lehalle's trading [35 articles] Export Sort

Recent papers added to lehalle's library classified by the tag trading. You can also see everyone's trading.

Hide details

	Strategic Execution in the Presence of an Uninformed Arbitrageur [My Copy] (November 2009) by Ciamac C. Moallemi, Beomsoo Park, Benjamin Van Roy posted to trading optimal-trading microstructure by lehalle on 2009-12-15 12:53:36 as
	A sample-path approach to optimal position liquidation [My Copy] Annals of Operations Research, Vol. 152, No. 1. (1 July 2007), pp. 193-225. by Pavlo Krokhmal, Stanislav Uryasev posted to trading optimal-trading by lehalle on 2009-11-23 12:33:59 as
	Algorithmic Decision-Making Framework [My Copy] Journal of Trading, Vol. 1, No. 1., pp. 12-21. by Robert Kissell, Roberto Malamut posted to trading optimal-trading by lehalle on 2009-11-23 12:30:23 as
	Electronic and Algorithmic Trading Technology: The Complete Guide (Complete Technology Guides for Financial Services) [My Copy] (04 July 2007) by Kendall Kim posted to trading by lehalle on 2009-11-15 19:16:36 as
	Option pricing from the point of view of a trader [My Copy] International Journal of Theoretical and Applied Finance, Vol. 9, No. 8. (2009), pp. 1245-1266. by Sacha Stoikov posted to trading stochastic-calculus finance by lehalle on 2009-10-30 06:31:44 as
	Market Making by Learning Liquidity Imbalance [My Copy] (2007) by Adlar J. Kim, J. Doyne Farmer, Andrew Lo posted to trading microstructure market-making by lehalle on 2009-10-29 12:41:20 as
	The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns [My Copy] The Journal of Finance, Vol. 44, No. 2. (1989), pp. 479-486. by Yakov Amihud, Haim Mendelson posted to trading microstructure economy by lehalle on 2009-10-29 12:36:49 as
	Optimal Liquidity Trading [My Copy] Social Science Research Network Working Paper Series (11 December 2000) by Gur Huberman, Werner Stanzl posted to trading optimization optimal-trading by lehalle on 2009-10-29 08:17:27 as along with 1 person nmdang
	Market Microstructure Theory [My Copy] (13 March 1998) by Maureen O'Hara posted to trading microstructure finance by lehalle on 2009-10-28 19:08:39 as along with 4 people RobHayward jchau nmdang pjaiprak
	Optimal control of trading algorithms: a general impulse control approach [My Copy] (November 2009) by Bruno Bouchard, Ngoc-Minh Dang, Charles-Albert Lehalle posted to trading ny-quant-finance-seminar control by lehalle on 2009-09-17 22:24:13 as
	The Established Liquidity Fragmentation Affects all Investors [My Copy] NAVIGATING LIQUIDITY, Vol. 2 (March 2009) by Charles-Albert Lehalle, Romain Burgot posted to trading statistics microstructure by lehalle on 2009-08-25 13:30:38 as
	True Spreads Censored by Tick Size [My Copy] (February 2005) by Anthony Hall, Paul Kofman, James Mcculloch posted to trading statistics finance by lehalle on 2009-08-12 09:08:42 as
	Optimal dealer pricing under transactions and return uncertainty [My Copy] Journal of Financial Economics, Vol. 9, No. 1. (March 1981), pp. 47-73. by Thomas Ho, Hans R. Stoll posted to microstructure optimization trading by lehalle on 2009-07-30 10:45:08 as
	Optimal split of orders across liquidity pools: a stochatic algorithm approach [My Copy] (2009) by Gilles Pagès, Sophie Laruelle, Charles-Albert Lehalle posted to trading statistics statistical-learning ny-quant-finance-seminar control by lehalle on 2009-07-16 11:31:39 as
	No-Dynamic-Arbitrage and Market Impact [My Copy] Social Science Research Network Working Paper Series (31 October 2008) by Jim Gatheral posted to market-impact trading by lehalle on 2009-07-16 11:16:38 as
	Optimal Trading in a Dynamic Market [My Copy] Mathematics in Finance, No. 2. (2009) by Robert Almgren posted to trading optimization ny-quant-finance-seminar control by lehalle on 2009-07-16 11:10:32 as
	The impact of heterogeneous trading rules on the limit order book and order flows [My Copy] Journal of Economic Dynamics and Control, Vol. 33, No. 3. (March 2009), pp. 525-537. by Carl Chiarella, Giulia Iori, Josep Perelló posted to microstructure order-book quantitative-trading trading by lehalle on 2009-07-16 01:38:51 as along with 3 people gi0rgi0ne ShureG RobHayward
