Albert J. Menkveld : Citation Profile

Are you Albert J. Menkveld?

Tinbergen Instituut (47% share)
Vrije Universiteit Amsterdam (47% share)
Centre for Economic Policy Research (CEPR) (6% share)

20

H index

27

i10 index

1774

Citations

RESEARCH PRODUCTION:

29

Articles

59

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 63
   Journals where Albert J. Menkveld has often published
   Relations with other researchers
   Recent citing documents: 264.    Total self citations: 29 (1.61 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme346
   Updated: 2023-03-25    RAS profile: 2022-08-09    
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Relations with other researchers

Works with:

Gehrig, Thomas (11)

Johannesson, Magnus (10)

Holzmeister, Felix (10)

Dreber, Anna (10)

Schwarz, Marco (6)

Brownlees, Christian (5)

CAPELLE-BLANCARD, Gunther (5)

Dimpfl, Thomas (4)

van Kervel, Vincent (4)

Adrian, Tobias (4)

Abudy, Menachem (4)

Chernov, Mikhail (4)

Dumitrescu, Ariadna (4)

Frömmel, Michael (4)

Gerritsen, Dirk (4)

Chow, Nikolai Sheung-Chi (4)

Ferrara, Gerardo (4)

Caporin, Massimiliano (4)

Deku, Solomon (4)

Alexeev, Vitali (4)

Colliard, Jean-Edouard (4)

Bohorquez Correa, Santiago (4)

FERROUHI, EL MEHDI (4)

Deev, Oleg (4)

Ait-Sahalia, Yacine (4)

BISIÈRE, Christophe (3)

Biais, Bruno (3)

Füllbrunn, Sascha (3)

casamatta, catherine (3)

Huang, Wenqian (3)

Gil-Bazo, Javier (3)

Bos, Charles (2)

Reitz, Stefan (2)

Xiu, Dacheng (2)

Lopez-Lira, Alejandro (2)

Stefanova, Denitsa (2)

Foucault, Thierry (2)

Liew, Chee (2)

Hautsch, Nikolaus (2)

Talavera, Oleksandr (2)

Lof, Matthijs (2)

Patton, Andrew (2)

Mihet, Roxana (2)

Walther, Thomas (2)

He, Xuezhong (Tony) (2)

Rinne, Kalle (2)

Frijns, Bart (2)

Verousis, Thanos (2)

Patel, Vinay (2)

Zhou, Chen (2)

Heath, Davidson (2)

Moinas, Sophie (2)

LINTON, OLIVER (2)

Davies, Ryan (2)

Kassner, Bernhard (2)

Jalkh, Naji (2)

Roy, Saurabh (2)

Theissen, Erik (2)

Sojli, Elvira (2)

Scaillet, Olivier (2)

Zoican, Marius (2)

Pastor, Lubos (2)

Pasquariello, Paolo (2)

Hjalmarsson, Erik (2)

Xia, Shuo (2)

PASCUAL, ROBERTO (2)

Gorbenko, Arseny (2)

Vilkov, Grigory (2)

Smales, Lee (2)

Horenstein, Alex (2)

Pelizzon, Loriana (2)

Regis, Luca (2)

Wong, Wing-Keung (2)

Schenk-Hoppé, Klaus (2)

Rakowski, David (2)

Sarno, Lucio (2)

Putnins, Talis (2)

Vasios, Michalis (2)

Jurkatis, Simon (2)

Park, Andreas (2)

Vogel, Sebastian (2)

Hurlin, Christophe (2)

Tonks, Ian (2)

Nielsson, Ulf (2)

Ranaldo, Angelo (2)

Wolff, Christian (2)

Prokopczuk, Marcel (2)

Lajaunie, Quentin (2)

Kearney, Fearghal (2)

Taylor, Nick (2)

Palan, Stefan (2)

Bouri, Elie (2)

Harris, Jeffrey (2)

Wilhelmsson, Anders (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Albert J. Menkveld.

