Optimal Control of Trading Algorithms: A General Impulse Control Approach. - Bruno Bouchard 002; Ngoc-Minh Dang; Charles-Albert Lehalle (SIAM J. Financial Math., 2011)

Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach. - Sophie Laruelle; Charles-Albert Lehalle; Gilles Pagès (SIAM J. Financial Math., 2011)

Optimal Portfolio Liquidation with Limit Orders. - Olivier Guéant; Charles-Albert Lehalle; Joaquin Fernandez Tapia (SIAM J. Financial Math., 2012)

Realtime market microstructure analysis: online Transaction Cost Analysis - Robert Azencott; Arjun Beri; Yutheeka Gadhyan; Nicolas Joseph; Charles-Albert Lehalle; Matthew Rowley (CoRR, 2013)

Mini-symposium on automatic differentiation and its applications in the financial industry. - Sébastien Geeraert; Charles-Albert Lehalle; Barak A. Pearlmutter; Olivier Pironneau; Adil Reghai (CoRR, 2017)

Improving reinforcement learning algorithms: towards optimal learning rate policies. - Othmane Mounjid; Charles-Albert Lehalle (CoRR, 2019)

Incorporating signals into optimal trading. - Charles-Albert Lehalle; Eyal Neuman (Finance Stochastics, 2019)

Learning a functional control for high-frequency finance. - Laura Leal; Mathieu Laurière; Charles-Albert Lehalle (CoRR, 2020)