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Menkveld, Albert J.


 SSRN Author Rank: 508 by Downloads
 

VU University Amsterdam


 De Boelelaan 1105
 Amsterdam, 1081HV
 Netherlands
 +31 20 5986130 (Phone)
 +31 20 5986020 (Fax)
 email address
 

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)


 Gustav Mahlerplein 117
 Amsterdam, 1082 MS
 Netherlands
 email address
 

Duisenberg School of Finance


 Gustav Mahlerplein 117
 Amsterdam, 1082 MS
 Netherlands
 email address

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. Menkveld, Albert J.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
23,761
Total
Citations
372
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
High Frequency Trading and the New-Market Makers | Show Abstract | Download |
Journal of Financial Markets, Vol. 16, 2013
Accepted Paper Series
Menkveld, Albert J.
VU University Amsterdam
Posted:
10 Dec 10
Last Revised:
31 Dec 13
7,213
(357)
36

2.  
Does Algorithmic Trading Improve Liquidity? | Show Abstract | Download |
Journal of Finance, Vol. 66, pp. 1-33, WFA 2008 Paper
Accepted Paper Series
Hendershott, Terrence
University of California, Berkeley - Haas School of Business
Jones, Charles M.
Columbia Business School - Finance and Economics
Menkveld, Albert J.
VU University Amsterdam
Posted:
05 Mar 08
Last Revised:
27 Jul 11
4,258
(909)
113

3.  
Middlemen in Limit-Order Markets | Show Abstract | Download |
Western Finance Association (WFA), 2011
Working Paper Series
Jovanovic, Boyan
New York University - Department of Economics
Menkveld, Albert J.
VU University Amsterdam
Posted:
13 Jun 10
Last Revised:
08 Nov 12
2,352
(2,630)
31

4.  
Price Pressures | Show Abstract | Download |
Journal of Financial Economics (JFE), Forthcoming
Accepted Paper Series
Hendershott, Terrence
University of California, Berkeley - Haas School of Business
Menkveld, Albert J.
VU University Amsterdam
Posted:
31 May 09
Last Revised:
01 Jul 14
1,486
(5,823)
18

5.   Incl. Electronic Paper
Foucault, Thierry
HEC Paris (Groupe HEC) - Finance Department
Menkveld, Albert J.
VU University Amsterdam
Posted:
14 Jun 06
Last Revised:
15 Mar 13
847
(14,324)
38

6.   Incl. Electronic Paper
Vorst, Ton
VU University Amsterdam - Department of Finance and Financial Sector Management
Menkveld, Albert J.
VU University Amsterdam
Posted:
08 Jun 98
Last Revised:
05 Jun 08
756
(16,979)
1

7.  
Menkveld, Albert J.
VU University Amsterdam
Yueshen, Bart Z.
VU University Amsterdam
Posted:
04 Apr 13
Last Revised:
31 Dec 13
704
(18,841)
2

8.  
Chan, Kalok
Hong Kong University of Science & Technology - Department of Finance
Menkveld, Albert J.
VU University Amsterdam
Yang, Zhishu
Tsinghua University - School of Economics & Management
Posted:
03 Aug 03
Last Revised:
26 Jun 08
681
(19,757)
35

9.   Incl. Electronic Paper
Menkveld, Albert J.
VU University Amsterdam
Wang, Ting
VU University Amsterdam
Posted:
14 Mar 06
Last Revised:
03 Aug 13
674
(20,037)
6

10.  
Chan, Kalok
Hong Kong University of Science & Technology - Department of Finance
Menkveld, Albert J.
VU University Amsterdam
Yang, Zhishu
Tsinghua University - School of Economics & Management
Posted:
06 Aug 03
Last Revised:
14 Jun 08
499
(30,302)
25

11.   Incl. Electronic Paper
Menkveld, Albert J.
VU University Amsterdam
Posted:
17 Jan 12
Last Revised:
08 Apr 14
461
(33,705)
 

12.  
Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods | Show Abstract | Download |
Journal of Business and Economic Statistics, Vol. 25, 2007
Accepted Paper Series
Menkveld, Albert J.
VU University Amsterdam
Koopman, Siem Jan
VU University Amsterdam
Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business
Posted:
06 Aug 03
Last Revised:
18 Jan 12
401
(40,051)
18

13.  
Middlemen Interaction and Market Quality | Show Abstract | Download |
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Working Paper Series
Menkveld, Albert J.
VU University Amsterdam
Yueshen, Bart Z.
VU University Amsterdam
Posted:
23 Oct 12
Last Revised:
06 Oct 13
387
(41,820)
 

14.  
Need for Speed? Exchange Latency and Liquidity | Show Abstract | Download |
Tinbergen Institute Discussion Paper 14-097/IV/DSF78
Working Paper Series
Menkveld, Albert J.
VU University Amsterdam
Zoican, Marius A.
VU University Amsterdam
Posted:
28 May 14
Last Revised:
28 Jul 14
383
(42,357)
 