Is cited by:

Pelizzon, Loriana (40)

Foucault, Thierry (23)

Degryse, Hans (23)

Johansson, Anders (18)

Bellia, Mario (18)

Moinas, Sophie (16)

Ranaldo, Angelo (15)

Biais, Bruno (14)

De Winne, Rudy (13)

LINTON, OLIVER (13)

Theissen, Erik (12)

Cites to:

Biais, Bruno (16)

Pedersen, Lasse (13)

Grossman, Sanford (13)

Pagano, Marco (11)

Madhavan, Ananth (11)

Foucault, Thierry (11)

Koopman, Siem Jan (10)

Vayanos, Dimitri (10)

Chakravarty, Sugato (9)

Engle, Robert (8)

Campbell, John (7)

Main data

Where Albert J. Menkveld has published?

Journals with more than one article published# docs
Journal of Finance5
Journal of Financial Markets4
Journal of Financial Economics2
Review of Financial Studies2
Annual Review of Financial Economics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute12
Post-Print / HAL5
CFS Working Paper Series / Center for Financial Studies (CFS)4
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics4
Staff Reports / Federal Reserve Bank of New York2
Working Papers / HAL2
BIS Working Papers / Bank for International Settlements2

Recent works citing Albert J. Menkveld (2022 and 2021)

YearTitle of citing document
2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian ; Wang, Linqi ; Linton, Oliver. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022009.

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2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian ; Wang, Linqi ; Linton, Oliver. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022002.

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2021Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066.

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2022Developing a Framework for Real-Time Trading in a Laboratory Financial Market. (2022). Marner-Hausen, Mark. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:172.

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2022When is the Order to Trade Ratio fee effective?. (2022). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:11.

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2022When is the Order to Trade fee effective?. (2021). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:8.

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2022New closed-form approximations in multi-asset market making. (2018). Vieira, Douglas ; Evangelista, David. In: Papers. RePEc:arx:papers:1810.04383.

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2021Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2021Transaction Cost Analytics for Corporate Bonds. (2019). Xu, Renyuan ; Lehalle, Charles-Albert ; Guo, Xin. In: Papers. RePEc:arx:papers:1903.09140.

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2021Adversarial Attacks on Machine Learning Systems for High-Frequency Trading. (2020). Goldstein, Tom ; Patel, Ankit B ; Schwarzschild, Avi ; Goldblum, Micah. In: Papers. RePEc:arx:papers:2002.09565.

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2021Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts. (2021). Yu, Chuyi ; Jos'e E. Figueroa-L'opez, ; Capponi, Agostino. In: Papers. RePEc:arx:papers:2101.03086.

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2021Evidence and Behaviour of Support and Resistance Levels in Financial Time Series. (2021). Chung, Ken ; Bellotti, Anthony. In: Papers. RePEc:arx:papers:2101.07410.

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2021The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502.

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2021CeFi vs. DeFi -- Comparing Centralized to Decentralized Finance. (2021). Gervais, Arthur ; Lazzaretti, Ludovico ; Afonin, Yaroslav ; Zhou, Liyi ; Qin, Kaihua. In: Papers. RePEc:arx:papers:2106.08157.

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2021A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters. (2021). Kneip, Alois ; Bada, Oualid ; Sickles, Robin C ; Gualtieri, James ; Mensinger, Tim ; Liebl, Dominik. In: Papers. RePEc:arx:papers:2109.10950.

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2021Deep Hawkes Process for High-Frequency Market Making. (2021). Kumar, Pankaj. In: Papers. RePEc:arx:papers:2109.15110.

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2022Optimal incentives in a limit order book: a SPDE control approach. (2021). Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2112.00375.

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2022Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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2022High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach. (2022). Guo, CE ; Luk, Wayne ; Weston, Stephen ; Vytelingum, Perukrishnen ; Gao, Kang. In: Papers. RePEc:arx:papers:2208.13654.

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2022Are Front-running HFTs Harmful?. (2022). Cheng, Xue ; Xu, Ziyi. In: Papers. RePEc:arx:papers:2211.06046.

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2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

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2021Does mining fuel bubbles? An experimental study on cryptocurrency markets. (2021). Xu, Yilong ; Sofianos, Andis ; Lambrecht, Marco. In: Working Papers. RePEc:awi:wpaper:0703.