	Rigorous Strategic Trading: Balanced Portfolio and Mean-Reversion [My Copy] The Journal of Trading, Vol. 4, No. 3. (2009), pp. 40-46. by Charles-Albert Lehalle posted to control trading by lehalle on 2009-07-08 19:20:33 as
	Financial Markets Theory: Equilibrium, Efficiency and Information (Springer Finance) [My Copy] (12 February 2003) by Emilio Barucci posted to finance microstructure trading by lehalle on 2009-05-03 10:57:31 as
	Measuring and Modeling Execution Cost and Risk [My Copy] Social Science Research Network Working Paper Series (03 November 2008) by Robert F. Engle, Robert Ferstenberg, Jeffrey R. Russell posted to performance statistics trading by lehalle on 2009-04-20 09:51:36 as along with 1 person volrider
	Direct Estimation of Equity Market Impact [My Copy] Risk (July 2005) by Robert Almgren, Chee Thum, Emmanuel Hauptmann, Hong Li posted to market-impact trading by lehalle on 2009-04-16 13:27:49 as
	Hidden liquidity or virtual liquidity? [My Copy] The trade (2009) by Charles-Albert Lehalle, Philippe Guillot posted to finance trading by lehalle on 2009-03-28 12:20:17 as
	A Stochastic Model for Order Book Dynamics [My Copy] Social Science Research Network Working Paper Series (26 September 2008) by Rama Cont, Sasha Stoikov, Rishi Talreja posted to simulation statistics trading by lehalle on 2009-01-21 08:05:17 as
	Dynamic Mean-Variance Asset Allocation [My Copy] Social Science Research Network Working Paper Series (27 February 2007) by Suleyman Basak, Georgy Chabakauri posted to portfolio stochastic-control trading by lehalle on 2009-01-17 13:59:51 as
	Statistical Arbitrage in the U.S. Equities Market [My Copy] Social Science Research Network Working Paper Series (30 June 2008) by Marco Avellaneda, Jeong-Hyun Lee posted to arbitrage statistics trading by lehalle on 2009-01-04 17:00:29 as
	Anomalies: A Mean-Reverting Walk Down Wall Street [My Copy] The Journal of Economic Perspectives, Vol. 3, No. 1. (1989), pp. 189-202. by Werner F. M. De Bondt, Richard H. Thaler posted to arbitrage statistics trading by lehalle on 2009-01-02 11:19:07 as
	A Dynamic Algorithm for Smart Order Routing [My Copy] (2008) by Robert Almgren, Bill Harts posted to microstructure probability statistical-learning statistics trading by lehalle on 2008-12-31 13:38:51 as
	New Trading Behaviours in a Post-MiFID Liquidity Landscape [My Copy] In NAVIGATING LIQUIDITY, No. 1. (November 2008) by C. A. Lehalle, R. Burgot posted to microstructure trading by lehalle on 2008-12-31 13:33:34 as
	The impact of liquidity fragmentation on optimal trading [My Copy] In Liquidity guide (2009) by C. A. Lehalle posted to microstructure statistics trading by lehalle on 2008-12-31 13:25:50 as
	Improving VWAP Strategies: A Dynamical Volume Approach [My Copy] Journal of Banking and Finance, Vol. 32, No. 9. (September 2008), pp. 1709-1722. by Jedrzej P. Bialkowski, Serge Darolles, Gaëlle Le Fol posted to statistics trading by lehalle on 2008-10-31 13:01:12 as
	High-frequency trading in a limit order book [My Copy] Quantitative Finance, Vol. 8, No. 3. (2008), pp. 217-224. by Marco Avellaneda, Sasha Stoikov posted to trading optimal-trading ny-quant-finance-seminar market-making high-frequency control by lehalle on 2008-09-12 09:05:18 as along with 1 person nmdang
	Rigorous optimisation of intra day trading [My Copy] Wilmott Magazine (November 2008) by Charle-Albert Lehalle posted to trading stochastic-control statistics ny-quant-finance-seminar finance by lehalle on 2008-08-11 07:32:51 as
	Relative Volume as a Doubly Stochastic Binomial Point Process [My Copy] (2004) by James Mcculloch posted to finance probability trading by lehalle on 2008-07-24 18:22:36 as
	Optimal VWAP trading strategy and relative volume [My Copy] (2007) by James Mcculloch, Vladimir Kazakov posted to finance probability statistics trading by lehalle on 2008-07-24 18:20:58 as
	Imperfect Knowledge: International Perspectives on Transaction Cost Analysis [My Copy] (11 March 2008) by Adam Sussman posted to quantitative-trading trading by lehalle on 2008-07-13 18:42:31 as

