Charles-Albert Lehalle

Abu Dhabi Investment Authority, ADIA

Quantitative R&D Lead

211 Corniche Road

Abu Dhabi

United Arab Emirates

http://https://www.adia.ae/

Imperial College London

Visiting Researcher

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

  • Abu Dhabi Investment Authority, ADIA

  • Imperial College London

SCHOLARLY PAPERS

6

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2,185

SSRN CITATIONS
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Top 37,867

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15

CROSSREF CITATIONS

5

Scholarly Papers (6)

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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 Abu Dhabi Investment Authority, ADIA
Downloads 947 (34,284)
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.

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
Euronext and Abu Dhabi Investment Authority, ADIA
Downloads 400 (103,234)
Citation 2

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price formation process, Information and Market Efficiency, Asset pricing

3.

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
State Street Global Markets and Abu Dhabi Investment Authority, ADIA
Downloads 364 (114,542)

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

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), Abu Dhabi Investment Authority, ADIA and Ecole Polytechnique, Palaiseau
Downloads 261 (162,447)
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 Abu Dhabi Investment Authority, ADIA
Downloads 186 (223,019)
Citation 13

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6.

Phase Transitions in Kyle's Model with Market Maker Profit Incentives

Number of pages: 32 Posted: 22 Mar 2021
Charles-Albert Lehalle, Eyal Neuman and Segev Shlomov
Abu Dhabi Investment Authority, ADIA, Imperial College London - Department of Mathematics and Technion
Downloads 27 (642,217)

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market making, price impact, market equilibrium, metastability, Kyle's model, market liquidity, market microstructure, neural networks