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Menkveld, Albert J.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
18,803 |
Total
Citations
327 |
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1.
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Menkveld, Albert J.
VU University Amsterdam
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10 Dec 10
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Last Revised:
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14 May 13
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5,441
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26
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high frequency trading, market fragmentation, liquidity, market making
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2.
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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
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05 Mar 08
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Last Revised:
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27 Jul 11
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3,892
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103
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3.
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Jovanovic, Boyan
New York University - Department of Economics Menkveld, Albert J.
VU University Amsterdam
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13 Jun 10
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Last Revised:
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08 Nov 12
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1,827
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26
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high-frequency trading, welfare, liquidity, middleman
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4.
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Hendershott, Terrence
University of California, Berkeley - Haas School of Business Menkveld, Albert J.
VU University Amsterdam
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31 May 09
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Last Revised:
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06 Sep 12
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1,323
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18
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liquidity, inventory risk, intermediary, volatility
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5.
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Competition for Order Flow and Smart Order Routing Systems
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Versions (2)
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Foucault, Thierry
HEC Paris (Groupe HEC) - Finance Department Menkveld, Albert J.
VU University Amsterdam
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Posted:
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14 Jun 06
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Last Revised:
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15 Mar 13
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766
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33
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Foucault, Thierry
HEC Paris (Groupe HEC) - Finance Department Menkveld, Albert J.
VU University Amsterdam
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746
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market fragmentation, centralized limit order book, smart routers, trading fees
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Foucault, Thierry
HEC Paris (Groupe HEC) - Finance Department Menkveld, Albert J.
VU University Amsterdam
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20
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33
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Market fragmentation, centralized limit order book, smart routers, trading fees, trade-throughs
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6.
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A Pricing Model for American Options with Stochastic Interest Rates
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Versions (2)
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Vorst, Ton
VU University Amsterdam - Department of Finance and Financial Sector Management Menkveld, Albert J.
VU University Amsterdam
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Posted:
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08 Jun 98
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Last Revised:
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05 Jun 08
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736
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Vorst, Ton
VU University Amsterdam - Department of Finance and Financial Sector Management Menkveld, Albert J.
VU University Amsterdam
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Vorst, Ton
VU University Amsterdam - Department of Finance and Financial Sector Management Menkveld, Albert J.
VU University Amsterdam
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| Posted: |
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08 Jun 98
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Last Revised:
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05 Jun 08
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736
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7.
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How Do Designated Market Makers Create Value for Small-Caps?
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Versions (2)
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Menkveld, Albert J.
VU University Amsterdam Wang, Ting
VU University Amsterdam
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Posted:
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14 Mar 06
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Last Revised:
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27 Aug 12
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633
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5
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Menkveld, Albert J.
VU University Amsterdam Wang, Ting
VU University Amsterdam
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13 Feb 09
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Last Revised:
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27 Aug 12
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134
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Liquidity, Liquidity Risk, Designated Market Makers, Small-Cap, Volume, Volatility, Price Discovery
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Menkveld, Albert J.
VU University Amsterdam Wang, Ting
VU University Amsterdam
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14 Mar 06
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Last Revised:
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02 Aug 11
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499
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5
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liquidity, liquidity risk, designated market makers, small-cap, volume, volatility, price discovery
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8.
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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
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03 Aug 03
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Last Revised:
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26 Jun 08
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610
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34
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9.
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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
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06 Aug 03
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Last Revised:
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14 Jun 08
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488
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22
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10.
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Menkveld, Albert J.
VU University Amsterdam Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business
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06 Aug 03
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Last Revised:
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18 Jan 12
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365
(38,156)
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18
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11.
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Menkveld, Albert J.
VU University Amsterdam Yueshen, Bart Z.
VU University Amsterdam
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04 Apr 13
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Last Revised:
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16 Apr 13
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333
(42,681)
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flash crash, large seller, electronic market, market breakdown
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12.
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Menkveld, Albert J.
VU University Amsterdam
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22 Feb 02
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Last Revised:
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14 Jun 08
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332
(42,831)
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11
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cross-listing, trading, fragmentation, high-frequency, nyse, order-splitting, multi-market trading, fragmented
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13.
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Menkveld, Albert J.
VU University Amsterdam
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17 Jan 12
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Last Revised:
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19 Jan 12
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302
(47,851)
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market structure, electronic trading, high-frequency trading
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14.
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Menkveld, Albert J.
VU University Amsterdam Sarkar, Asani
Federal Reserve Bank of New York van der Wel, Michel
Erasmus University Rotterdam
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| Posted: |
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01 Mar 07
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Last Revised:
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20 Nov 12
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294
(49,372)
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3
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riskfree rate, macroeconomic announcements, customer order flow, intermediary, treasury futures
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15.
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Menkveld, Albert J.
VU University Amsterdam Wang, Ting
VU University Amsterdam
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| Posted: |
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21 Feb 11
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Last Revised:
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09 Mar 12
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279
(52,438)
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1
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16.
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Menkveld, Albert J.
VU University Amsterdam Yueshen, Bart Z.
VU University Amsterdam
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| Posted: |
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23 Oct 12
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Last Revised:
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10 Apr 13
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269
(54,634)
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1
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high-frequency trader, electronic market, middleman
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17.
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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)
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| Posted: |
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01 Aug 10
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Last Revised:
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23 Sep 11
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238
(62,457)
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4
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Transitory Volatility, Liquidity, Individual Investors, Market Makers
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18.
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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
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| Posted: |
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04 Feb 11
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Last Revised:
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07 Feb 11
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180
(82,803)
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1
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Informational content of trades, limit order book
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19.
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van der Wel, Michel
Erasmus University Rotterdam Menkveld, Albert J.
VU University Amsterdam Sarkar, Asani
Federal Reserve Bank of New York
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171
(87,009)
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2
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market makers, liquidity supply, signing trades, inventory, information, Treasury futures markets
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20.
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Menkveld, Albert J.
VU University Amsterdam Cheung, Yiu Chung
affiliation not provided to SSRN de Jong, Frank
Tilburg University - Department of Finance
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136
(106,619)
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6
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government bond, order imbalance, euro, international
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21.
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Lin, Kuan-Pin
affiliation not provided to SSRN Menkveld, Albert J.
VU University Amsterdam Yang, Zhishu
Tsinghua University - School of Economics & Management
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| Posted: |
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01 Nov 08
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Last Revised:
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13 Mar 09
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103
(132,558)
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4
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China; World Equity Markets, Dynamic Conditional Correlation
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22.
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Menkveld, Albert J.
VU University Amsterdam Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business
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| Posted: |
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07 Nov 08
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Last Revised:
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14 Oct 10
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55
(192,019)
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9
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Efficient price;, Financial markets, High-frequency data, Kalman filter, Unobserved components time series models
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23.
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Hallerbach, Winfried G.
Robeco Asset Management, Quantitative Strategies Menkveld, Albert J.
VU University Amsterdam
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30
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2
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24.
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Hupperets, Erik C.J.
HAL Investments B.V. Menkveld, Albert J.
VU University Amsterdam
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Marketintegration, Cross-list, Stock, Intraday, Amsterdam, NYSE
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