Henri Waelbroeck

Baruch College MFE Lab

17 Lexington Avenue

New York, NY 10021

United States

AlgoCortex LLC

38A Claremont Rd

Scarsdale, NY 10583

United States

  • Baruch College MFE Lab

  • AlgoCortex LLC

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 37,721

in Total Papers Downloads

2,773

TOTAL CITATIONS

8

Scholarly Papers (8)

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1.

Is Market Impact a Measure of the Information Value of Trades? Market Response to Liquidity vs. Informed Trades

Number of pages: 46 Posted: 10 Jul 2013 Last Revised: 20 Mar 2014
Henri Waelbroeck and Carla Gomes
Baruch College MFE Lab and Portware LLC
Downloads 1,032 (45,415)
Citation 7

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implementation shortfall, market impact, sunshine trading, fair price, market efficiency, market microstructure, active fund management, permanent impact

2.

The Role of Trading in Portfolio Performance Attribution

Journal of Performance Measurement 22, no. 1 (2017): 52-67
Number of pages: 18 Posted: 09 Mar 2017 Last Revised: 03 Apr 2018
Henri Waelbroeck and Carla Gomes
Baruch College MFE Lab and Portware LLC
Downloads 620 (89,575)

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Best Execution, TCA, Brinson Fachler, Performance Attribution

3.

Optimal Execution in Presence of Short-Term Trading

Downloads 228 (121,550)
Citation 1

Optimal Execution in Presence of Short-Term Trading

Number of pages: 24 Posted: 21 Mar 2014
Adriana Criscuolo and Henri Waelbroeck
Portware LLC and Baruch College MFE Lab
Downloads 228 (273,539)
Citation 1

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market impact, fair pricing, optimal schedule, metaorders, implementation shortfall, permanent impact

4.

The Impact of Visible and Dark Orders

Number of pages: 28 Posted: 24 Mar 2013 Last Revised: 04 Dec 2014
Nataliya Bershova, Christopher R. Stephens and Henri Waelbroeck
AllianceBernstein LP, Universidad Nacional Autonoma de Mexico and Baruch College MFE Lab
Downloads 473 (125,236)

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Order Imbalance, Displayed and Dark Liquidity, Price Impact

5.

Informed Trading, Limit Order Book and Implementation Shortfall: Equilibrium and Asymptotics

Number of pages: 56 Posted: 02 Apr 2020 Last Revised: 16 Jan 2024
Umut Çetin and Henri Waelbroeck
London School of Economics & Political Science (LSE) - Department of Statistics and Baruch College MFE Lab
Downloads 175 (351,227)

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Limit Order Book, Asymmetric Information, Equilibrium, Market Microstructure, Price Impact, Bd-Ask Spread

6.

Excess Corporate Profits: A Bubble, or the New Publicani?

Number of pages: 10 Posted: 09 Sep 2015
Henri Waelbroeck
Baruch College MFE Lab
Downloads 132 (443,370)

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corporate profits, debt deflation, margin debt, buybacks, credit crisis, publicani, Roman Republic

7.

Power laws in market microstructure

Number of pages: 47 Posted: 28 Mar 2022 Last Revised: 05 Dec 2023
Umut Çetin and Henri Waelbroeck
London School of Economics & Political Science (LSE) - Department of Statistics and Baruch College MFE Lab
Downloads 113 (499,653)

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8.

Effect of Volatility Fluctuations on Optimal Execution Schedules

https://doi.org/10.3905/jot.2014.9.4.082
Posted: 21 May 2019
Adriana Criscuolo and Henri Waelbroeck
Portware LLC and Baruch College MFE Lab

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optimal execution, market impact, Heston model, stochastic volatility