Albert J. Menkveld

Vrije Universiteit Amsterdam

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

Tinbergen Institute

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

  • Vrije Universiteit Amsterdam

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SCHOLARLY PAPERS

41

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405

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716

Scholarly Papers (41)

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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
Vrije Universiteit Amsterdam
Downloads 11,981 (382)
Citation 83

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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 Vrije Universiteit Amsterdam
Downloads 5,374 (1,605)
Citation 63

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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 Vrije Universiteit Amsterdam
Downloads 4,329 (2,375)
Citation 117

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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 Vrije Universiteit Amsterdam
Downloads 3,024 (4,377)
Citation 33

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

5.

The Economics of High-Frequency Trading: Taking Stock

Downloads 2,672 ( 5,394)
Citation 22

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
Vrije Universiteit Amsterdam
Downloads 2,672 (5,289)
Citation 22

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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
Vrije Universiteit 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 Vrije Universiteit Amsterdam
Downloads 2,040 (8,447)
Citation 28

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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
Vrije Universiteit Amsterdam and INSEAD - Finance
Downloads 2,023 (8,559)
Citation 30

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flash crash, large seller, electronic market, broken arbitrage

8.

Need for Speed? Exchange Latency and Liquidity

Review of Financial Studies 30 (2017), 1188--1228
Number of pages: 52 Posted: 28 May 2014 Last Revised: 09 Jun 2019
Albert J. Menkveld and Marius Zoican
Vrije Universiteit Amsterdam and University of Toronto at Mississauga - Department of Management
Downloads 1,914 (9,396)
Citation 25

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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
Vrije Universiteit Amsterdam, INSEAD - Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,303 (17,208)
Citation 15

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dark pool, pecking order, fragmentation

10.

Competition for Order Flow and Smart Order Routing Systems

Downloads 1,181 ( 19,936)
Citation 75

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 Vrije Universiteit Amsterdam
Downloads 1,161 (20,113)
Citation 4

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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 Vrije Universiteit Amsterdam
Downloads 20 (613,268)
Citation 26
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Market fragmentation, centralized limit order book, smart routers, trading fees, trade-throughs

11.

Information Revelation in Decentralized Markets

Journal of Finance, Forthcoming, Swedish House of Finance Research Paper No. 19-2
Number of pages: 53 Posted: 28 Apr 2016 Last Revised: 21 Aug 2019
Björn Hagströmer and Albert J. Menkveld
Stockholm University - Stockholm Business School and Vrije Universiteit Amsterdam
Downloads 1,120 (21,616)
Citation 9

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

12.

Equilibrium Bitcoin Pricing

Number of pages: 41 Posted: 17 Oct 2018 Last Revised: 13 Jul 2020
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), University of Toulouse 1 - Toulouse School of Economics (TSE), TSE-University of Toulouse 1 and Vrije Universiteit Amsterdam
Downloads 1,104 (22,060)
Citation 39

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cryptocurrency, asset pricing, bitcoin, equilibrium, GMM

13.

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
Vrije Universiteit Amsterdam
Downloads 1,095 (22,356)
Citation 27

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

14.

High Frequency Traders and Market Structure

Downloads 968 ( 26,689)
Citation 11

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
Vrije Universiteit Amsterdam
Downloads 967 (26,303)
Citation 2

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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
Vrije Universiteit Amsterdam
Downloads 1 (772,154)
Citation 2
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high‐frequency traders, market fragmentation, market structure

15.

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, Vrije Universiteit Amsterdam and Tsinghua University - School of Economics & Management
Downloads 923 (28,651)
Citation 35

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16.

A Pricing Model for American Options with Stochastic Interest Rates

Downloads 824 ( 33,590)
Citation 3

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 Vrije Universiteit Amsterdam
Downloads 824 (33,080)
Citation 3

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A Pricing Model for American Options with Stochastic Interest Rates

Posted: 24 Jul 2003
Ton Vorst and Albert J. Menkveld
VU University Amsterdam - Department of Finance and Financial Sector Management and Vrije Universiteit Amsterdam

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17.

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

Downloads 823 ( 33,636)
Citation 15

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
Vrije Universiteit Amsterdam and VU University Amsterdam
Downloads 627 (47,862)
Citation 2

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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
Vrije Universiteit Amsterdam and VU University Amsterdam
Downloads 196 (177,925)
Citation 18

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

18.

Equilibrium Bid-Price Dispersion

Number of pages: 44 Posted: 08 Jul 2014 Last Revised: 07 Aug 2020
Boyan Jovanovic and Albert J. Menkveld
New York University - Department of Economics and Vrije Universiteit Amsterdam
Downloads 652 (46,118)

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19.

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
Vrije Universiteit Amsterdam
Downloads 612 (50,115)
Citation 7

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HFT, nanoseconds, price instability

20.

Asset Price Dynamics with Limited Attention

Number of pages: 73 Posted: 01 Aug 2010 Last Revised: 14 Dec 2020
Terrence Hendershott, Albert J. Menkveld, Remy Praz and Mark S. Seasholes
University of California, Berkeley - Haas School of Business, Vrije Universiteit Amsterdam, Copenhagen Business School - Department of Finance and ASU WP Carey School of Business
Downloads 605 (50,913)
Citation 8

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

21.

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
Vrije Universiteit Amsterdam and INSEAD - Finance
Downloads 579 (53,830)
Citation 8

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middleman, learning, high-frequency trader, electronic market

22.

