Charles-Albert Lehalle’s Curiculum Vitae
This is home for a detailed CV.
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Charles-Albert Lehalle
Professeur, CMAP, Ecole Polytechnique
email: charles(minus)albert.lehalle(at)polytechnique.edu
Industrial Experiences
(2013 — 2021) Capital Fund Management (CFM, Paris)
2019 - 2021: Head of Data Analytics
Manager of CFM’s team of Data Scientists in charge of feature extraction on Alternative Datasets (Satellite Images, texts, analytics on economic activity, etc).
2015 - 2019: Senior Research Advisor
Leader of CFM’s first long-only global equity fund. In charge of the Machine Learning transverse working group.
2013 - 2015: Senior Research Manager
Projects in execution (take into account more specificities of the trading venues) and links between long term signals, decisions and execution costs (and strategies). Transverse workgroups: portfolio construction, market impact.
(2007 — 2013) Crédit Agricole CIB, CA Cheuvreux (Paris - London - New York)
Global Head of Quantitative Research
Position mainly focused onliquidity, high frequency trading, statistical arbitrage and market microstructure. The targeted applications are trading algorithms.
This research group hosted economists, statisticians, econophysicists, probabilists and computed scientists, located in Paris, in NY and in London.
2010 - 2013: Global Head of Quant Research applied to markets microstructure of the whole Equity Brokerage Derivatives dept., at Cr'edit Agricole Corporate and Investment Bank.
(2005 — 2007) Exane BNP Paribas (Paris)
Trading and Arbitrage Researcher, Senior Mathematician.
Research focussed on: Quantitative trading; liquidity analysis (microstructure, high freq data); capital structure arbitrage and transverse studies
(1999 — 2005) Miriad Technologies (Paris)
Head of Advanced Projects, Junior Mathematician.
Research focussed on: predictive maintenance, abnormality detection, data-driven modeling, control
(1995 — 1999) Renault research center (Paris)
In charge of embedded A.I. PhD student, Research Engineer.
Research focussed on: Monitoring, Control of combustion, competition reverse engineering (NLP).
Conferences, Chairs, Journals
- 2019 - 2021: FaIR ILB Program, Founder and Scientific Director of the Finance and Insurance Rebooted transverse research initiative, organization of workshops,FaIR Advances Report, 2021
- 2018 - 2021: CFM-Columbia Initiative (Columbia University, NY), Creator of this initiative focussed on Alternative data, organizing workshops, Leveraging Big Data to Manage Extreme Weather Risks? 2019 and providing datasets to Master and PhD students.
- 2010 - 2019: Initiative de Recherche TaMS/TQIS (Institut Louis Bachelier) Founder with Thierry Foucault of the IdR Trading and market MicroStructure then renamed Trading And Quantitative Investment Strategies
- 2010 - 2020: Market microstructure: confronting viewpoints (Conference, Paris) Co-organizer with Thierry Foucault, F Abergel, M Rosenbaum and JP Bouchaud of this conference
Prizes
- 2016, IEF-FBF Best Paper in Finance Award with Olivier Guéant for General intensity shapes in optimal liquidation
- I am one of the major (top 12) contributors of Quant.stackexchange since 2012
Visiting
(2014 — ) Imperial College (London)
2022 - : Visiting Professor, Faculty of Natural Sciences, Department of Mathematics
2014 - 2021: Visiting Researcher, Under the auspices of the Imperial College - CFM Institute.
2016: Visiting Researcher, Stanford University (California) Invited by Pr George Papanicolaou.
2013: Visiting Researcher, Collège de France (Paris) Invited by Pr Pierre-Louis Lions.
Lectures and Hearings
- 2006 - : Course “optimal trading” at the Paris 6 Master “Probability and Finance” (E Gobet, N Elkaroui, G Pagès and M Rosenbaum ; Ecole polytechnique, Ecole Normale Supérieure, ESSEC)
- 2015 - : Regular talks at Berkeley MFE
- 2014 - 2021: Course “Strategies and Actors on Financial Markets” at Master MASEF (Mathematics for finance, economics and insurance; Université Paris Dauphine, ENSAE).
