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Details about Albert J. Menkveld

E-mail:
Homepage:http://www.albertjmenkveld.org
Workplace:Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)
School of Business and Economics, Vrije Universiteit Amsterdam (VU University Amsterdam), (more information at EDIRC)

Access statistics for papers by Albert J. Menkveld.

Last updated 2019-10-18. Update your information in the RePEc Author Service.

Short-id: pme346


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Working Papers

2019

  1. Equilibrium Bitcoin Pricing
    2019 Meeting Papers, Society for Economic Dynamics Downloads
    Also in TSE Working Papers, Toulouse School of Economics (TSE) (2018) Downloads View citations (1)
  2. The cost of clearing fragmentation
    Bank of England working papers, Bank of England Downloads

2017

  1. High-Frequency Trading around Large Institutional Orders
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    See also Journal Article in Journal of Finance (2019)
  2. Need for Speed? Exchange Latency and Liquidity
    Post-Print, HAL View citations (12)
    Also in Working Papers, HAL (2016) Downloads View citations (3)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (13)

    See also Journal Article in Review of Financial Studies (2017)

2016

  1. Dispersion and Skewness of Bid Prices
    2016 Meeting Papers, Society for Economic Dynamics Downloads
  2. Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets
    Working Papers, HAL Downloads View citations (6)

2015

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

2014

  1. Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)

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 (6)
    See also Journal Article in Journal of Financial Markets (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 in The European Journal of Finance (2012)

2010

  1. Middlemen in Limit Order Markets
    2010 Meeting Papers, Society for Economic Dynamics View citations (3)
  2. Price pressures
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (2)
    See also Journal Article in Journal of Financial Economics (2014)

2009

  1. Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    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 (42)
    Also in HEC Research Papers Series, HEC Paris (2006) Downloads View citations (12)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (6)

    See also Journal Article in Journal of Finance (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 (2)
    See also Journal Article in Journal of Finance (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 (1)
  2. Competition for Order Flow Smart Order Routing Systems
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2006) View citations (1)
  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 (12)
  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 (2)
    See also Journal Article in Journal of Finance (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
    See also Journal Article in Journal of Financial Intermediation (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 (2)

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

2001

  1. Splitting Orders in Fragmented Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  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 (1)
    See also Journal Article in Journal of Financial Markets (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 (1)

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 (29)

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 (2)

Journal Articles

2019

  1. High‐Frequency Trading around Large Institutional Orders
    Journal of Finance, 2019, 74, (3), 1091-1137 Downloads View citations (11)
    See also Working Paper (2017)

2017

  1. Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties
    Review of Asset Pricing Studies, 2017, 7, (2), 209-242 Downloads View citations (4)
  2. Need for Speed? Exchange Latency and Liquidity
    Review of Financial Studies, 2017, 30, (4), 1188-1228 Downloads View citations (12)
    See also Working Paper (2017)
  3. Shades of darkness: A pecking order of trading venues
    Journal of Financial Economics, 2017, 124, (3), 503-534 Downloads View citations (5)
    See also Working Paper (2015)

2016

  1. The Economics of High-Frequency Trading: Taking Stock
    Annual Review of Financial Economics, 2016, 8, (1), 1-24 Downloads View citations (28)

2014

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

2013

  1. High frequency trading and the new market makers
    Journal of Financial Markets, 2013, 16, (4), 712-740 Downloads View citations (120)
    See also Working Paper (2011)
  2. How do designated market makers create value for small-caps?
    Journal of Financial Markets, 2013, 16, (3), 571-603 Downloads View citations (13)

2012

  1. Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate
    Journal of Financial and Quantitative Analysis, 2012, 47, (04), 821-849 Downloads View citations (9)
  2. Limit order books and trade informativeness
    The European Journal of Finance, 2012, 18, (9), 737-759 Downloads View citations (3)
    See also Working Paper (2011)

2011

  1. Does Algorithmic Trading Improve Liquidity?
    Journal of Finance, 2011, 66, (1), 1-33 Downloads View citations (262)
    See also Working Paper (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 (27)

2008

  1. Competition for Order Flow and Smart Order Routing Systems
    Journal of Finance, 2008, 63, (1), 119-158 Downloads View citations (68)
    See also Working Paper (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 (105)
    See also Working Paper (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 (13)
    See also Working Paper (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 (30)
  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 (42)

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 (27)
    See also Working Paper (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 (25)

2000

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

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 (7)

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 2019-10-19