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Details about Albert J. Menkveld

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Homepage:https://albertjmenkveld.com
Workplace:Centre for Economic Policy Research (CEPR), (more information at EDIRC)
School of Business and Economics, Vrije Universiteit Amsterdam (VU University Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Albert J. Menkveld.

Last updated 2024-03-06. Update your information in the RePEc Author Service.

Short-id: pme346


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Working Papers

2023

  1. Equilibrium bitcoin pricing
    Post-Print, HAL Downloads View citations (12)
    Also in 2019 Meeting Papers, Society for Economic Dynamics (2019) Downloads View citations (14)
    TSE Working Papers, Toulouse School of Economics (TSE) (2022) Downloads View citations (16)
    EconPol Working Paper, ifo Institute - Leibniz Institute for Economic Research at the University of Munich (2020) Downloads View citations (37)

    See also Journal Article Equilibrium Bitcoin Pricing, Journal of Finance, American Finance Association (2023) Downloads View citations (12) (2023)
  2. Large Orders in Small Markets: Execution with Endogenous Liquidity Supply
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Non-Standard Errors
    TSE Working Papers, Toulouse School of Economics (TSE) Downloads View citations (3)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021) Downloads
    Post-Print, HAL (2021) Downloads
    Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) Downloads View citations (6)
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2021) Downloads
    IWH Discussion Papers, Halle Institute for Economic Research (IWH) (2021) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021) Downloads
    Working Papers, Barcelona School of Economics (2021) Downloads
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2023) View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads
    CESifo Working Paper Series, CESifo (2021) Downloads
    Working Papers, Lund University, Department of Economics (2021) Downloads
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2021) Downloads
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2021) Downloads
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) Downloads View citations (5)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2021) Downloads
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2021) Downloads

2022

  1. Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance
    Working Papers, HAL View citations (1)

2019

  1. Central counterparty exposure in stressed markets
    BIS Working Papers, Bank for International Settlements Downloads View citations (1)
    See also Journal Article Central Counterparty Exposure in Stressed Markets, Management Science, INFORMS (2021) Downloads (2021)
  2. The cost of clearing fragmentation
    Bank of England working papers, Bank of England Downloads View citations (4)
    Also in BIS Working Papers, Bank for International Settlements (2019) Downloads View citations (4)

2017

  1. High-Frequency Trading around Large Institutional Orders
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (13)
    See also Journal Article High‐Frequency Trading around Large Institutional Orders, Journal of Finance, American Finance Association (2019) Downloads View citations (59) (2019)
  2. Need for Speed? Exchange Latency and Liquidity
    Post-Print, HAL View citations (55)
    Also in Working Papers, HAL (2016) Downloads View citations (7)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (24)

    See also Journal Article Need for Speed? Exchange Latency and Liquidity, The Review of Financial Studies, Society for Financial Studies (2017) Downloads View citations (62) (2017)

2016

  1. Dispersion and Skewness of Bid Prices
    2016 Meeting Papers, Society for Economic Dynamics Downloads View citations (2)
  2. Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets
    Working Papers, HAL Downloads View citations (7)

2015

  1. Shades of Darkness: A Pecking Order of Trading Venues
    2015 Meeting Papers, Society for Economic Dynamics Downloads View citations (2)
    See also Journal Article Shades of darkness: A pecking order of trading venues, Journal of Financial Economics, Elsevier (2017) Downloads View citations (38) (2017)

2014

  1. Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)

2013

  1. Central Clearing and Asset Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2011

  1. High Frequency Trading and the New-Market Makers
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (21)
    See also Journal Article High frequency trading and the new market makers, Journal of Financial Markets, Elsevier (2013) Downloads View citations (250) (2013)
  2. Limit order books and trade informativeness
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (2)
    See also Journal Article Limit order books and trade informativeness, The European Journal of Finance, Taylor & Francis Journals (2012) Downloads View citations (5) (2012)

2010

  1. Middlemen in Limit Order Markets
    2010 Meeting Papers, Society for Economic Dynamics View citations (21)
  2. Price pressures
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (2)
    See also Journal Article Price pressures, Journal of Financial Economics, Elsevier (2014) Downloads View citations (23) (2014)

2009

  1. Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Staff Reports, Federal Reserve Bank of New York (2009) Downloads View citations (1)

