This paper addresses portfolio liquidation using a new angle. Instead of focusing only on
the scheduling aspect like Almgren and Chriss in [J. Risk, 3 (2000), pp. 5--39], or only on the …

Through the analysis of a dataset of ultra high frequency order book updates, we introduce a
model which accommodates the empirical properties of the full order book together with the …

… I began to work on stochastic approximation theory and I met Charles-Albert Lehalle in
2009 owing to Gilles Pagès; we started to work together on our first paper on optimal split of …

We incorporate a Markovian signal in the optimal trading framework which was initially
proposed by Gatheral et al. (Math. Finance 22:445–474, 2012 ) and provide results on the …

In this paper we formulate the now classical problem of optimal liquidation (or optimal trading)
inside a mean field game (MFG). This is a noticeable change since usually mathematical …

Market makers continuously set bid and ask quotes for the stocks they have under consideration.
Hence they face a complex optimization problem in which their return, based on the bid-…

This article extends algorithmic trading to a strategic level detailing two examples: the balanced
portfolio and the case of a mean-reversion proprietary trading strategy. It shows how to …

This paper deals with a stochastic order-driven market model with waiting costs, for orderbooks
with heterogenous traders. Offer and demand of liquidity drives price formation and …

This study is the first to decipher market impact at all time scales on the same database,
from a trade-by-trade scale to a daily one. Moreover, the very concentrated nature of the …

The classical literature on optimal liquidation, rooted in Almgren–Chriss models, tackles the
optimal liquidation problem using a trade‐off between market impact and price risk. It …