15.  
Menkveld, Albert J.
VU University Amsterdam
Posted:
09 Apr 14
361
(45,463)
 

16.  
Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks | Show Abstract | Download |
Journal of Financial Intermediation, Vol. 17, 2008
Accepted Paper Series
Menkveld, Albert J.
VU University Amsterdam
Posted:
22 Feb 02
Last Revised:
14 Jun 08
352
(46,802)
12

17.  
Liquileaks | Show Abstract | Download |
Working Paper Series
Menkveld, Albert J.
VU University Amsterdam
Wang, Ting
VU University Amsterdam
Posted:
21 Feb 11
Last Revised:
09 Mar 12
325
(51,511)
1

18.  
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate | Show Abstract | Download |
Journal of Financial and Quantitative Analysis (JFQA), 17, 821-849, EFA 2007 Ljubljana Meetings Paper, FRB of New York Staff Report No. 307
Working Paper Series
Menkveld, Albert J.
VU University Amsterdam
Sarkar, Asani
Federal Reserve Bank of New York
van der Wel, Michel
Erasmus University Rotterdam
Posted:
01 Mar 07
Last Revised:
20 Nov 12
320
(52,515)
4

19.  
Asset Price Dynamics with Limited Attention | Show Abstract | Download |
23rd Australasian Finance and Banking Conference 2010 Paper
Working Paper Series
Hendershott, Terrence
University of California, Berkeley - Haas School of Business
LI, Sunny X.
VU University Amsterdam
Menkveld, Albert J.
VU University Amsterdam
Seasholes, Mark S.
Hong Kong University of Science & Technology (HKUST)
Posted:
01 Aug 10
Last Revised:
10 Jan 14
289
(59,130)
6

20.  
Limit Order Books and Trade Informativeness | Show Abstract | Download |
EFA 2005 Moscow Meetings
Working Paper Series
Beltran-Lopez, Helena M.
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Menkveld, Albert J.
VU University Amsterdam
Grammig, Joachim
Eberhard Karls Universitaet Tübingen
Posted:
04 Feb 11
Last Revised:
07 Feb 11
205
(85,250)
1

21.  
van der Wel, Michel
Erasmus University Rotterdam
Menkveld, Albert J.
VU University Amsterdam
Sarkar, Asani
Federal Reserve Bank of New York
Posted:
28 May 09
194
(90,040)
3

22.  
Euro Area Sovereign Yield Dynamics: The Role of Order Imbalance | Show Abstract | Download |
ECB Working Paper No. 385, EFA 2005 Moscow Meetings Paper
Working Paper Series
Menkveld, Albert J.
VU University Amsterdam
Cheung, Yiu Chung
affiliation not provided to SSRN
De Jong, Frank
Tilburg University - Department of Finance
Posted:
10 Dec 04
140
(120,883)
6

23.  
Menkveld, Albert J.
VU University Amsterdam
Posted:
14 Dec 13
Last Revised:
08 Apr 14
125
(133,534)
 

24.   Incl. Electronic Paper
Menkveld, Albert J.
VU University Amsterdam
Pagnotta, Emiliano
New York University (NYU)- Stern School of Business Dept. of Finance
Zoican, Marius A.
New York University (NYU)- Stern School of Business Dept. of Finance
Posted:
07 Nov 13
Last Revised:
23 Nov 13
115
(141,431)
 

25.  
Lin, Kuan-Pin
affiliation not provided to SSRN
Menkveld, Albert J.
VU University Amsterdam
Yang, Zhishu
Tsinghua University - School of Economics & Management
Posted:
01 Nov 08
Last Revised:
13 Mar 09
109
(147,083)
4

26.  
Menkveld, Albert J.
VU University Amsterdam
Koopman, Siem Jan
VU University Amsterdam
Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business
Posted:
07 Nov 08
Last Revised:
14 Oct 10
58
(215,616)
10

27.  
Jovanovic, Boyan
New York University - Department of Economics
Menkveld, Albert J.
VU University Amsterdam
Posted:
08 Jul 14
36
(265,939)
 

28.  
Analysing Perceived Downside Risk: The Component Value-at-Risk Framework | Show Abstract | Download |
European Financial Management, Vol. 10, No. 4, pp. 567-591, December 2004
Accepted Paper Series
Hallerbach, Winfried G.
Robeco Asset Management, Quantitative Strategies
Menkveld, Albert J.
VU University Amsterdam
Posted:
30 Nov 04
30
(280,328)
2

29.  
Intraday Analysis of Market Integration: Dutch Blue Chips Traded in Amsterdam and New York | Show Abstract |
Journal of Financial Markets, Vol. 5, No. 1, pp. 57-82, 2002
Accepted Paper Series
Hupperets, Erik C.J.
HAL Investments B.V.
Menkveld, Albert J.
VU University Amsterdam
Posted:
11 Nov 03
 


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