2008

  1. Competition for Order Flow and Smart Order Routing Systems
    Post-Print, HAL View citations (117)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (10)
    HEC Research Papers Series, HEC Paris (2006) Downloads View citations (16)

    See also Journal Article Competition for Order Flow and Smart Order Routing Systems, Journal of Finance, American Finance Association (2008) Downloads View citations (127) (2008)
  2. Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (1)
  3. Does algorithmic trading improve liquidity?
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (9)
    See also Journal Article Does Algorithmic Trading Improve Liquidity?, Journal of Finance, American Finance Association (2011) Downloads View citations (538) (2011)

2007

  1. Macro News, Riskfree Rates, and the Intermediary
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures
    Staff Reports, Federal Reserve Bank of New York Downloads

2006

  1. Are Domestic Investors Better Informed than Foreign Investors?: Evidence from the Perfectly Segmented Market in China
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (15)
  2. Competition for Order Flow Smart Order Routing Systems
    Post-Print, HAL View citations (6)
    Also in Post-Print, HAL (2006) View citations (6)
  3. Euro-Area Sovereign Yield Dynamics: the role of order imbalance
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
    Also in Working Paper Series, European Central Bank (2004) Downloads View citations (13)
  4. Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (12)
    See also Journal Article Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount, Journal of Finance, American Finance Association (2008) Downloads View citations (160) (2008)
  5. Splitting orders in overlapping markets: a study of cross-listed stocks
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (10)
    See also Journal Article Splitting orders in overlapping markets: A study of cross-listed stocks, Journal of Financial Intermediation, Elsevier (2008) Downloads View citations (22) (2008)

2005

  1. Understanding the limit order book: Conditioning on trade informativeness
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads View citations (3)

2004

  1. Understanding limit order book depth: conditioning on trade informativeness
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads View citations (1)

2003

  1. Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)

2001

  1. Splitting Orders in Fragmented Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  2. Splitting Orders in Fragmented Markets; evidence from cross-listed stocks
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)

2000

  1. Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    See also Journal Article Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York, Journal of Financial Markets, Elsevier (2002) Downloads View citations (39) (2002)

1999

  1. Are Small Firms Really Sub-Optimal?: Compensating Factor Differentials in Small Dutch Manufacturing Firms
    Working Papers, NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM
    Also in Scales Research Reports, EIM Business and Policy Research (1999) Downloads View citations (1)
  2. Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)

1998

  1. A Pricing Model for American Options with Stochastic Interest Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

1996

  1. The Decision Between Internal and External R&D
    Working Papers, NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM View citations (41)

1994

  1. Volatility Patterns and Spillovers in Bund Futures
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

Journal Articles

2023

  1. Equilibrium Bitcoin Pricing
    Journal of Finance, 2023, 78, (2), 967-1014 Downloads View citations (12)
    See also Working Paper Equilibrium bitcoin pricing, Post-Print (2023) Downloads View citations (12) (2023)

2022

  1. Asset Price Dynamics with Limited Attention
    The Review of Financial Studies, 2022, 35, (2), 962-1008 Downloads View citations (1)
  2. Equilibrium Bid-Price Dispersion
    Journal of Political Economy, 2022, 130, (2), 426 - 461 Downloads View citations (2)

2021

  1. Central Counterparty Exposure in Stressed Markets
    Management Science, 2021, 67, (6), 3596-3617 Downloads
    See also Working Paper Central counterparty exposure in stressed markets, BIS Working Papers (2019) Downloads View citations (1) (2019)
  2. The Economics of Central Clearing
    Annual Review of Financial Economics, 2021, 13, (1), 153-178 Downloads View citations (14)

2019

  1. High‐Frequency Trading around Large Institutional Orders
    Journal of Finance, 2019, 74, (3), 1091-1137 Downloads View citations (59)
    See also Working Paper High-Frequency Trading around Large Institutional Orders, Tinbergen Institute Discussion Papers (2017) Downloads View citations (13) (2017)
  2. Information Revelation in Decentralized Markets
    Journal of Finance, 2019, 74, (6), 2751-2787 Downloads View citations (20)

2017

  1. Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties
    The Review of Asset Pricing Studies, 2017, 7, (2), 209-242 Downloads View citations (27)
  2. Need for Speed? Exchange Latency and Liquidity
    The Review of Financial Studies, 2017, 30, (4), 1188-1228 Downloads View citations (62)
    See also Working Paper Need for Speed? Exchange Latency and Liquidity, Post-Print (2017) View citations (55) (2017)
  3. Shades of darkness: A pecking order of trading venues
    Journal of Financial Economics, 2017, 124, (3), 503-534 Downloads View citations (38)
    See also Working Paper Shades of Darkness: A Pecking Order of Trading Venues, 2015 Meeting Papers (2015) Downloads View citations (2) (2015)

