Charles-Albert Lehalle

Orcid: 0000-0002-9978-9501

According to our database1, Charles-Albert Lehalle authored at least 8 papers between 2011 and 2020.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Dataset
Other 

Links

On csauthors.net:

Bibliography

2020
Learning a functional control for high-frequency finance.
CoRR, 2020

2019
Incorporating signals into optimal trading.
Finance Stochastics, 2019

Improving reinforcement learning algorithms: towards optimal learning rate policies.
CoRR, 2019

2017
Mini-symposium on automatic differentiation and its applications in the financial industry.
CoRR, 2017

2013
Realtime market microstructure analysis: online Transaction Cost Analysis
CoRR, 2013

2012
Optimal Portfolio Liquidation with Limit Orders.
SIAM J. Financial Math., 2012

2011
Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach.
SIAM J. Financial Math., 2011

Optimal Control of Trading Algorithms: A General Impulse Control Approach.
SIAM J. Financial Math., 2011


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