- 2016: Leads Lecture Series for ICME Students at Stanford on “Financial intermediation at any scale for quantitative modeling”
- 2015: Course “Market Microstructure” at the “The Mathematics of High Frequency Financial Markets” workshop UCLA-IPAM
- 2010: Course “Optimal trading and intra day statistical estimates” at the MITACS-PIMS-UBC 2010 Summer School in Risk Management and Risk Sharing
- 2008: Masterclass “Intraday High-frequency Trading: From empirical evidences to quantitative optimization” at CQF (P Wilmott ; London)
Heard as a leading expert by: - the European Commission (MiFID Review public hearings), - the French Senate (Financial mathematics and innovation), - the Foresight UK committee (Fragmentation and the future of electronic trading), - the ESMA (European Regulator),
Organizations
Currently
- Fellow and member of the Board of the Louis Bachelier Institute (ILB),
- Editor of Springer Finance Book Series
- Member of the Jury of the London Mathematical Society, the Natixis Foundation for Quantitative Research and the Société de Mathématiques Appliquées et Industrielles (SMAI): Louis Bachelier Prize
Formerly
- Scientific Director of the Finance and Insurance Reloaded transverse program of the ILB
- Scientific Commitee of the Fondation Natexis pour la Recherche Quantitative
- Founder and Managing Editor of Market Microstructure and Liquidity (journal)
- Member of the Scientific Committee of the AMF (French Regulator)
- Member of the Program for Economic Research at Columbia University, NY
- Member of the Scientific Committee of the CAC family Index of Euronext (in this context, contributed to the creation of the CAC40 ESG Index)
- Chair of the Index Advisory Group of Euronext
- Chair of the Club ``Méthodes Quantitative’’ of the AFG (French association of asset managers)
- Member of the Workgroup on Financial Innovation of the ESMA.
- Steering Committee of the MASEF Master and of the 104 Master (both at University Paris Dauphine)
- Comité d’UFR - MIDO, as personnalité extérieure, Paris Dauphine
- Comité d’UFR - JUSSIEU, as personnalité extérieure, Paris Dauphine
Students
- 2021, Co-advised with Marie Brière: Amine Raboun
Stock Market Liquidity : Transaction Costs, Crowding and Price Formation Process - 2019, Co-advised with Mathieu Rosenbaum: Othmane Mounjid
Optimal control, statistical learning and order book modelling - 2019, Co-advised with Mathieu Rosenbaum: Pamela Saliba
High-frequency trading : Statistical analysis, modelling and regulation - 2015, Co-advised with Mathieu Rosenbaum: Weibing Huang
Dynamics of orderbooks: statistical analysis, modeling and prediction - 2015, Co-advised with Gilles Pagès: Joaquin Fernandez-Tapia
Modeling, optimization and estimation for the on-line control of trading algorithms in limit-order markets - 2011, Co-advised with Bruno Bouchard: Minh Dang
Stochastic Control in Finance - 2010, Co-advised with Paul Doukhan: Nathanaël Mayo
Maîtrise du risque d’exécution sur les marchés financiers: Estimation de matrices de corrélations
Education
- 2015, Habilitation à Diriger les Recherches - Université Pierre et Marie Curie (Paris VI) Mathematical Models to Study and Control the Price Formation Process
- 2006, Certificate in Quantitative Finance (CQF, London)
- 1994 - 1999. “Nonlinear control using Piecewise Affine Perceptrons”; Ph. D. in Applied Mathematics (Machine Learning and Stochastic Control) at Ecole Normale Supérieure and Université Pierre et Marie Curie; PhD Advisor : Pr. Robert Azencott.
- LPMA (Probabilities and Stochastic Modelling Laboratory),
- CMLA (Center for mathematics and applications, Ecole Normale Supérieure, Cachan),
- DIAM (Artificial Intelligence and Mathematics Department, Ecole Normale Supérieure, Paris),
- in partnership with the Renault Research Center.
Selected Bibliography
Books and Chapters
- Lehalle, C.-A. and Raboun, A. (2022). Financial Markets in Practice, From Post-Crisis Intermediation to FinTechs - World Scientific publishing.
- Capponi, A. and Lehalle, C.-A. – Editors (2022). Machine Learning and Data Sciences for financial markets: A Guide to Contemporary Practices - Cambridge University Press.
- Lehalle, C.-A. and Laruelle, S. (2013, 2nd Edition 2018). Market Microstructure in Practice - World Scientific publishing.
- Abergel, F., Bouchaud, J.-P., Foucault, T., Lehalle, C.-A., and Rosenbaum, M., Editors (2012). Market Microstructure Confronting Many Viewpoints - Wiley.
- Charles-Albert Lehalle. Market microstructure knowledge needed for controlling an intra-day trading process. In Jean-Pierre Fouque and Joseph~A Langsam, editors, Handbook on systemic risk. Cambridge University Press, 2013.
Selected Papers and Talks (2024 and earlier)
- Li, M. and Lehalle, C.A., 2024. “Mathematics of Embeddings: Spillover of Polarities over Financial Texts”. Reviews In Modern Quantitative Finance, pp.151-188.
- Mounjid, Othmane, and Charles‐Albert Lehalle. “Improving reinforcement learning algorithms: Towards optimal learning rate policies” Mathematical Finance 34, no. 2 (2024): 588-621.