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2021Systemic Risk and Portfolio Diversification: Evidence from the Futures Market. (2021). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:21-50.

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2021Non-Standard Errors. (2021). Kirchler, Michael ; Johannesson, Magnus ; Huber, Juergen ; Holzmeister, Felix ; Dreber, Anna ; Menkveld, Albert J ; Gil-Bazo, Javier ; Brownlees, Christian ; Weitzel, Utz ; Razen, Michael ; Neussus, Sebastian. In: Working Papers. RePEc:bge:wpaper:1303.

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2022Information flows and the law of one price. (2022). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: Discussion Papers. RePEc:bir:birmec:22-05.

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2022Systemic Risk in Markets with Multiple Central Counterparties. (2022). , Luitgard ; Aldasoro, Inaki. In: BIS Working Papers. RePEc:bis:biswps:1052.

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2021Quantifying the high-frequency trading arms race. (2021). O'Neill, Peter ; Budish, Eric ; Aquilina, Matteo. In: BIS Working Papers. RePEc:bis:biswps:955.

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2021Non-bank financial intermediaries and financial stability. (2021). Schrimpf, Andreas ; Shin, Hyun Song ; Aramonte, Sirio. In: BIS Working Papers. RePEc:bis:biswps:972.

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2021Effect of positive tone in MD&A disclosure on capital structure adjustment speed: evidence from China. (2021). Yan, Lina ; Wu, Duowen ; Wang, Qian. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:4:p:5809-5845.

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2022Premiums between Cross?listed Shares: Determinants and Assessment of Financial Reform Policy Effectiveness. (2022). Liu, Xue ; Xu, Ruihui ; Zhang, Xuechun. In: China & World Economy. RePEc:bla:chinae:v:30:y:2022:i:3:p:75-99.

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2021Is faster or slower trading better? An examination of order type execution speed and costs. (2021). Wu, Fei ; Huang, Tao ; Garvey, Ryan. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:326-363.

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2022Do short?term institutions exploit stock return anomalies?. (2022). Jiang, George J ; Huang, Wei ; Chen, Yinfei. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:69-94.

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2022Stock splits and retail trading. (2022). van Ness, Bonnie ; Cox, Justin. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:4:p:731-750.

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2022Capital market liberalization and auditors accounting adjustments: Evidence from a quasi?experiment. (2022). Zhang, Min ; Wang, Cyndia ; Hope, Olekristian ; Deng, Yingwen. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:1-2:p:215-248.

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2022Liquidity measurement: A comparative review of the literature with a focus on high frequency. (2022). Ekinci, Cumhur ; Guloglu, Zeynep Cobandag. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:41-74.

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2022High?frequency trading: Definition, implications, and controversies. (2022). Hsu, Weihuei ; Young, Martin R ; Zaharudin, Khairul Zharif. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:75-107.

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2021Anonymous Trading in Equities. (2021). Meling, Tom Grimstvedt. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:707-754.

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2021Tracking Retail Investor Activity. (2021). Zhang, Xiaoyan ; Jones, Charles M ; Boehmer, Ekkehart. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2249-2305.

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2022Clients Connections: Measuring the Role of Private Information in Decentralized Markets. (2022). Pinter, Gabor ; Kondor, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:505-544.

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2021Round?number biases on trading time: Evidence from international markets. (2021). Chen, Tao. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:469-495.

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2022Preopening price indications and market quality: Evidence from NYSE Rule 48. (2022). Kim, Youngsoo ; Chuwonganant, Chairat ; Chung, Kee H. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:205-228.

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2022Periodicity of trading activity in foreign exchange markets. (2022). Chen, Tao ; Chang, Haodong. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:445-465.

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2022How is Earnings News Transmitted to Stock Prices?. (2022). Martineau, Charles ; Gregoire, Vincent. In: Journal of Accounting Research. RePEc:bla:joares:v:60:y:2022:i:1:p:261-297.

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2021Optimal make–take fees for market making regulation. (2021). Rosenbaum, Mathieu ; Mastrolia, Thibaut ; el Euch, Omar ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:109-148.

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2022Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders. (2022). Liaudinskas, Karolis. In: Working Paper. RePEc:bno:worpap:2022_6.

