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Albert J. Menkveld

SSRN Author Rank: 403 by Downloads and 1,598 by Citations

 

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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. Albert J. Menkveld's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
34,672
Total
Citations
349
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
8,266
(324)
35

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
4,546
(1,072)
110

3.  
Jovanovic, Boyan
New York University - Department of Economics
Menkveld, Albert J.
VU University Amsterdam
Posted:
13 Jun 10
Last Revised:
21 Jun 16
2,732
(2,275)
26

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
1,650
(6,160)
18

5.   Incl. Electronic Paper
Foucault, Thierry
HEC Paris - Finance Department
Menkveld, Albert J.
VU University Amsterdam
Posted:
14 Jun 06
Last Revised:
09 Aug 15
1,040
(14,879)
37

6.  
Menkveld, Albert J.
VU University Amsterdam
Yueshen, Bart Z.
INSEAD - Finance
Posted:
04 Apr 13
Last Revised:
04 Apr 16
997
(10,390)
 

7.  
Need for Speed? Exchange Latency and Liquidity | Show Abstract | Download This Paper | Open PDF in Browser |
Review of Financial Studies (Forthcoming)
Number of Pages in PDF File: 52
Menkveld, Albert J.
VU University Amsterdam
Posted:
28 May 14
Last Revised:
17 Nov 16
831
(11,527)
 

8.   Incl. Electronic Paper
Menkveld, Albert J.
VU University Amsterdam
Posted:
09 Jun 16
Last Revised:
18 Nov 16
775
(23,024)
 

9.   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
775
(23,024)
1

10.  
Chan, Kalok
CUHK Business School
Menkveld, Albert J.
VU University Amsterdam
Yang, Zhishu
Tsinghua University - School of Economics & Management
Posted:
03 Aug 03
Last Revised:
26 Jun 08
729
(22,053)
32

11.   Incl. Electronic Paper
Menkveld, Albert J.
VU University Amsterdam
Wang, Ting
VU University Amsterdam
Posted:
14 Mar 06
Last Revised:
03 Aug 13
726
(25,245)
5

12.   Incl. Electronic Paper
Menkveld, Albert J.
VU University Amsterdam
Posted:
17 Jan 12
Last Revised:
08 Apr 14
718
(25,650)
 

13.  
Menkveld, Albert J.
VU University Amsterdam
Posted:
09 Apr 14
Last Revised:
08 Oct 16
679
(19,388)
1

14.  
van Kervel, Vincent
Pontifical Catholic University of Chile
Menkveld, Albert J.
VU University Amsterdam
Posted:
18 Jun 15
Last Revised:
24 Feb 16
663
(7,991)
 

15.  
Chan, Kalok
CUHK Business School
Menkveld, Albert J.
VU University Amsterdam
Yang, Zhishu
Tsinghua University - School of Economics & Management
Posted:
06 Aug 03
Last Revised:
14 Jun 08
520
(39,675)
21

16.  
Shades of Darkness: A Pecking Order of Trading Venues | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Economics (JFE), Forthcoming
Number of Pages in PDF File: 61
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:
27 Jun 16
473
(18,712)
 

17.  
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
439
(43,439)
 

18.  
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
437
(44,005)
17

19.  
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
368
(57,206)
11

20.  
Menkveld, Albert J.
VU University Amsterdam
Wang, Ting
VU University Amsterdam
Posted:
21 Feb 11
Last Revised:
09 Mar 12
344
(58,471)
1

21.  
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
339
(64,413)
3

22.  
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
319
(63,767)
7

23.  
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
224
(81,807)
1

24.  
Menkveld, Albert J.
VU University Amsterdam
Pagnotta, Emiliano
Imperial College Business School
Posted:
07 Nov 13
Last Revised:
28 Oct 15
220
(106,546)
 

25.  
Menkveld, Albert J.
VU University Amsterdam
Posted:
14 Dec 13
Last Revised:
08 Oct 16
216
(74,474)
 

26.  
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
210
(104,191)
1

27.  
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
147
(146,390)
6

28.  
Jovanovic, Boyan
New York University - Department of Economics
Menkveld, Albert J.
VU University Amsterdam
Posted:
08 Jul 14
Last Revised:
08 Nov 15
125
(106,546)
 

29.  
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
(179,681)
3

30.  
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
60
(272,032)
10

31.  
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 Investment Research
Menkveld, Albert J.
VU University Amsterdam
Posted:
30 Nov 04
30
(367,400)
2

32.  
Menkveld, Albert J.
VU University Amsterdam
Posted:
28 Nov 16
0
(161,360)
 

33.  
A Network Map of Information Percolation | Show Abstract | Download This Paper | Open PDF in Browser |
AEA 2017 Annual Meeting Paper
Number of Pages in PDF File: 49
Hagströmer, Björn
Stockholm University - Stockholm Business School
Menkveld, Albert J.
VU University Amsterdam
Posted:
28 Apr 16
Last Revised:
26 Sep 16
0
(96,411)
 

34.  
Hupperets, Erik C.J.
HAL Investments B.V.
Menkveld, Albert J.
VU University Amsterdam
Posted:
11 Nov 03
 


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