Market Microstructure in Practice

About the Editors Currently Senior Research Manager at Capital Fund Management (CFM), Charles-Albert Lehalle is an international expert in market microstructure and optimal trading. Formerly Global Head of Quantitative Research at Credit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure at Credit Agricole Corporate Investment Bank in the Equity Brokerage and Derivative Department, he has been studying the market microstructure intensively since regulatory changes in Europe and in the US took place. Currently Assistant Professor at Universite Paris-Est Creteil (UPEC), Sophie Laruelle defended her PhD in December 2011 under the supervision of Gilles Pages on analysis of stochastic algorithms applied to Finance. During her PhD, she made two contributions on market microstructure in collaboration with Charles-Albert Lehalle: the first one on the optimal allocation among dark pools and the second on optimal posting price in the limit order book. She then worked at Ecole Centrale Paris with Frederic Abergel on agent-based models and she now continues to work on applications of stochastic approximation theory notably to market microstructure for building trading algorithms.