Albert J. Menkveld

VU Amsterdam

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

  • VU Amsterdam

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    • Tel: +31 20 5986130
    • Fax: +31 20 5986020

  • Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

SCHOLARLY PAPERS

38

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360

Scholarly Papers (38)

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1.

High Frequency Trading and the New-Market Makers

Journal of Financial Markets, Vol. 16, 2013
Number of pages: 49 Posted: 10 Dec 2010 Last Revised: 31 Dec 2013
Albert J. Menkveld
VU Amsterdam
Downloads 10,771 (336)
Citation 39

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high frequency trading, market fragmentation, liquidity, market making

2.

Does Algorithmic Trading Improve Liquidity?

Journal of Finance, Vol. 66, pp. 1-33, WFA 2008 Paper
Number of pages: 54 Posted: 05 Mar 2008 Last Revised: 27 Jul 2011
Terrence Hendershott, Charles M. Jones and Albert J. Menkveld
University of California, Berkeley - Haas School of Business, Columbia Business School and VU Amsterdam
Downloads 5,144 (1,291)
Citation 114

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3.

Middlemen in Limit Order Markets

Number of pages: 56 Posted: 13 Jun 2010 Last Revised: 21 Jun 2016
Boyan Jovanovic and Albert J. Menkveld
New York University - Department of Economics and VU Amsterdam
Downloads 3,885 (2,114)
Citation 29

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high-frequency trading, welfare, liquidity, middleman

4.

High-Frequency Trading around Large Institutional Orders

Journal of Finance, Forthcoming
Number of pages: 79 Posted: 18 Jun 2015 Last Revised: 24 Mar 2018
Vincent van Kervel and Albert J. Menkveld
Pontifical Catholic University of Chile and VU Amsterdam
Downloads 2,525 (4,452)
Citation 1

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High-frequency traders, institutional investors, trading patterns, transaction cost

5.

The Economics of High-Frequency Trading: Taking Stock

Downloads 2,055 ( 6,299)

The Economics of High-Frequency Trading: Taking Stock

Annual Review of Financial Economics, Volume 8, Forthcoming
Number of pages: 28 Posted: 09 Jun 2016 Last Revised: 28 Jul 2016
Albert J. Menkveld
VU Amsterdam
Downloads 2,055 (6,156)

Abstract:

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high-frequency trading, literature survey

The Economics of High-Frequency Trading: Taking Stock

Annual Review of Financial Economics, Vol. 8, pp. 1-24, 2016
Posted: 18 Nov 2016
Albert J. Menkveld
VU Amsterdam

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6.

Price Pressures

Journal of Financial Economics, 2014, Vol 114, p. 405-423.
Number of pages: 33 Posted: 31 May 2009 Last Revised: 18 Feb 2015
Terrence Hendershott and Albert J. Menkveld
University of California, Berkeley - Haas School of Business and VU Amsterdam
Downloads 1,911 (7,151)
Citation 19

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liquidity, inventory risk, intermediary, volatility

7.

The Flash Crash: A Cautionary Tale about Highly Fragmented Markets

Management Science, Forthcoming
Number of pages: 39 Posted: 04 Apr 2013 Last Revised: 05 Jan 2018
Albert J. Menkveld and Bart Z. Yueshen
VU Amsterdam and INSEAD - Finance
Downloads 1,808 (7,900)
Citation 1

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flash crash, large seller, electronic market, broken arbitrage

8.

Need for Speed? Exchange Latency and Liquidity

Review of Financial Studies (Forthcoming)
Number of pages: 52 Posted: 28 May 2014 Last Revised: 23 Mar 2017
Albert J. Menkveld and Marius Zoican
VU Amsterdam and University of Toronto - Finance Area
Downloads 1,686 (8,817)
Citation 2

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Exchange Speed, High-Frequency Trading, Information Asymmetry

9.

Shades of Darkness: A Pecking Order of Trading Venues

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 17 Oct 2014 Last Revised: 27 Jun 2016
Albert J. Menkveld, Bart Z. Yueshen and Haoxiang Zhu
VU Amsterdam, INSEAD - Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,193 (15,321)

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dark pool, pecking order, fragmentation

10.

