6 citations · 13 across the 3 of their papers we have counts for
3 papers
Do designated market makers provide liquidity during downward extreme price movements?
Mario Bellia, Kim Christensen, Aleksey Kolokolov +2
We study the trading activity of designated market makers (DMMs) in electronic markets using a unique dataset with audit-trail information on trader classification. DMMs may either…
A machine learning approach to volatility forecasting
Kim Christensen, Mathias Siggaard, Bezirgen Veliyev
We inspect how accurate machine learning (ML) is at forecasting realized variance of the Dow Jones Industrial Average index constituents. We compare several ML algorithms, includin…
Warp speed price moves: Jumps after earnings announcements
Kim Christensen, Allan Timmermann, Bezirgen Veliyev
Corporate earnings announcements unpack large bundles of public information that should, in efficient markets, trigger jumps in stock prices. Testing this implication is difficult…