Charles-Albert Lehalle
October 26th
Title: Some Control Problems On Financial Markets And How Their Solutions Can Be Learned
Date/Time: Tuesday, 10/26, 7pm CEST
Abstract: During the last 40 years, financial mathematics dramatically improved risk management in financial markets. It allowed intermediaries to better perform their role as asset managers, market makers; brokers, structurers and investment banks thanks to different forms of hedging and risk replication methods, that both rely on stochastic control. Most applications had to assume a strong form of Markovianity and smoothness to reduce the complexity of the numerics. With the emergence of machine learning, one can hope to account for auto-correlations and high dimensionality of the real financial phenomena. Nevertheless a lot of issues remain to be solved.
In this talk I will review some positive results of machine learning in the domain of optimal trading; a domain having a lot of data: starting with the control of optimal trading speed, before order splitting and order placement. I will take profit of these examples to show how stochastic control, stochastic approximations and reinforcement are linked.
Bio: Dr. Charles-Albert Lehalle is currently the Quantitative R&D Lead at Abu Dhabi Investment Authority (ADIA) and a visiting researcher at Imperial College (London). Dr. Lehalle is a leading expert in market microstructure and optimal trading.
Prior to joining ADIA, Dr. Lehalle held positions as the Senior Research Advisor at Capital Fund Management (CFM, Paris), the Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and the 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.
Dr. Lehalle provided research and expertise on market microstructure and optimal trading 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.
Dr. Lehalle chaired the Index Advisory Group of Euronext, has been a member of the Scientific Committee of the French regulator (AMF), and of the Consultative Workgroup on Financial Innovation of the European Authority (ESMA). Moreover, Dr. Lehalle received the 2016 Best Paper Award in Finance from Europlace Institute for Finance (EIF) and published more than fifty academic papers and book chapters.
Talk slides:
owsomlif_lehalle2021.pdf