Note: You may cite this page as: http://www.citeulike.org/user/lehalle/tag/trading

Sort by:
Order:	Default Ascending Descending
Empty fields:	Default First Last

finance	161
statistics	138
stochastic-calculus	58
microstructure	36
trading	35
ref	29
control	27
optimization	22
statistical-learning	20
marketing	19
concurrence	19
probability	17
portfolio	15
market-impact	15
volatility	14
high-frequency	13
ny-quant-finance-seminar	13
stochastic-algorithm	13
optimal-trading	12
mathematics	9
stochastic-control	8
em-algorithm	8
algo-trading	7
arbitrage	6
econometry	6
hedge	6
mathematical-statistics	5
estimation	5
ann	5
quantitative-trading	5
funds	4
correlations	4
programming	4
omega	4
market-model	4
ratio	4
monitoring	4
order-book	4
volumes	4
kernel	4
algorithm	3
credit	3
tca	3
dimension-reduction	3
market-making	3
science	3
cds	3
computer-science	3
bayesian-statistics	3
innovation	2
censored-statistics	2
jump	2
ensae	2
valuation	2
pde	2
compression	2
random-matrix	2
cours	2
diagnosis	2
economy	2
dynamical-systems	2
pricing	2
hypothesis-testing	2
large-deviations	2
copula	2
rules	2
distribution	2
risk	2
fractal	2
problem-solving	2
legal	2
yield	1
fun	1
wavelets	1
variance	1
evolution	1
tex	1
brownian-motion	1
semidefinite-programming	1
estimator	1
student	1
riccati	1
automotive	1
akaike	1
game-theory	1
noise	1
optimal-control	1
logic	1
aerospace	1
matlab	1
value	1
options_pricing	1
detection	1
publications	1
basket	1
genetical-algorithm	1
timeseries	1
measure	1
multiscale-analysis	1
complexity	1
data-visualization	1
density	1
benford	1
capm	1
at	1
portfolio_optimization	1
risk-neutral	1
vibrations	1
simulation	1
credit_default_swap	1
dynamic-programming	1
functional-programming	1
threshold-crossing	1
robbins-monro	1
performance	1
markov_chain	1
smart-order-routing	1
derivatives	1
spectral-decomposition	1
simple	1
covariance	1
interest-rate	1
numerical-computations	1
combinatorial-geometry	1
signale-processing	1

lehalle's trading [35 articles] Export Sort

lehalle's tags