2016

  1. The Economics of High-Frequency Trading: Taking Stock
    Annual Review of Financial Economics, 2016, 8, (1), 1-24 Downloads View citations (100)

2014

  1. High-Frequency Traders and Market Structure
    The Financial Review, 2014, 49, (2), 333-344 Downloads View citations (15)
  2. Price pressures
    Journal of Financial Economics, 2014, 114, (3), 405-423 Downloads View citations (23)
    See also Working Paper Price pressures, CFS Working Paper Series (2010) Downloads View citations (2) (2010)

2013

  1. High frequency trading and the new market makers
    Journal of Financial Markets, 2013, 16, (4), 712-740 Downloads View citations (250)
    See also Working Paper High Frequency Trading and the New-Market Makers, Tinbergen Institute Discussion Papers (2011) Downloads View citations (21) (2011)
  2. How do designated market makers create value for small-caps?
    Journal of Financial Markets, 2013, 16, (3), 571-603 Downloads View citations (26)

2012

  1. Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate
    Journal of Financial and Quantitative Analysis, 2012, 47, (4), 821-849 Downloads View citations (16)
  2. Limit order books and trade informativeness
    The European Journal of Finance, 2012, 18, (9), 737-759 Downloads View citations (5)
    See also Working Paper Limit order books and trade informativeness, CFS Working Paper Series (2011) Downloads View citations (2) (2011)

2011

  1. Does Algorithmic Trading Improve Liquidity?
    Journal of Finance, 2011, 66, (1), 1-33 Downloads View citations (538)
    See also Working Paper Does algorithmic trading improve liquidity?, CFS Working Paper Series (2008) Downloads View citations (9) (2008)

2009

  1. Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years
    China Economic Review, 2009, 20, (1), 29-45 Downloads View citations (31)

2008

  1. Competition for Order Flow and Smart Order Routing Systems
    Journal of Finance, 2008, 63, (1), 119-158 Downloads View citations (127)
    See also Working Paper Competition for Order Flow and Smart Order Routing Systems, Post-Print (2008) View citations (117) (2008)
  2. Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount
    Journal of Finance, 2008, 63, (1), 159-196 Downloads View citations (160)
    See also Working Paper Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount, Serie Research Memoranda (2006) Downloads View citations (12) (2006)
  3. Splitting orders in overlapping markets: A study of cross-listed stocks
    Journal of Financial Intermediation, 2008, 17, (2), 145-174 Downloads View citations (22)
    See also Working Paper Splitting orders in overlapping markets: a study of cross-listed stocks, Serie Research Memoranda (2006) Downloads View citations (10) (2006)

2007

  1. Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
    Journal of Business & Economic Statistics, 2007, 25, 213-225 Downloads View citations (44)
  2. The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market
    Journal of Financial Markets, 2007, 10, (4), 391-415 Downloads View citations (55)

2004

  1. Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework
    European Financial Management, 2004, 10, (4), 567-591 Downloads View citations (4)

2002

  1. Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York
    Journal of Financial Markets, 2002, 5, (1), 57-82 Downloads View citations (39)
    See also Working Paper Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York, Tinbergen Institute Discussion Papers (2000) Downloads View citations (3) (2000)

2001

  1. Market dynamics in the Netherlands: Competition policy and the role of small firms
    International Journal of Industrial Organization, 2001, 19, (5), 795-821 Downloads View citations (30)

2000

  1. A Pricing Model for American Options with Gaussian Interest Rates
    Annals of Operations Research, 2000, 100, (1), 211-226 Downloads View citations (7)

1999

  1. Firm Size and Efficiency in Innovation: Reply
    Small Business Economics, 1999, 12, (1), 97-101 Downloads View citations (2)

1997

  1. VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES
    Journal of Financial Research, 1997, 20, (4), 459-482 Downloads View citations (9)

Chapters

2017

  1. Monitoring CCP Exposure, in Real Time if Needed
    Chapter 16 in Achieving Financial Stability Challenges to Prudential Regulation, 2017, pp 225-235 Downloads
 
Page updated 2024-07-12