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)
In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed light on a duration factor in 1/T γ with γ 0.25. Including this(More)
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of causes that lie behind poor trading performance. It also gives theoretical foundations to a generic framework for real-time trading analysis. The common acronym for(More)
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