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Menkveld, Albert J.


 SSRN Author Rank: 480 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

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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
26,804
Total
Citations
373
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 This Paper | Open PDF in Browser |
Journal of Financial Markets, Vol. 16, 2013
Number of Pages in PDF File: 49
Menkveld, Albert J.
VU University Amsterdam
Posted:
10 Dec 10
Last Revised:
31 Dec 13
7,972
(330)
38

2.  
Does Algorithmic Trading Improve Liquidity? | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Finance, Vol. 66, pp. 1-33, WFA 2008 Paper
Number of Pages in PDF File: 54
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
4,461
(942)
113

3.  
Middlemen in Limit Order Markets | Show Abstract | Download This Paper | Open PDF in Browser |
Western Finance Association (WFA), 2011
Number of Pages in PDF File: 50
Jovanovic, Boyan
New York University - Department of Economics
Menkveld, Albert J.
VU University Amsterdam
Posted:
13 Jun 10
Last Revised:
07 Jan 15
2,625
(2,459)
33

4.  
Price Pressures | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Economics, 2014, Vol 114, p. 405-423.
Number of Pages in PDF File: 33
Hendershott, Terrence
University of California, Berkeley - Haas School of Business
Menkveld, Albert J.
VU University Amsterdam
Posted:
31 May 09
Last Revised:
18 Feb 15
1,612
(5,714)
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
919
(14,204)
38

6.  
Menkveld, Albert J.
VU University Amsterdam
Yueshen, Bart Z.
INSEAD - Finance
Posted:
04 Apr 13
Last Revised:
04 Mar 15
868
(15,516)
 

7.   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
762
(18,806)
1

8.  
Chan, Kalok
Hong Kong University of Science & Technology (HKUST) - 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
721
(20,413)
36

9.  
Need for Speed? Exchange Latency and Liquidity | Show Abstract | Download This Paper | Open PDF in Browser |
Tinbergen Institute Discussion Paper 14-097/IV/DSF78
Number of Pages in PDF File: 53
Menkveld, Albert J.
VU University Amsterdam
Posted:
28 May 14
Last Revised:
13 May 15
710
(20,838)
 

10.   Incl. Electronic Paper
Menkveld, Albert J.
VU University Amsterdam
Wang, Ting
VU University Amsterdam
Posted:
14 Mar 06
Last Revised:
03 Aug 13
688
(21,806)
6

11.  
Menkveld, Albert J.
VU University Amsterdam
Posted:
09 Apr 14
Last Revised:
20 Jan 15
628
(24,769)
 

12.   Incl. Electronic Paper
Menkveld, Albert J.
VU University Amsterdam
Posted:
17 Jan 12
Last Revised:
08 Apr 14
537
(30,708)
 

13.  
Chan, Kalok
Hong Kong University of Science & Technology (HKUST) - 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
505
(33,318)
25

14.  
Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Business and Economic Statistics, Vol. 25, 2007
Number of Pages in PDF File: 33
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
429
(41,048)
17

15.  
Middlemen Interaction and Market Quality | Show Abstract | Download This Paper | Open PDF in Browser |
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of Pages in PDF File: 40
Menkveld, Albert J.
VU University Amsterdam
Yueshen, Bart Z.
INSEAD - Finance
Posted:
23 Oct 12
Last Revised:
06 Oct 13
426
(41,395)
 

16.  
Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Intermediation, Vol. 17, 2008
Number of Pages in PDF File: 45
Menkveld, Albert J.
VU University Amsterdam
Posted:
22 Feb 02
Last Revised:
14 Jun 08
361
(50,672)
11

17.  
Menkveld, Albert J.
VU University Amsterdam
Yueshen, Bart Z.
INSEAD - Finance
Zhu, Haoxiang
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Posted:
17 Oct 14
Last Revised:
24 Dec 14
355
(51,720)
 

18.  
Menkveld, Albert J.
VU University Amsterdam
Wang, Ting
VU University Amsterdam
Posted:
21 Feb 11
Last Revised:
09 Mar 12
340
(54,456)
1

19.  
Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial and Quantitative Analysis (JFQA), 17, 821-849, EFA 2007 Ljubljana Meetings Paper, FRB of New York Staff Report No. 307
Number of Pages in PDF File: 44
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
333
(55,851)
4

20.  
Asset Price Dynamics with Limited Attention | Show Abstract | Download This Paper | Open PDF in Browser |
23rd Australasian Finance and Banking Conference 2010 Paper
Number of Pages in PDF File: 56
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
307
(61,326)
6

21.  
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
221
(87,365)
1

22.  
Menkveld, Albert J.
VU University Amsterdam
Posted:
14 Dec 13
Last Revised:
10 Feb 15
209
(92,472)
 

23.  
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
207
(93,368)
3

24.   Incl. Electronic Paper
Menkveld, Albert J.
VU University Amsterdam
Pagnotta, Emiliano
Imperial College Business School
Posted:
07 Nov 13
Last Revised:
23 Nov 13
159
(119,304)
 

25.  
Euro Area Sovereign Yield Dynamics: The Role of Order Imbalance | Show Abstract | Download This Paper | Open PDF in Browser |
ECB Working Paper No. 385, EFA 2005 Moscow Meetings Paper
Number of Pages in PDF File: 50
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
146
(128,466)
6

26.  
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
112
(158,427)
4

27.  
Jovanovic, Boyan
New York University - Department of Economics
Menkveld, Albert J.
VU University Amsterdam
Posted:
08 Jul 14
Last Revised:
18 Nov 14
102
(170,508)
 

28.  
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
59
(234,683)
10

29.  
Analysing Perceived Downside Risk: The Component Value-at-Risk Framework | Show Abstract | Add to Cart |
European Financial Management, Vol. 10, No. 4, pp. 567-591, December 2004
Number of Pages in PDF File: 25
Hallerbach, Winfried G.
Robeco Asset Management, Quantitative Strategies
Menkveld, Albert J.
VU University Amsterdam
Posted:
30 Nov 04
30
(307,568)
2

30.  
Hupperets, Erik C.J.
HAL Investments B.V.
Menkveld, Albert J.
VU University Amsterdam
Posted:
11 Nov 03
 


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