Charles-Albert Lehalle
  • Teaching
  • Publications
  • Projects
  • Blog
  • CV

Charles-Albert Lehalle

Professor,
CMAP, Ecole Polytechnique,
Institut Polytechnique de Paris (IPP)

Welcome to my web page(s)

I started as a Professor at the Center for Applied Maths at Ecole Polytechnique the 1st of Sept 2024.

CMAP, Ecole Polytechnique, Route de Saclay, 91128, Palaiseau Cedex
1er étage, Bureau 00-2031
email: charles(minus)albert.lehalle(at)polytechnique.edu

Have a look at the Institut Louis Bachelier (I am part of its Scientific Directory).

my research topics are: Market (Micro)structure and Liquidity, Statistical Learning and Artificial Intelligence, Optimal Control and Mean Field Games, and Alternative Data.

Please use the upper tabs to navigate, or go diretly to

  • Teaching - for students: you will find my teaching material there
  • Publications - a list of publications
  • Projects - onging projects, including collaborations (PhD, post-doctoral, etc.)
  • Blog posts - some generic notes that are not planned to live long
Here is my standard biography

Charles-Albert Lehalle is currently Professor at Ecole Polytechnique in Paris teaching and researching on liquidity, price formation, and the use of AI on financial markets. Previously, he has been Global Head, Quantitative Research & Development, at the Abu Dhabi Investment Authority (ADIA) during three years. He started his career being in charge of embedded AI solutions at the Renault Research Center and moved to the financial industry with the emergence of automated trading in 2005. He was Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure at Crédit Agricole Corporate Investment Bank, before joining to Capital Fund Management (CFM) for 7 years.

On the academic side, Pr. Lehalle received the 2016 Best Paper Award in Finance from Europlace Institute for Finance (EIF) and has published more than eighty academic papers and book chapters. He co-authored the books “Market Microstructure in Practice” (World Scientific Publisher, 2nd edition 2018), analyzing the main features of modern markets; and “Financial Markets in Practice” (World Scientific Publisher 2022), explaining how the connected network of intermediaries that makes the financial system is shaping prices formation; he co-edited with Pr Agostino Capponi the book “Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices” (Cambridge University Press, 2023).

Pr. Lehalle is also a member of the Scientific Directory of the Louis Bachelier Institute, Lecturer at UC Berkeley and Paris 6 Sorbonne Université and Ecole Polytechnique “Probability and Finance” Master.

If you look for recent news:

Blog

The First Time a Large Language Model Really Helped Me
It was with LaTeX
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Projects

Detection of Exogenous Price Moves: Localising the Queue Reactive Model
Liquidity dynamics
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Publications and Talks

How Confrontation Of Information And Flows Shapes Prices
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© 2024 Charles-Albert Lehalle

 

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