Charles-Albert Lehalle

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We propose a general framework for intra-day trading based on the control of trading algorithms. Given a generic parameterized algorithm, we control the dates (τ i) i at which it is launched, the length (δ i) i of the trading period and the value of the parameters (E i) i kept during the time interval [τ i , τ i + δ i [. This gives rise to a non-classical(More)
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or only on the liquidity-consuming orders like Obizhaeva and Wang in [33], we link the optimal trade-schedule to the price of the limit orders that have to be sent to the limit(More)
(2014): Real-time market microstructure analysis: online transaction cost analysis, Quantitative Finance, Taylor & Francis makes every effort to ensure the accuracy of all the information (the " Content ") contained in the publications on our platform. However, Taylor & Francis, our agents, and our licensors make no representations or warranties whatsoever(More)
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