Similar Search Results

Portfolio selection with active strategies : how long only constraints shape convictions

Lehalle, Charles-Albert; Simon, Guillaume - In: The journal of asset management : a major new, … 22 (2021) 6, pp. 443-463

Persistent link: https://www.econbiz.de/10012659818

How to predict the consequences of a tick value change? : evidence from the Tokyo stock exchange pilot program

Huang, Weibing; Lehalle, Charles-Albert; Rosenbaum, Mathieu - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-19

Persistent link: https://www.econbiz.de/10011715772

Market impacts and the life cycle of investors orders

Bacry, Emmanuel; Iuga, Adrian; Lasnier, Matthieu; … - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-46

Persistent link: https://www.econbiz.de/10011588222

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Incorporating signals into optimal trading

Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311

Persistent link: https://www.econbiz.de/10012023738

Mean field game of controls and an application to trade crowding

Cardaliaguet, Pierre; Lehalle, Charles-Albert - In: Mathematics and financial economics 12 (2018) 3, pp. 335-363

Persistent link: https://www.econbiz.de/10011963860

Co-impact : crowding effects in institutional trading activity

Bucci, Frederic; Mastromatteo, Iacopo; Eisler, Zoltan; … - In: Quantitative finance 20 (2020) 2, pp. 193-205

Persistent link: https://www.econbiz.de/10012194861

Limit order strategic placement with adverse selection risk and the role of latency

Lehalle, Charles-Albert; Mounjid, Othmane - In: Market microstructure and liquidity 3 (2017) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10011778311

Market Microstructure in Practice

Lehalle, Charles-Albert (contributor); … - World Scientific Publishing Co. Pte. Ltd.

<i>Market Microstructure in Practice</i> comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the ¡°Flash Crash¡± of...

Persistent link: https://www.econbiz.de/10011010985

Improving reinforcement learning algorithms : towards optimal learning rate policies

Mounjid, Othmane; Lehalle, Charles-Albert - In: Mathematical finance : an international journal of … 34 (2024) 2, pp. 588-621

Persistent link: https://www.econbiz.de/10014514797