Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Henri Waelbroeck"'
Autor:
Umut Çetin, Henri Waelbroeck
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::87ce9f619118f991f827503718e97148
https://doi.org/10.2139/ssrn.4042844
https://doi.org/10.2139/ssrn.4042844
Autor:
Henri Waelbroeck, Umut Çetin
We propose a static equilibrium model for limit order book where $N\geq 1$ profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory. Whil
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dd8fc37928b3a927e310e89c43b4e401
http://arxiv.org/abs/2003.04425
http://arxiv.org/abs/2003.04425
Autor:
Carla Gomes, Henri Waelbroeck
Publikováno v:
SSRN Electronic Journal.
We investigate the role of execution quality in portfolio performance attribution. We show how conventional Transaction Cost Analysis (TCA) rewards behavioral trading practices that in some cases hurt rather than help portfolio performance. To align
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c52fc99775b3e7444b6daedad3911d71
https://doi.org/10.2139/ssrn.2928963
https://doi.org/10.2139/ssrn.2928963
Autor:
C. Gomes, Henri Waelbroeck
Publikováno v:
Quantitative Finance. 15:773-793
We examine a data-set of institutional trades where approximately one-fourth of the trades were labelled as having been created for cash flow purposes. We aggregate near-overlapping trades into metaorders and consider information, market impact and m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b0514749cd728e8cbec71cb8ee09a7ce
https://doi.org/10.1080/14697688.2014.963140
https://doi.org/10.1080/14697688.2014.963140
Autor:
Henri Waelbroeck
Publikováno v:
The Journal of Trading. 9:78-86
Institutional asset managers have responded to the surge in high frequency trading technology by adopting crossing networks, investing in algorithmic trading platforms and developing business intelligence-inspired methods to optimize their trading de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b8faa7cfe804707c3b686e4807d9cbf3
https://doi.org/10.3905/jot.2013.9.1.078
https://doi.org/10.3905/jot.2013.9.1.078
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder siz
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d39fa92cfa7c182c7e269e065e71a464
Autor:
Henri Waelbroeck, Adriana M. Criscuolo
Publikováno v:
Market Microstructure: Confronting Many Viewpoints
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a0c6d727b0952dfb68670ef2a94db7ed
https://doi.org/10.1002/9781118673553.ch9
https://doi.org/10.1002/9781118673553.ch9
Autor:
Henri Waelbroeck, Adriana M. Criscuolo
Publikováno v:
The Journal of Trading. 7:48-56
A third wave of technological change known as “alpha profiling” is taking root at the institutional trading desk. Traders submit orders to prediction models that estimate the relative probability of various price scenarios. Traders can use this i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ea8958998baa42df052ddd97b669f3f9
https://doi.org/10.3905/jot.2012.7.2.048
https://doi.org/10.3905/jot.2012.7.2.048
Autor:
Carla Gomes, Henri Waelbroeck
Publikováno v:
Quantitative Finance. 10:1099-1107
The purposes of this empirical study are to examine clustering of liquidity around reference price levels and implications for optimal trade execution. The bulk of the current literature on trade c...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8889978610bac2068589f715bfaabbcd
https://doi.org/10.1080/14697680902814258
https://doi.org/10.1080/14697680902814258
Autor:
Henri Waelbroeck, Carla Gomes
Publikováno v:
The Journal of Trading. 5:29-38
Transaction cost analysis (TCA) has been receiving increased attention as an essential element in minimizing trading costs and achieving best execution. In this article, Gomes and Waelbroeck introduce advancements to TCA that reformulate it as a new
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c4cd7ba8fffa9977f62b60b6d80092e7
https://doi.org/10.3905/jot.2010.5.4.029
https://doi.org/10.3905/jot.2010.5.4.029