- Leal, Laura, Mathieu Laurière, and C-A. Lehalle. “Learning a functional control for high-frequency finance.” Quantitative Finance 22, no. 11 (2022): 1973-1987.
- Guo, Xin, Charles-Albert Lehalle, and Renyuan Xu. “Transaction cost analytics for corporate bonds.” Quantitative Finance 22, no. 7 (2022): 1295-1319.
- Lehalle, Charles-Albert, Othmane Mounjid, and Mathieu Rosenbaum. “Optimal liquidity-based trading tactics.” Stochastic Systems 11, no. 4 (2021): 368-390.
- Lehalle, Charles-Albert, and Guillaume Simon. “Portfolio selection with active strategies: how long only constraints shape convictions.” Journal of Asset Management 22, no. 6 (2021): 443-463.
- Briere, Marie, Charles‐Albert Lehalle, Tamara Nefedova, and Amine Raboun. “Modeling transaction costs when trades may be crowded: A bayesian network using partially observable orders imbalance.” Machine Learning for Asset Management: New Developments and Financial Applications (2020): 387-430.
- Briere, Marie, Charles‐Albert Lehalle, Tamara Nefedova, and Amine Raboun. “Stock market liquidity and the trading costs of asset pricing anomalies.” Université Paris-Dauphine Research Paper 3380239 (2019).
- Cardaliaguet, Pierre, and Charles-Albert Lehalle. “Mean field game of controls and an application to trade crowding.” Mathematics and Financial Economics 12 (2018): 335-363.
- Megarbane, Nicolas, Pamela Saliba, Charles-Albert Lehalle, and Mathieu Rosenbaum. “The behavior of high-frequency traders under different market stress scenarios.” Market Microstructure and Liquidity 3, no. 03n04 (2017):
- Geeraert, Sébastien, Charles-Albert Lehalle, Barak A. Pearlmutter, Olivier Pironneau, and Adil Reghai. “Mini-symposium on automatic differentiation and its applications in the financial industry.” ESAIM: Proceedings and Surveys 59 (2017): 56-75
- Lachapelle, A., Lasry, J.-M., Lehalle, C.-A., and Lions, P.-L. (2016), Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis, Mathematics and Financial Economics, 10(3):223–262.
- Huang, Weibing, Charles-Albert Lehalle, and Mathieu Rosenbaum. “How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program.” Market Microstructure and Liquidity 2, no. 03n04 (2016)
- Guéant, O. and Lehalle, C.-A. (2015). General intensity shapes in optimal liquidation, Mathematical Finance, 25(3):457–495.
- Huang, W., Lehalle, C.-A., and Rosenbaum, M. (2015), Simulating and analyzing order book data: The queue-reactive model, Journal of the American Statistical Association, 10(509).
- Huang, Weibing, Charles-Albert Lehalle, and Mathieu Rosenbaum. “Simulating and analyzing order book data: The queue-reactive model.” Journal of the American Statistical Association 110, no. 509 (2015): 107-122.
- Lehalle, C.-A. (2015), Mathematical Models to Study and Control the Price Formation Process, Habilitation à Diriger les Recherches - Université Pierre et Marie Curie (Paris VI)
- Bacry, E., Iuga, A., Lasnier, M., and Lehalle, C.-A. (2015), Market Impacts and the Life Cycle of Investors Orders, Market Microstructure and Liquidity, 1(2).
- Azencott, R., Beri, A., Gadhyan, Y., Joseph, N., Lehalle, C.-A., and Rowley, M. (2014), Realtime market microstructure analysis: online Transaction Cost Analysis, Quantitative Finance, pages 0–19.
- Laruelle, S., Lehalle, C.-A., and Pagès, G. (2013), Optimal posting price of limit orders: learning by trading, Mathematics and Financial Economics, 7(3):359–403.
- Guéant, O., Lehalle, C.-A., and Fernandez-Tapia, J. (2012), Optimal Portfolio Liquidation with Limit Orders, SIAM Journal on Financial Mathematics, 13(1):740–764.
- Pagès, G., Laruelle, S., and Lehalle, C.-A. (2011), Optimal split of orders across liquidity pools: a stochastic algorithm approach, SIAM Journal on Financial Mathematics, 2:1042–1076.
- Bouchard, B., Dang, N.-M., and Lehalle, C.-A. (2011), Optimal control of trading algorithms: a general impulse control approach, SIAM J. Financial Mathematics, 2(1):404–438.
- Braouezec, Y. and Lehalle, C.-A. (2010), Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs, International Journal of Theoretical and Applied Finance, 13(4).
- Lehalle, C.-A. and Azencott, R. (2004b), On the fly health monitoring of mechanical hazards from under sampled signals in formula one, FISITA World Automotive Congress.