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
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 561 (55,925)
Citation 16

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23.

Central Counterparty Exposure in Stressed Markets

Downloads 557 ( 56,446)
Citation 2

Central Counterparty Exposure in Stressed Markets

Management Science, Forthcoming
Number of pages: 49 Posted: 16 Dec 2016 Last Revised: 02 Feb 2020
Wenqian Huang, Albert J. Menkveld and Shihao Yu
Bank for International Settlements, Vrije Universiteit Amsterdam and VU Amsterdam
Downloads 534 (58,861)
Citation 3

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Central counterparties (CCPs), Crowding risk, Market stress

Central Counterparty Exposure in Stressed Markets

BIS Working Paper No. 833
Number of pages: 51 Posted: 19 Dec 2019
Wenqian Huang, Albert J. Menkveld and Shihao Yu
Bank for International Settlements, Vrije Universiteit Amsterdam and VU Amsterdam
Downloads 23 (591,713)

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central counterparties (CCPs), crowding risk, market stress

24.

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, Vrije Universiteit Amsterdam and Tsinghua University - School of Economics & Management
Downloads 554 (56,850)
Citation 14

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25.

Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity Supply

Number of pages: 62 Posted: 06 Feb 2019 Last Revised: 31 Oct 2019
Agostino Capponi, Albert J. Menkveld and Hongzhong Zhang
Columbia University, Vrije Universiteit Amsterdam and Columbia University
Downloads 466 (70,568)
Citation 1

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large orders, market making, liquidity supply, liquidity demand

26.

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

Number of pages: 58 Posted: 14 Dec 2013 Last Revised: 23 Jul 2019
Albert J. Menkveld
Vrije Universiteit Amsterdam
Downloads 449 (73,850)

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systemic risk, centralized clearing, margin, default fund

27.

Liquileaks

Number of pages: 47 Posted: 21 Feb 2011 Last Revised: 09 Mar 2012
Albert J. Menkveld and Ting Wang
Vrije Universiteit Amsterdam and VU University Amsterdam
Downloads 437 (76,249)
Citation 6

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28.

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
Vrije Universiteit Amsterdam
Downloads 431 (77,481)
Citation 11

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

29.

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
Vrije Universiteit Amsterdam, Federal Reserve Bank of New York and Erasmus University Rotterdam
Downloads 404 (83,638)
Citation 8

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

30.

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), Vrije Universiteit Amsterdam and Eberhard Karls Universität Tübingen
Downloads 386 (88,094)

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Informational content of trades, limit order book

31.

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
Vrije Universiteit Amsterdam, Imperial College Business School and University of Toronto at Mississauga - Department of Management
Downloads 370 (92,554)

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

32.

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, Vrije Universiteit Amsterdam and Federal Reserve Bank of New York
Downloads 269 (131,116)
Citation 1

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

33.

The Economics of Central Clearing

Annual Review of Financial Economics (https://doi.org/10.1146/annurev-financial-100520-100321, Forthcoming).
Number of pages: 28 Posted: 08 Dec 2020
Albert J. Menkveld and Guillaume Vuillemey
Vrije Universiteit Amsterdam and HEC Paris
Downloads 205 (170,789)

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Central clearing, Counterparty risk, Margin, Default waterfall, Systemic risk

34.

The Cost of Clearing Fragmentation

Downloads 183 (189,323)
Citation 3

The Cost of Clearing Fragmentation

BIS Working Paper No. 826
Number of pages: 47 Posted: 13 Dec 2019
Evangelos Benos, Wenqian Huang, Albert J. Menkveld and Michalis Vasios
Bank of England, Bank for International Settlements, Vrije Universiteit Amsterdam and Norges Bank Investment Management (NBIM)
Downloads 132 (249,297)

Abstract:

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central clearing, CCP basis, collateral, fragmentation

The Cost of Clearing Fragmentation

Number of pages: 40 Posted: 01 Jun 2019 Last Revised: 04 Nov 2020
Evangelos Benos, Wenqian Huang, Albert J. Menkveld and Michalis Vasios
Bank of England, Bank for International Settlements, Vrije Universiteit Amsterdam and Norges Bank Investment Management (NBIM)
Downloads 51 (445,642)
Citation 3

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central clearing, CCP basis, collateral, fragmentation

35.

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
Vrije Universiteit Amsterdam, affiliation not provided to SSRN and Tilburg University - Department of Finance
Downloads 182 (190,234)

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government bond, order imbalance, euro, international

36.

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 Vrije Universiteit Amsterdam
Downloads 154 (219,397)
Citation 5

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Implementation shortfall, volatility decomposition, institutional investor

37.

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, Vrije Universiteit Amsterdam and Tsinghua University - School of Economics & Management
Downloads 136 (242,639)

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China; World Equity Markets, Dynamic Conditional Correlation

38.

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
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 86 (333,424)
Citation 1

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

39.

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
Vrije Universiteit Amsterdam
Downloads 76 (358,709)

Abstract:

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CCP, margin, systemic risk, risk management

40.

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

Number of pages: 25 Posted: 30 Nov 2004
Winfried G. Hallerbach and Albert J. Menkveld
Robeco Asset Management, Quantitative Investment Research and Vrije Universiteit Amsterdam
Downloads 31 (526,476)
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41.

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

Posted: 11 Nov 2003
Erik C.J. Hupperets and Albert J. Menkveld
HAL Investments B.V. and Vrije Universiteit Amsterdam

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