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q-fin.TR2020★ 1 cited
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…
q-fin.TR2020
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…