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Rigorous strategic trading : balanced portfolio and mean-reversion

Lehalle, Charles-Albert - In: The journal of trading 4 (2009) 3, pp. 40-46

Persistent link: https://www.econbiz.de/10003870756

Market microstructure : confronting many viewpoints

Abergel, Frédéric (ed.); … - 2012

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Optimal posting price of limit orders : learning by trading

Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles - In: Mathematics and financial economics 7 (2013) 3, pp. 359-403

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Market microstructure in practice

Lehalle, Charles-Albert (contributor); … - 2014

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High-frequency simulations of an order book : a two-scale approach

Lehalle, Charles-Albert; Guéant, Olivier; … - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 73-92). 2011

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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

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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

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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

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Market microstructure in practice

Lehalle, Charles-Albert (ed.); Laruelle, Sophie (ed.) - 2018 - Second edition

Market fragmentation : monitoring and history -- Smart order routing -- Tick size; -- Information seeking and price discovery -- Dark pools and broker crossing networks -- Liquidity : the viewpoint of trading venues -- The agenda of high frequency traders -- The link between fragmentation and...

Persistent link: https://www.econbiz.de/10011747477