1 citations · 2 across the 4 of their papers we have counts for
4 papers · 1 filter
Signature-Based Optimal Execution for Statistical Arbitrage with Path-Dependent Trading Signals
Gianmarco Morbelli, Sven Karbach, Mike Derksen
We develop a signature-based framework for optimal execution in statistical arbitrage strategies with path-dependent predictive signals. Both the alpha process and the trading spee…
Heavy tailed distributions in closing auctions
M. Derksen, B. Kleijn, R. de Vilder
We study the tails of closing auction return distributions for a sample of liquid European stocks. We use the stochastic call auction model of Derksen et al. (2020a), to derive a r…
Effects of MiFID II on stock price formation
Mike Derksen, Bas Kleijn, Robin de Vilder
This paper examines effects of MiFID II on European stock markets. We study the effects of the new tick size regime, both intraday and in the closing auction. An increase (decrease…
Clearing price distributions in call auctions
M. Derksen, B. Kleijn, R. de Vilder
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily clo…