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

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 35,347

SSRN RANKINGS

Top 35,347

in Total Papers Downloads

1,446

SSRN CITATIONS

4

CROSSREF CITATIONS

5

Scholarly Papers (7)

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 624 (47,249)
Citation 7

Abstract:

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

2.
Downloads 145 (111,286)
Citation 3

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 145 (224,466)
Citation 1

Abstract:

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

3.

The Impact of Visible and Dark Orders

Number of pages: 28 Posted: 24 Mar 2013 Last Revised: 04 Dec 2014
AllianceBernstein LP, Universidad Nacional Autonoma de Mexico and Baruch College MFE Lab
Downloads 297 (114,579)

Abstract:

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Order Imbalance, Displayed and Dark Liquidity, Price Impact

4.

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 260 (131,744)

Abstract:

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Best Execution, TCA, Brinson Fachler, Performance Attribution

5.

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

Number of pages: 10 Posted: 09 Sep 2015
Henri Waelbroeck
Baruch College MFE Lab
Downloads 85 (326,601)

Abstract:

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

6.

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

Number of pages: 56 Posted: 02 Apr 2020
Umut Çetin and Henri Waelbroeck
London School of Economics & Political Science (LSE) - Department of Statistics and Baruch College MFE Lab
Downloads 35 (492,758)

Abstract:

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

7.

Effect of Volatility Fluctuations on Optimal Execution Schedules

Posted: 21 May 2019
Adriana Criscuolo and Henri Waelbroeck
Portware LLC and Baruch College MFE Lab

Abstract:

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optimal execution, market impact, Heston model, stochastic volatility