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 2025-02-18. Update your information in the RePEc Author Service.

Short-id: pme346

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Working Papers

2024

1. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in Post-Print, HAL (2021)
   Working Papers, Barcelona School of Economics (2021)
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2021)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2023) View citations (6)
   Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2021)
   IWH Discussion Papers, Halle Institute for Economic Research (IWH) (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021)
   Working Papers, Lund University, Department of Economics (2021)
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2021)
   TSE Working Papers, Toulouse School of Economics (TSE) (2023) View citations (6)
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2021)
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2021)
   CESifo Working Paper Series, CESifo (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2023

2. Equilibrium bitcoin pricing
   Post-Print, HAL View citations (33)
   Also in 2019 Meeting Papers, Society for Economic Dynamics (2019) View citations (14)
   EconPol Working Paper, ifo Institute - Leibniz Institute for Economic Research at the University of Munich (2020) View citations (40)
   TSE Working Papers, Toulouse School of Economics (TSE) (2022) View citations (16)
   See also Journal Article Equilibrium Bitcoin Pricing, Journal of Finance, American Finance Association (2023) View citations (33) (2023)
3. Large Orders in Small Markets: Execution with Endogenous Liquidity Supply
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2022

4. Computational Reproducibility in Finance: Evidence from 1,000 Tests
   HEC Research Papers Series, HEC Paris
5. Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance
   Working Papers, HAL View citations (1)

2019

6. Central counterparty exposure in stressed markets
   BIS Working Papers, Bank for International Settlements View citations (1)
   See also Journal Article Central Counterparty Exposure in Stressed Markets, Management Science, INFORMS (2021) View citations (3) (2021)
7. The cost of clearing fragmentation
   Bank of England working papers, Bank of England View citations (4)
   Also in BIS Working Papers, Bank for International Settlements (2019) View citations (4)
   See also Journal Article The Cost of Clearing Fragmentation, Management Science, INFORMS (2024) (2024)

2017

8. High-Frequency Trading around Large Institutional Orders
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)
   See also Journal Article High‐Frequency Trading around Large Institutional Orders, Journal of Finance, American Finance Association (2019) View citations (62) (2019)
9. Need for Speed? Exchange Latency and Liquidity
   Post-Print, HAL View citations (54)
   Also in Working Papers, HAL (2016) View citations (7)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (24)
   See also Journal Article Need for Speed? Exchange Latency and Liquidity, The Review of Financial Studies, Society for Financial Studies (2017) View citations (68) (2017)

2016

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

2015

12. Shades of Darkness: A Pecking Order of Trading Venues
    2015 Meeting Papers, Society for Economic Dynamics View citations (2)
    See also Journal Article Shades of darkness: A pecking order of trading venues, Journal of Financial Economics, Elsevier (2017) View citations (44) (2017)

2014

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

2013

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

2011

15. High Frequency Trading and the New-Market Makers
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (21)
    See also Journal Article High frequency trading and the new market makers, Journal of Financial Markets, Elsevier (2013) View citations (267) (2013)
16. Limit order books and trade informativeness
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)
    See also Journal Article Limit order books and trade informativeness, The European Journal of Finance, Taylor & Francis Journals (2012) View citations (5) (2012)

2010

17. Middlemen in Limit Order Markets
    2010 Meeting Papers, Society for Economic Dynamics View citations (21)
18. Price pressures
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)
    See also Journal Article Price pressures, Journal of Financial Economics, Elsevier (2014) View citations (22) (2014)

2009

19. 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

20. Competition for Order Flow and Smart Order Routing Systems
    Post-Print, HAL View citations (117)
    Also in HEC Research Papers Series, HEC Paris (2006) View citations (16)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (10)
    See also Journal Article Competition for Order Flow and Smart Order Routing Systems, Journal of Finance, American Finance Association (2008) View citations (132) (2008)
21. Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
22. Does algorithmic trading improve liquidity?
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (9)
    See also Journal Article Does Algorithmic Trading Improve Liquidity?, Journal of Finance, American Finance Association (2011) View citations (568) (2011)

2007

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

2006

25. 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)
26. Competition for Order Flow Smart Order Routing Systems
    Post-Print, HAL View citations (6)
    Also in Post-Print, HAL (2006) View citations (6)
27. 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 (14)
28. 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 Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount, Journal of Finance, American Finance Association (2008) View citations (169) (2008)
29. 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 Splitting orders in overlapping markets: A study of cross-listed stocks, Journal of Financial Intermediation, Elsevier (2008) View citations (23) (2008)

2005

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

2004

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

2003

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

2001

33. Splitting Orders in Fragmented Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
34. 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

35. 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 Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York, Journal of Financial Markets, Elsevier (2002) View citations (39) (2002)

1999

36. 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)
37. Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

