Thijs van der Heijden

University of Melbourne - Department of Finance

Post-doctoral Research Fellow

198 Berkeley Street

Carlton VIC 3010

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 40,931

SSRN RANKINGS

Top 40,931

in Total Papers Downloads

806

CITATIONS

2

Scholarly Papers (4)

1.

The Dynamic Mixed Hitting-Time Model for Multiple Transaction Prices and Times

Journal of Econometrics, Forthcoming
Number of pages: 43 Posted: 13 Sep 2012 Last Revised: 05 Mar 2014
Eric Renault, Thijs van der Heijden and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 120 (170,947)
Citation 2

Abstract:

duration modeling, hitting time, trading intensity, market microstructure

2.

Model-Free Risk-Neutral Moments and Proxies

Number of pages: 64 Posted: 10 Aug 2015 Last Revised: 06 Jul 2016
Zhangxin Frank Liu and Thijs van der Heijden
The University of Western Australia Business School and University of Melbourne - Department of Finance
Downloads 48 (201,820)

Abstract:

Risk-Neutral Moments, Skewness, Kurtosis, Implied Volatility Smirk, Skew, Curvature, VIX

3.

The Option Value in Timing Derivative Trades

Number of pages: 52 Posted: 08 Mar 2015 Last Revised: 02 May 2015
Feike C. Drost, Thijs van der Heijden and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 41 (270,353)

Abstract:

derivatives trading, execution timing, optimal stopping, dynamic programming, straddles, dynamic order strategies

4.

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

FIRN Research Paper No. 2695145
Number of pages: 91 Posted: 24 Nov 2015 Last Revised: 03 Nov 2016
National University of Singapore, University of Melbourne, National University of Singapore (NUS) - Department of Finance, University of Melbourne - Department of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 0 (47,185)

Abstract:

Price Pressure, Put-Call Parity, Return Predictability, Informed Trading