Competition for Order Flow and Smart Order Routing Systems

Downloads 1,107 ( 17,199)
Citation 38

Competition for Order Flow and Smart Order Routing Systems

Journal of Finance, Vol. 63, 2008, AFA 2006 Boston Meetings Paper, EFA 2005 Moscow Meetings Paper
Number of pages: 47 Posted: 17 Jun 2008
Thierry Foucault and Albert J. Menkveld
HEC Paris - Finance Department and VU Amsterdam
Downloads 1,087 (17,331)
Citation 38

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market fragmentation, centralized limit order book, smart routers, trading fees

Competition for Order Flow and Smart Order Routing Systems

CEPR Discussion Paper No. 5523
Number of pages: 63 Posted: 14 Jun 2006
Thierry Foucault and Albert J. Menkveld
HEC Paris - Finance Department and VU Amsterdam
Downloads 20 (508,269)
Citation 38
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Market fragmentation, centralized limit order book, smart routers, trading fees, trade-throughs

11.

Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties

Review of Asset Pricing Studies (RAPS), 2017, Vol 7, pp. 209-242, Winner of the 2018 RAPS best (published) paper award
Number of pages: 49 Posted: 09 Apr 2014 Last Revised: 21 Jun 2018
Albert J. Menkveld
VU Amsterdam
Downloads 1,047 (18,671)

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CCP, systemic risk, crowded trades, margin, central clearing

12.

Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount

Journal of Finance, Vol. 63, 2008
Number of pages: 54 Posted: 03 Aug 2003 Last Revised: 26 Jun 2008
Kalok Chan, Albert J. Menkveld and Zhishu Yang
CUHK Business School, VU Amsterdam and Tsinghua University - School of Economics & Management
Downloads 876 (24,315)
Citation 32

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13.

High Frequency Traders and Market Structure

Downloads 870 ( 24,572)

High Frequency Traders and Market Structure

The Financial Review, special issue on HFT (Forthcoming)
Number of pages: 18 Posted: 17 Jan 2012 Last Revised: 10 Jan 2014
Albert J. Menkveld
VU Amsterdam
Downloads 869 (24,196)

Abstract:

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market structure, electronic trading, high-frequency trading

High‐Frequency Traders and Market Structure

Financial Review, Vol. 49, Issue 2, pp. 333-344, 2014
Number of pages: 12 Posted: 08 Apr 2014
Albert J. Menkveld
VU Amsterdam
Downloads 1 (637,073)
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high‐frequency traders, market fragmentation, market structure

14.

A Pricing Model for American Options with Stochastic Interest Rates

Downloads 798 ( 27,805)
Citation 1

A Pricing Model for American Options with Stochastic Interest Rates

Number of pages: 29 Posted: 08 Jun 1998 Last Revised: 05 Jun 2008
Ton Vorst and Albert J. Menkveld
VU University Amsterdam - Department of Finance and Financial Sector Management and VU Amsterdam
Downloads 798 (27,371)
Citation 1

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A Pricing Model for American Options with Stochastic Interest Rates

Annals of Operations Research, Vol. 100, No. 1/4, pp. 211-226, 2000
Posted: 24 Jul 2003
Ton Vorst and Albert J. Menkveld
VU University Amsterdam - Department of Finance and Financial Sector Management and VU Amsterdam

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15.

How Do Designated Market Makers Create Value for Small-Caps?

Downloads 769 ( 29,209)
Citation 5

How Do Designated Market Makers Create Value for Small-Caps?

AFA 2008 New Orleans Meetings Paper, EFA 2006 Zurich Meetings
Number of pages: 57 Posted: 14 Mar 2006 Last Revised: 02 Aug 2011
Albert J. Menkveld and Ting Wang
VU Amsterdam and VU University Amsterdam
Downloads 590 (41,167)
Citation 5

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liquidity, liquidity risk, designated market makers, small-cap, volume, volatility, price discovery

How Do Designated Market Makers Create Value for Small-Caps?

Journal of Financial Markets, Vol. 16, 2013
Number of pages: 56 Posted: 13 Feb 2009 Last Revised: 03 Aug 2013
Albert J. Menkveld and Ting Wang
VU Amsterdam and VU University Amsterdam
Downloads 179 (157,548)
Citation 5

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Liquidity, Liquidity Risk, Designated Market Makers, Small-Cap, Volume, Volatility, Price Discovery

16.

Information Revelation in Decentralized Markets

AEA 2017 Annual Meeting Paper
EFA 2017 Annual Meeting Paper
WFA 2017 Annual Meeting Paper
Number of pages: 47 Posted: 28 Apr 2016 Last Revised: 08 Aug 2018
Björn Hagströmer and Albert J. Menkveld
Stockholm University - Stockholm Business School and VU Amsterdam
Downloads 744 (30,601)

Abstract:

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network map, information revelation, information percolation, securities trading, fragmentation

17.

