157 citations · 620 across the 19 of their papers we have counts for
21 papers
Confidence sets in a sparse stochastic block model with two communities of unknown sizes
B. J. K. Kleijn, J. van Waaij
In a sparse stochastic block model with two communities of unequal sizes we derive two posterior concentration inequalities, that imply (1) posterior (almost-)exact recovery of the…
Uncertainty quantification and testing in a stochastic block model with two unequal communities
J. van Waaij, B. J. K. Kleijn
We show posterior convergence for the community structure in the planted bi-section model, for several interesting priors. Examples include where the label on each vertex is iid Be…
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…
Uncertainty quantification in the stochastic block model with an unknown number of classes
J. van Waaij, B. J. K. Kleijn
We study the frequentist properties of Bayesian statistical inference for the stochastic block model, with an unknown number of classes of varying sizes. We equip the space of vert…
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…