1998

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

1996

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

1994

40. 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

2024

1. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) (2024)
2. The Cost of Clearing Fragmentation
   Management Science, 2024, 70, (6), 3581-3596
   See also Working Paper The cost of clearing fragmentation, Bank of England working papers (2019) View citations (4) (2019)

2023

3. Equilibrium Bitcoin Pricing
   Journal of Finance, 2023, 78, (2), 967-1014 View citations (33)
   See also Working Paper Equilibrium bitcoin pricing, Post-Print (2023) View citations (33) (2023)

2022

4. Asset Price Dynamics with Limited Attention
   The Review of Financial Studies, 2022, 35, (2), 962-1008 View citations (6)
5. Equilibrium Bid-Price Dispersion
   Journal of Political Economy, 2022, 130, (2), 426 - 461 View citations (2)

2021

6. Central Counterparty Exposure in Stressed Markets
   Management Science, 2021, 67, (6), 3596-3617 View citations (3)
   See also Working Paper Central counterparty exposure in stressed markets, BIS Working Papers (2019) View citations (1) (2019)
7. The Economics of Central Clearing
   Annual Review of Financial Economics, 2021, 13, (1), 153-178 View citations (19)

2019

8. High‐Frequency Trading around Large Institutional Orders
   Journal of Finance, 2019, 74, (3), 1091-1137 View citations (62)
   See also Working Paper High-Frequency Trading around Large Institutional Orders, Tinbergen Institute Discussion Papers (2017) View citations (13) (2017)
9. Information Revelation in Decentralized Markets
   Journal of Finance, 2019, 74, (6), 2751-2787 View citations (20)

2018

10. High-Frequency Trading as Viewed through an Electron Microscope
    Financial Analysts Journal, 2018, 74, (2), 24-31

2017

11. Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties
    The Review of Asset Pricing Studies, 2017, 7, (2), 209-242 View citations (28)
12. Need for Speed? Exchange Latency and Liquidity
    The Review of Financial Studies, 2017, 30, (4), 1188-1228 View citations (68)
    See also Working Paper Need for Speed? Exchange Latency and Liquidity, Post-Print (2017) View citations (54) (2017)
13. Shades of darkness: A pecking order of trading venues
    Journal of Financial Economics, 2017, 124, (3), 503-534 View citations (44)
    See also Working Paper Shades of Darkness: A Pecking Order of Trading Venues, 2015 Meeting Papers (2015) View citations (2) (2015)

2016

14. The Economics of High-Frequency Trading: Taking Stock
    Annual Review of Financial Economics, 2016, 8, (1), 1-24 View citations (109)

2014

15. High-Frequency Traders and Market Structure
    The Financial Review, 2014, 49, (2), 333-344 View citations (17)
16. Price pressures
    Journal of Financial Economics, 2014, 114, (3), 405-423 View citations (22)
    See also Working Paper Price pressures, CFS Working Paper Series (2010) View citations (2) (2010)

2013

17. High frequency trading and the new market makers
    Journal of Financial Markets, 2013, 16, (4), 712-740 View citations (267)
    See also Working Paper High Frequency Trading and the New-Market Makers, Tinbergen Institute Discussion Papers (2011) View citations (21) (2011)
18. How do designated market makers create value for small-caps?
    Journal of Financial Markets, 2013, 16, (3), 571-603 View citations (29)

2012

19. 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)
20. Limit order books and trade informativeness
    The European Journal of Finance, 2012, 18, (9), 737-759 View citations (5)
    See also Working Paper Limit order books and trade informativeness, CFS Working Paper Series (2011) View citations (2) (2011)

2011

21. Does Algorithmic Trading Improve Liquidity?
    Journal of Finance, 2011, 66, (1), 1-33 View citations (568)
    See also Working Paper Does algorithmic trading improve liquidity?, CFS Working Paper Series (2008) View citations (9) (2008)

2009

22. 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

23. Competition for Order Flow and Smart Order Routing Systems
    Journal of Finance, 2008, 63, (1), 119-158 View citations (132)
    See also Working Paper Competition for Order Flow and Smart Order Routing Systems, Post-Print (2008) View citations (117) (2008)
24. Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount
    Journal of Finance, 2008, 63, (1), 159-196 View citations (169)
    See also Working Paper Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount, Serie Research Memoranda (2006) View citations (12) (2006)
25. Splitting orders in overlapping markets: A study of cross-listed stocks
    Journal of Financial Intermediation, 2008, 17, (2), 145-174 View citations (23)
    See also Working Paper Splitting orders in overlapping markets: a study of cross-listed stocks, Serie Research Memoranda (2006) View citations (10) (2006)

2007

26. 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 (44)
27. 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 (57)

2004

28. Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework
    European Financial Management, 2004, 10, (4), 567-591 View citations (5)

2002

29. 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 (39)
    See also Working Paper Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York, Tinbergen Institute Discussion Papers (2000) View citations (3) (2000)

2001

30. 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 (30)

2000

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

1999

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

1997

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