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Rigorous strategic trading : balanced portfolio and mean-reversion
Lehalle, Charles-Albert - In: The journal of trading 4 (2009) 3, pp. 40-46
Persistent link: https://www.econbiz.de/10003870756
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High-frequency simulations of an order book : a two-scale approach
Lehalle, Charles-Albert; Guéant, Olivier; … - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 73-92). 2011
Persistent link: https://www.econbiz.de/10009348942
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Optimal posting price of limit orders : learning by trading
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles - In: Mathematics and financial economics 7 (2013) 3, pp. 359-403
Persistent link: https://www.econbiz.de/10009754843
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Market microstructure : confronting many viewpoints
Abergel, Frédéric (ed.);  … - 2012
Persistent link: https://www.econbiz.de/10009524952
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Market microstructure in practice
Lehalle, Charles-Albert (contributor);  … - 2014
Persistent link: https://www.econbiz.de/10011294458
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General intensity shapes in optimal liquidation
Guéant, Olivier; Lehalle, Charles-Albert - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Limit order strategic placement with adverse selection risk and the role of latency
Lehalle, Charles-Albert; Mounjid, Othmane - In: Market microstructure and liquidity 3 (2017) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10011778311
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Market impacts and the life cycle of investors orders
Bacry, Emmanuel; Iuga, Adrian; Lasnier, Matthieu; … - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-46
Persistent link: https://www.econbiz.de/10011588222
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Co-impact : crowding effects in institutional trading activity
Bucci, Frederic; Mastromatteo, Iacopo; Eisler, Zoltan; … - In: Quantitative finance 20 (2020) 2, pp. 193-205
Persistent link: https://www.econbiz.de/10012194861