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Charles-Albert Lehalle

Affiliation

Senior Research Advisor at ADIA Lab (Abu Dhabi). Previously Global Head of Quantitative Research and Development at Crédit Agricole Cheuvreux, then Senior Research Advisor at Capital Fund Management (CFM) and co-founder of the CFM-Imperial Institute. Visiting professor at Imperial College London.

Key contributions

  • Optimal trading with signals — co-author of the canonical framework incorporating a Markovian (OU-type) signal into the Gatheral-Schied-Slynko transient-impact optimal execution problem (lehalle-neuman-signals-optimal-trading).
  • Algorithmic trading in practice — co-author (with Sophie Laruelle) of Market Microstructure in Practice, the reference text on real-world HFT and optimal execution for practitioners.
  • Limit-order placement with adverse selection — Lehalle-Mounjid (2017) analysed strategic limit-order placement in the presence of informed market orders.
  • Liquidity imbalance signals — empirical and theoretical work characterising OBI dynamics (mean reversion, predictive power) and their use by HFT participants.
  • Market microstructure education and industry bridge — one of the most visible academic voices bridging the quantitative-trading industry and the mathematical-finance academy in Europe.

Notable papers (in this wiki)

Connections