The Informativeness of Domestic and Foreign Investors' Stock Trades: Evidence from the Perfectly Segmented Chinese Market

Journal of Financial Markets, Vol. 10, No. 4, 2007
Number of pages: 36 Posted: 06 Aug 2003 Last Revised: 14 Jun 2008
Kalok Chan, Albert J. Menkveld and Zhishu Yang
CUHK Business School, VU Amsterdam and Tsinghua University - School of Economics & Management
Downloads 539 (46,877)
Citation 21

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18.

Middlemen Interaction and Market Quality

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 40 Posted: 23 Oct 2012 Last Revised: 06 Oct 2013
Albert J. Menkveld and Bart Z. Yueshen
VU Amsterdam and INSEAD - Finance
Downloads 538 (46,983)

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middleman, learning, high-frequency trader, electronic market

19.

Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods

Journal of Business and Economic Statistics, Vol. 25, 2007
Number of pages: 33 Posted: 06 Aug 2003 Last Revised: 18 Jan 2012
Albert J. Menkveld, Siem Jan Koopman and Andre Lucas
VU Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and VU Amsterdam - School of Business and Economics
Downloads 531 (47,785)
Citation 17

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20.

High-Frequency Trading as Viewed Through an Electron Microscope

Financial Analysts Journal, vol. 74, no. 2 (Second Quarter)
Number of pages: 18 Posted: 28 Nov 2016 Last Revised: 23 May 2018
Albert J. Menkveld
VU Amsterdam
Downloads 522 (48,860)

Abstract:

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HFT, nanoseconds, price instability

21.

Asset Price Dynamics with Limited Attention

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 54 Posted: 01 Aug 2010 Last Revised: 17 Jun 2018
Terrence Hendershott, Albert J. Menkveld, Remy Praz and Mark S. Seasholes
University of California, Berkeley - Haas School of Business, VU Amsterdam, Copenhagen Business School - Department of Finance and ASU WP Carey School of Business
Downloads 470 (55,769)
Citation 3

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Transitory Volatility, Limited Attention, Individuals, Institutions, Market Makers

22.

Liquileaks

Number of pages: 47 Posted: 21 Feb 2011 Last Revised: 09 Mar 2012
Albert J. Menkveld and Ting Wang
VU Amsterdam and VU University Amsterdam
Downloads 420 (63,971)
Citation 1

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23.

Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks

Journal of Financial Intermediation, Vol. 17, 2008
Number of pages: 45 Posted: 22 Feb 2002 Last Revised: 14 Jun 2008
Albert J. Menkveld
VU Amsterdam
Downloads 418 (64,373)
Citation 11

Abstract:

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cross-listing, trading, fragmentation, high-frequency, nyse, order-splitting, multi-market trading, fragmented

24.

Dispersion and Skewness of Bid Prices

Number of pages: 56 Posted: 08 Jul 2014 Last Revised: 15 Aug 2017
Boyan Jovanovic and Albert J. Menkveld
New York University - Department of Economics and VU Amsterdam
Downloads 416 (64,716)

Abstract:

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25.

Systemic Risk in Central Clearing: Should Crowded Trades Be Avoided?

Number of pages: 59 Posted: 14 Dec 2013 Last Revised: 08 Oct 2016
Albert J. Menkveld
VU Amsterdam
Downloads 392 (69,499)

Abstract:

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systemic risk, centralized clearing, margin, default fund

26.

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate

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: 44 Posted: 01 Mar 2007 Last Revised: 20 Nov 2012
Albert J. Menkveld, Asani Sarkar and Michel van der Wel
VU Amsterdam, Federal Reserve Bank of New York and Erasmus University Rotterdam
Downloads 385 (70,933)
Citation 4

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riskfree rate, macroeconomic announcements, customer order flow, intermediary, treasury futures

27.

Limit Order Books and Trade Informativeness

EFA 2005 Moscow Meetings
Number of pages: 35 Posted: 04 Feb 2011 Last Revised: 07 Feb 2011
Helena M. Beltran-Lopez, Albert J. Menkveld and Joachim Grammig
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), VU Amsterdam and Eberhard Karls Universitaet Tübingen
Downloads 340 (82,001)
Citation 1

Abstract:

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Informational content of trades, limit order book

28.

Systemic Risk in Real Time: A Risk Dashboard for Central Clearing Parties (CCPs)

Number of pages: 39 Posted: 16 Dec 2016
Wenqian Huang and Albert J. Menkveld
Bank for International Settlements and VU Amsterdam
Downloads 334 (83,728)

Abstract:

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CCP, exposure, systemic risk, real-time

29.

Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets

Number of pages: 44 Posted: 07 Nov 2013 Last Revised: 28 Oct 2015
Albert J. Menkveld, Emiliano Pagnotta and Marius Zoican
VU Amsterdam, Imperial College Business School and University of Toronto - Finance Area
Downloads 310 (90,942)

Abstract:

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Central clearing, price stability, equity volatility, margin requirement, counterparty risk, liquidity

30.

Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes

FRB of New York Staff Report No. 395
Number of pages: 39 Posted: 28 May 2009
Michel van der Wel, Albert J. Menkveld and Asani Sarkar
Erasmus University Rotterdam, VU Amsterdam and Federal Reserve Bank of New York
Downloads 246 (116,360)

Abstract:

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market makers, liquidity supply, signing trades, inventory, information, Treasury futures markets

31.

Equilibrium Bitcoin Pricing

Number of pages: 31 Posted: 17 Oct 2018
Bruno Biais, Christophe Bisiere, Matthieu Bouvard, Catherine Casamatta and Albert J. Menkveld
University of Toulouse 1 - Toulouse School of Economics (TSE), Universite de Toulouse - (IDEI - CRG), McGill University - Desautels Faculty of Management, TSE-University of Toulouse 1 and VU Amsterdam
Downloads 206 (138,979)

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cryptocurrency, asset pricing, bitcoin, equilibrium, GMM

32.

Euro Area Sovereign Yield Dynamics: The Role of Order Imbalance

ECB Working Paper No. 385, EFA 2005 Moscow Meetings Paper
Number of pages: 50 Posted: 10 Dec 2004
Albert J. Menkveld, Yiu Chung Cheung and Frank De Jong
VU Amsterdam, affiliation not provided to SSRN and Tilburg University - Department of Finance
Downloads 169 (165,753)
Citation 5

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government bond, order imbalance, euro, international

33.

Chinese and World Equity Markets: A Review of the Volatilities and Correlations in the First Fifteen Years

China Economic Review, Vol. 20, No. 1, 2009
Number of pages: 39 Posted: 01 Nov 2008 Last Revised: 13 Mar 2009
Kuan-Pin Lin, Albert J. Menkveld and Zhishu Yang
affiliation not provided to SSRN, VU Amsterdam and Tsinghua University - School of Economics & Management
Downloads 132 (203,428)
Citation 3

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China; World Equity Markets, Dynamic Conditional Correlation

34.

Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods

NYU Working Paper No. SC-CFE-04-03
Number of pages: 30 Posted: 07 Nov 2008 Last Revised: 14 Oct 2010
Albert J. Menkveld, Siem Jan Koopman and Andre Lucas
VU Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and VU Amsterdam - School of Business and Economics
Downloads 79 (289,061)
Citation 10

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Efficient price;, Financial markets, High-frequency data, Kalman filter, Unobserved components time series models

35.

Implementation Shortfall with Transitory Price Effects

Appeared in David Easley, Marcos López de Prado, and Maureen O'Hara, 2013, editors, "High-Frequency Trading: New Realities for Traders, Markets and Regulators.", Columbia Business School Research Paper No. 18-31
Number of pages: 24 Posted: 13 Mar 2018
Terrence Hendershott, Charles M. Jones and Albert J. Menkveld
University of California, Berkeley - Haas School of Business, Columbia Business School and VU Amsterdam
Downloads 55 (349,952)

Abstract:

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Implementation shortfall, volatility decomposition, institutional investor

36.

Monitoring CCP Exposure, in Real Time If Needed

"Achieving Financial Stability: Challenges to Prudential Regulation," edited by Douglas D. Evanoff, George G. Kaufman, Agnese Leonello, and Simone Manganelli (2017); ISBN-13: 978-9813223394
Number of pages: 8 Posted: 12 Jan 2018 Last Revised: 16 Jan 2018
Albert J. Menkveld
VU Amsterdam
Downloads 46 (378,460)

Abstract:

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CCP, margin, systemic risk, risk management

37.

Analysing Perceived Downside Risk: The Component Value-at-Risk Framework

European Financial Management, Vol. 10, No. 4, pp. 567-591, December 2004
Number of pages: 25 Posted: 30 Nov 2004
Winfried G. Hallerbach and Albert J. Menkveld
Robeco Asset Management, Quantitative Investment Research and VU Amsterdam
Downloads 31 (435,444)
Citation 2
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38.

Intraday Analysis of Market Integration: Dutch Blue Chips Traded in Amsterdam and New York

Journal of Financial Markets, Vol. 5, No. 1, pp. 57-82, 2002
Posted: 11 Nov 2003
Erik C.J. Hupperets and Albert J. Menkveld
HAL Investments B.V. and VU Amsterdam

Abstract:

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Marketintegration, Cross-list, Stock, Intraday, Amsterdam, NYSE