Mean field game of controls and an application to trade crowding P Cardaliaguet, CA Lehalle Mathematics and Financial Economics 12, 335-363, 2018 | 250 | 2018 |
Dealing with the Inventory Risk. A solution to the market making problem O Guéant, CA Lehalle, J Fernandez Tapia Arxiv preprint arXiv:1105.3115, 2011 | 233 | 2011 |
Optimal Portfolio Liquidation with Limit Orders O Guéant, CA Lehalle, J Fernandez-Tapia Arxiv preprint arXiv:1106.3279, 2011 | 187 | 2011 |
Simulating and analyzing order book data: The queue-reactive model W Huang, CA Lehalle, M Rosenbaum Journal of the American Statistical Association 110 (509), 107-122, 2015 | 178 | 2015 |
Market microstructure in practice CA Lehalle, S Laruelle World Scientific, 2018 | 161 | 2018 |
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis A Lachapelle, JM Lasry, CA Lehalle, PL Lions Mathematics and Financial Economics 10, 223-262, 2016 | 136 | 2016 |
Market impacts and the life cycle of investors orders E Bacry, A Iuga, M Lasnier, CA Lehalle Market Microstructure and Liquidity 1 (02), 1550009, 2015 | 110 | 2015 |
Optimal control of trading algorithms: a general impulse control approach B Bouchard, NM Dang, CA Lehalle SIAM Journal on financial mathematics 2 (1), 404-438, 2011 | 104 | 2011 |
General Intensity Shapes in Optimal Liquidation O Guéant, CA Lehalle arXiv. org, 2012 | 98 | 2012 |
Optimal split of orders across liquidity pools: a stochastic algorithm approach S Laruelle, G Pagès, CA Lehalle Arxiv preprint arXiv:0910.1166, 2009 | 93 | 2009 |
Incorporating signals into optimal trading CA Lehalle, E Neuman Finance and Stochastics 23, 275-311, 2019 | 74 | 2019 |
Optimal posting price of limit orders: learning by trading S Laruelle, CA Lehalle, G Pagès Mathematics and Financial Economics 7 (3), 359-403, 2013 | 57 | 2013 |
Market microstructure: confronting many viewpoints F Abergel, JP Bouchaud, T Foucault, CA Lehalle, M Rosenbaum John Wiley & Sons, 2012 | 51 | 2012 |
Limit order strategic placement with adverse selection risk and the role of latency CA Lehalle, O Mounjid Market Microstructure and Liquidity 3 (01), 1750009, 2017 | 49 | 2017 |
Market Microstructure knowledge needed to control an intra-day trading process CA Lehalle Handbook on Systemic Risk, J-P Fouque and J Langsam Editors, 992, 2013 | 38* | 2013 |
The behavior of high-frequency traders under different market stress scenarios N Megarbane, P Saliba, CA Lehalle, M Rosenbaum Market Microstructure and Liquidity 3 (03n04), 1850005, 2017 | 32 | 2017 |
Optimal starting times, stopping times and risk measures for algorithmic trading M Labadie, CA Lehalle | 30* | 2012 |
High-frequency simulations of an order book: a two-scale approach CA Lehalle, O Guéant, J Razafinimanana Econophysics of Order-driven Markets: Proceedings of Econophys-Kolkata V, 73-92, 2011 | 29 | 2011 |
Co-impact: Crowding effects in institutional trading activity F Bucci, I Mastromatteo, Z Eisler, F Lillo, JP Bouchaud, CA Lehalle Quantitative Finance 20 (2), 193-205, 2020 | 28 | 2020 |
A mean field game of portfolio trading and its consequences on perceived correlations CA Lehalle, C Mouzouni arXiv preprint arXiv:1902.09606, 2019 | 27 | 2019 |