarly Papers (5)

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1.

Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs

Number of pages: 48 Posted: 07 Apr 2008 Last Revised: 30 May 2009
Yann Braouezec and Charles-Albert Lehalle
IESEG School of Management, LEM CNRS, UMR 9221 and Capital Fund Management
Downloads 934 (24,552)
Citation 1

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Corporate liquidity, optimal dividend policy, Modigliani-Miller theorem, default risk and recovery rate risk, stochastic default thresholds, agency cost of dividend policy

2.

Using Short-Term Predictions for Participation-Rate Driven Trading Algorithms

Number of pages: 20 Posted: 02 Dec 2012 Last Revised: 16 Apr 2013
Ngoc-Minh Dang and Charles-Albert Lehalle
HSBC and Capital Fund Management
Downloads 296 (104,885)

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optimal liquidation, on-line optimization, VWAP, IS, PVOL, slippage

3.

The Deal/Book Split Analysis: A New Method to Disentangle the Contribution to Market and Limit Orders in Any Price Change

Number of pages: 23 Posted: 18 Jan 2014 Last Revised: 21 Feb 2014
Paul Besson and Charles-Albert Lehalle
Kepler Cheuvreux and Capital Fund Management
Downloads 278 (112,211)
Citation 2

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price formation process, Information and Market Efficiency, Asset pricing

4.

How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program

Number of pages: 15 Posted: 27 Jul 2015 Last Revised: 28 Jul 2015
Weibing Huang, Charles-Albert Lehalle and Mathieu Rosenbaum
Université Paris VI Pierre et Marie Curie - Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 252 (124,297)
Citation 5

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Market microstructure, Tick size, Liquidity, Tokyo Stock Exchange

5.

Market Impacts and the Life Cycle of Investors Orders

Number of pages: 30 Posted: 01 Dec 2014 Last Revised: 07 Dec 2014
Emmanuel Bacry, Adrian Iuga, Matthieu Lasnier and Charles-Albert Lehalle
CMAP CNRS-UMR 7641 and Ecole Polytechnique, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Kepler Cheuvreux and Capital Fund Management
Downloads 120 (238,646)
Citation 8

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