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
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Working Papers
2021
- 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)
- 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
- Central counterparty exposure in stressed markets
BIS Working Papers, Bank for International Settlements View citations (1)
- 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
- 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)
- 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
- Dispersion and Skewness of Bid Prices
2016 Meeting Papers, Society for Economic Dynamics View citations (2)
- Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets
Working Papers, HAL View citations (7)
2015
- 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
- Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
2013
- Central Clearing and Asset Prices
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
2011
- 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)
- 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
- Middlemen in Limit Order Markets
2010 Meeting Papers, Society for Economic Dynamics View citations (21)
- 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
- 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
- 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)
- Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
- 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
- Macro News, Riskfree Rates, and the Intermediary
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures
Staff Reports, Federal Reserve Bank of New York
2006
- 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)
- Competition for Order Flow Smart Order Routing Systems
Post-Print, HAL View citations (6)
Also in Post-Print, HAL (2006) View citations (6)
- 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)
- 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)
- 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
- Understanding the limit order book: Conditioning on trade informativeness
CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (3)
2004
- Understanding limit order book depth: conditioning on trade informativeness
Econometric Society 2004 Latin American Meetings, Econometric Society View citations (1)
2003
- Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
2001
- Splitting Orders in Fragmented Markets
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
- 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
- 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
- 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)
- Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
1998
- A Pricing Model for American Options with Stochastic Interest Rates
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
1996
- The Decision Between Internal and External R&D
Working Papers, NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM View citations (32)
1994
- 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
- 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)
- Equilibrium Bid-Price Dispersion
Journal of Political Economy, 2022, 130, (2), 426 - 461 View citations (1)
2021
- The Economics of Central Clearing
Annual Review of Financial Economics, 2021, 13, (1), 153-178 View citations (5)
2019
- High‐Frequency Trading around Large Institutional Orders
Journal of Finance, 2019, 74, (3), 1091-1137 View citations (42)
See also Working Paper (2017)
- Information Revelation in Decentralized Markets
Journal of Finance, 2019, 74, (6), 2751-2787 View citations (17)
- The Flash Crash: A Cautionary Tale About Highly Fragmented Markets
Management Science, 2019, 65, (10), 4470-4488 View citations (12)
2017
- Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties
The Review of Asset Pricing Studies, 2017, 7, (2), 209-242 View citations (23)
- Need for Speed? Exchange Latency and Liquidity
Review of Financial Studies, 2017, 30, (4), 1188-1228 View citations (45)
See also Working Paper (2017)
- 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
- The Economics of High-Frequency Trading: Taking Stock
Annual Review of Financial Economics, 2016, 8, (1), 1-24 View citations (78)
2014
- High-Frequency Traders and Market Structure
The Financial Review, 2014, 49, (2), 333-344 View citations (12)
- Price pressures
Journal of Financial Economics, 2014, 114, (3), 405-423 View citations (23)
See also Working Paper (2010)
2013
- 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)
- How do designated market makers create value for small-caps?
Journal of Financial Markets, 2013, 16, (3), 571-603 View citations (22)
2012
- 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)
- 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
- Does Algorithmic Trading Improve Liquidity?
Journal of Finance, 2011, 66, (1), 1-33 View citations (493)
See also Working Paper (2008)
2009
- 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
- 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)
- 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)
- 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
- 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)
- 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
- Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework
European Financial Management, 2004, 10, (4), 567-591 View citations (4)
2002
- 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
- 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
- A Pricing Model for American Options with Gaussian Interest Rates
Annals of Operations Research, 2000, 100, (1), 211-226 View citations (6)
1999
- Firm Size and Efficiency in Innovation: Reply
Small Business Economics, 1999, 12, (1), 97-101 View citations (2)
1997
- VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES
Journal of Financial Research, 1997, 20, (4), 459-482 View citations (8)
Chapters
2017
- Monitoring CCP Exposure, in Real Time if Needed
Chapter 16 in Achieving Financial Stability Challenges to Prudential Regulation, 2017, pp 225-235
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