Currently Senior Research Advisor at Capital Fund Management (CFM, Paris) and visiting researcher at Imperial College (London), Charles-Albert Lehalle is a leading expert in market microstructure and optimal trading and the scientific advisor for the chair.
Formerly Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure in the Equity Brokerage and Derivative Department of Crédit Agricole Corporate Investment Bank, he studied intensively the market microstructure evolution since the financial crisis and regulatory changes in Europe and in the US.
He provided research and expertise on this topic to investors and intermediaries, and is often heard by regulators and policy-makers like the European Commission, the French Senate, the UK Foresight Committee, etc.
He chairs the Index Advisory Group of Euronext, is a member of the Scientific Committee of the French regulator (AMF), and has been part of the Consultative Workgroup on Financial Innovation of the European Authority (ESMA). Moreover, Charles-Albert received the 2016 Best Paper Award in Finance from Europlace Institute for Finance (EIF) and published more than fifty academic papers and book chapters.
He co-authored the book “Market Microstructure in Practice” (World Scientific Publisher, 2nd ed 2018), analyzing the main features of modern markets. He is one of the organizers of the “Market Microstructure: Confronting Many Viewpoints” biennial conference.
One of Charles-Albert Lehalle’s important research topics is optimal trading. He published papers in academic journals about the use of stochastic control and stochastic algorithms to optimize a trading flow with respect to flexible constraints. He also authored papers on post trade analysis, market impact estimates and modelling the dynamics of limit order books, he co-edited the book “Market microstructure: confronting many viewpoints” (Wiley, 2012) following an eponymous interdisciplinary international conference he co-organizes.
Up to 2005, Charles-Albert headed research and development teams in the aerospace, defense and automotive industries, building innovating products in the fields of monitoring and unmanned control. He co-authored patents in these areas.
A complete list of papers authored or co-authored by Charles-Albert can be found at http://www.citeulike.org/user/lehalle/author/Lehalle; some of these papers (perhaps the most relevant for regulation) are listed below:
by Charles-Albert Lehalle, Eyal Neuman
by Frédéric Bucci, Iacopo Mastromatteo, Zoltán Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud, Charles-Albert Lehalle
Opinions et Débats, Vol. 2 (November 2013)
by Frédéric Abergel, Charles-Albert Lehalle, Mathieu Rosenbaum
Mathematics and Financial Economics, Vol. 10, No. 3. (27 June 2016), pp. 223-262
by Aimé Lachapelle, Jean-Michel Lasry, Charles-Albert Lehalle, Pierre-Louis Lions
Journal of the American Statistical Association, Vol. 10, No. 509. (2 Dec 2015),
doi:10.1080/01621459.2014.982278
by Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
Market Microstructure and Liquidity, Vol. 1, No. 2. (2 December 2015)
by Emmanuel Bacry, Adrian Iuga, Matthieu Lasnier, Charles-Albert Lehalle
AMF Scientific Advisory Board Review, Vol. 1, No. 1. (September 2014), pp. 55-62
by Charles-Albert Lehalle
(25 Jul 2015)
by Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
(31 Oct 2015)
by Pierre Cardaliaguet , Charles-Albert Lehalle
(August 2017)
by Nicolas Megarbane, Pamela Saliba, Charles-Albert Lehalle, Mathieu Rosenbaum