Details about Albert J. Menkveld

Access statistics for papers by Albert J. Menkveld.

Last updated 2022-08-09. Update your information in the RePEc Author Service.

Short-id: pme346

Working Papers

2021

1. Equilibrium Bitcoin Pricing
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (15)
   Also in EconPol Working Paper, ifo Institute - Leibniz Institute for Economic Research at the University of Munich (2020) View citations (20)
   2019 Meeting Papers, Society for Economic Dynamics (2019) View citations (13)
2. Non-Standard Errors
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration
   Also in IWH Discussion Papers, Halle Institute for Economic Research (IWH) (2021)
   Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2021)
   CESifo Working Paper Series, CESifo (2021)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   Post-Print, HAL (2021)
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2021)
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2021)
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2021)
   Working Papers, Faculty of Economics and Statistics, University of Innsbruck (2021) View citations (1)
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021)
   Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) View citations (1)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)

2019

3. Central counterparty exposure in stressed markets
   BIS Working Papers, Bank for International Settlements View citations (1)
4. The cost of clearing fragmentation
   BIS Working Papers, Bank for International Settlements View citations (3)
   Also in Bank of England working papers, Bank of England (2019) View citations (3)

2017

5. High-Frequency Trading around Large Institutional Orders
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)
   See also Journal Article in Journal of Finance (2019)
6. Need for Speed? Exchange Latency and Liquidity
   Post-Print, HAL View citations (47)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (24)
   Working Papers, HAL (2016) View citations (7)
   See also Journal Article in Review of Financial Studies (2017)

2016

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

2015

9. Shades of Darkness: A Pecking Order of Trading Venues
   2015 Meeting Papers, Society for Economic Dynamics View citations (2)
   See also Journal Article in Journal of Financial Economics (2017)

2014

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

2013

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

2011

12. High Frequency Trading and the New-Market Makers
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (21)
    See also Journal Article in Journal of Financial Markets (2013)
13. Limit order books and trade informativeness
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)
    See also Journal Article in The European Journal of Finance (2012)

2010

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

2009

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

2008

17. Competition for Order Flow and Smart Order Routing Systems
    Post-Print, HAL View citations (111)
    Also in HEC Research Papers Series, HEC Paris (2006) View citations (15)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (9)
    See also Journal Article in Journal of Finance (2008)
18. Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
19. Does algorithmic trading improve liquidity?
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (9)
    See also Journal Article in Journal of Finance (2011)

2007

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

2006

22. 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 View citations (15)
23. Competition for Order Flow Smart Order Routing Systems
    Post-Print, HAL View citations (6)
    Also in Post-Print, HAL (2006) View citations (6)
24. Euro-Area Sovereign Yield Dynamics: the role of order imbalance
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
    Also in Working Paper Series, European Central Bank (2004) View citations (13)
25. 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 View citations (12)
    See also Journal Article in Journal of Finance (2008)
26. Splitting orders in overlapping markets: a study of cross-listed stocks
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (10)
    See also Journal Article in Journal of Financial Intermediation (2008)

2005

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

2004

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

2003

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

2001

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

2000

32. Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article in Journal of Financial Markets (2002)

1999

33. 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) View citations (1)
34. Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

1998

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

1996

36. The Decision Between Internal and External R&D
    Working Papers, NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM View citations (32)

1994

37. Volatility Patterns and Spillovers in Bund Futures
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)

Journal Articles

2022

1. Asset Price Dynamics with Limited Attention
   (Inaction and adjustment: Consequences for households and firms)
   Review of Financial Studies, 2022, 35, (2), 962-1008 View citations (1)
2. Equilibrium Bid-Price Dispersion
   Journal of Political Economy, 2022, 130, (2), 426 - 461 View citations (1)

2021

3. The Economics of Central Clearing
   Annual Review of Financial Economics, 2021, 13, (1), 153-178 View citations (5)

2019

4. High‐Frequency Trading around Large Institutional Orders
   Journal of Finance, 2019, 74, (3), 1091-1137 View citations (42)
   See also Working Paper (2017)
5. Information Revelation in Decentralized Markets
   Journal of Finance, 2019, 74, (6), 2751-2787 View citations (17)
6. The Flash Crash: A Cautionary Tale About Highly Fragmented Markets
   Management Science, 2019, 65, (10), 4470-4488 View citations (12)

2017

7. Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties
   The Review of Asset Pricing Studies, 2017, 7, (2), 209-242 View citations (23)
8. Need for Speed? Exchange Latency and Liquidity
   Review of Financial Studies, 2017, 30, (4), 1188-1228 View citations (45)
   See also Working Paper (2017)
9. Shades of darkness: A pecking order of trading venues
   Journal of Financial Economics, 2017, 124, (3), 503-534 View citations (24)
   See also Working Paper (2015)

2016

10. The Economics of High-Frequency Trading: Taking Stock
    Annual Review of Financial Economics, 2016, 8, (1), 1-24 View citations (78)

2014

11. High-Frequency Traders and Market Structure
    The Financial Review, 2014, 49, (2), 333-344 View citations (12)
12. Price pressures
    Journal of Financial Economics, 2014, 114, (3), 405-423 View citations (23)
    See also Working Paper (2010)

2013

13. High frequency trading and the new market makers
    Journal of Financial Markets, 2013, 16, (4), 712-740 View citations (219)
    See also Working Paper (2011)
14. How do designated market makers create value for small-caps?
    Journal of Financial Markets, 2013, 16, (3), 571-603 View citations (22)

2012

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

2011

17. Does Algorithmic Trading Improve Liquidity?
    Journal of Finance, 2011, 66, (1), 1-33 View citations (493)
    See also Working Paper (2008)

2009

18. 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 View citations (31)

2008

19. Competition for Order Flow and Smart Order Routing Systems
    Journal of Finance, 2008, 63, (1), 119-158 View citations (114)
    See also Working Paper (2008)
20. Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount
    Journal of Finance, 2008, 63, (1), 159-196 View citations (146)
    See also Working Paper (2006)
21. Splitting orders in overlapping markets: A study of cross-listed stocks
    Journal of Financial Intermediation, 2008, 17, (2), 145-174 View citations (17)
    See also Working Paper (2006)

2007

22. Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
    Journal of Business & Economic Statistics, 2007, 25, 213-225 View citations (42)
23. 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 View citations (52)

2004

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

2002

25. Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York
    Journal of Financial Markets, 2002, 5, (1), 57-82 View citations (38)
    See also Working Paper (2000)

2001

26. Market dynamics in the Netherlands: Competition policy and the role of small firms
    International Journal of Industrial Organization, 2001, 19, (5), 795-821 View citations (29)

2000

27. A Pricing Model for American Options with Gaussian Interest Rates
    Annals of Operations Research, 2000, 100, (1), 211-226 View citations (6)

1999

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

1997

29. VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES
    Journal of Financial Research, 1997, 20, (4), 459-482 View citations (8)

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