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2021Comparing minds and machines: implications for financial stability. (2021). Haldane, Andy ; Buckmann, Marcus ; Huser, Anne-Caroline. In: Bank of England working papers. RePEc:boe:boeewp:0937.

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2021Non-standard errors. (2021). Jurkatis, Simon ; Gehrig, Thomas ; Ferrara, Gerardo. In: Bank of England working papers. RePEc:boe:boeewp:0955.

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2022Margin procyclicality and the collateral cycle. (2022). Ranaldo, Angelo ; Ferrara, Gerardo ; Benos, Evangelos. In: Bank of England working papers. RePEc:boe:boeewp:0966.

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2022Information chasing versus adverse selection. (2022). Zou, Junyuan ; Wang, Chaojun ; Pinter, Gabor. In: Bank of England working papers. RePEc:boe:boeewp:0971.

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2022Efficiency of central clearing under liquidity stress. (2022). Gao, Haotian ; Caccioli, Fabio ; Bardoscia, Marco. In: Bank of England working papers. RePEc:boe:boeewp:1002.

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2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2214.

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2022.

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2021A Factor Model for Cryptocurrency Returns. (2021). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp710.

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2022Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings. (2022). Boadu-Sebbe, Gregory. In: CERGE-EI Working Papers. RePEc:cer:papers:wp738.

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2022Big data applications with theoretical models and social media in financial management. (2022). Gupta, Shivam ; Saito, Taiga. In: CARF F-Series. RePEc:cfi:fseres:cf550.

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2021Commonality and contrarian trading among algorithmic traders. (2021). Prasanna, Krishna P ; Arumugam, Devika. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000393.

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2021What do insiders know? Evidence from insider trading around share repurchases and SEOs. (2021). michaely, roni ; Cziraki, Peter ; Lyandres, Evgeny. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119918308824.

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2021Flights-to-control: Time variation in the value of a vote. (2021). Easton, Steve ; Docherty, Paul ; Pinder, Sean. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302340.

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2021Short-term debt catering. (2021). Lugo, Stefano. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302613.

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2021Returns and network growth of digital tokens after cross-listings. (2021). Nikbakht, Ehsan ; Benedetti, Hugo . In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302972.

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2021Strategic insider trading in foreign exchange markets. (2021). Szilagyi, Peter ; Batten, Jonathan ; Lonarski, Igor. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119920302625.

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2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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2022Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment. (2022). Tian, Xiao Jason ; Kalev, Petko S ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001415.

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2022Machine learning and speed in high-frequency trading. (2022). He, Xuezhong (Tony) ; Jianwei, LI ; Arifovic, Jasmina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001439.

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2022Entrepreneurial incentives and the role of initial coin offerings. (2022). , Maarten ; Garratt, Rodney J. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:142:y:2022:i:c:s0165188921001068.

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2022Payments on digital platforms: Resiliency, interoperability and welfare. (2022). Wong, Tsz-Nga ; Chiu, Jonathan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:142:y:2022:i:c:s0165188921001081.

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2022Reinforcement Learning Equilibrium in Limit Order Markets. (2022). Lin, Shen ; He, Xue-Zhong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002019.

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2022Are high frequency traders responsible for extreme price movements?. (2022). Westerholm, Joakim P ; Prodromou, Tina. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:94-111.

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2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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2021Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks. (2021). Anghel, Dan Gabriel ; Cepoi, Cosmin-Octavian ; Pop, Ionu Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:302-318.

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2022Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction. (2022). Gao, Tianqing ; Mei, Xiaowen ; Pan, Qunxing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001947.

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2022Economic uncertainty and national bitcoin trading activity. (2022). Geldner, Teo ; Wustenfeld, Jan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002199.

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2021Can HFT profit in Chinese stock market?. (2021). Liu, Wei. In: Economics Letters. RePEc:eee:ecolet:v:209:y:2021:i:c:s016517652100392x.

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2022Intertemporal variation in abnormal volume around earnings announcements: “Distraction” or “flocking-and-dispersing”?. (2022). Nikiforov, Andrei L ; Ph, Ivo. In: Economics Letters. RePEc:eee:ecolet:v:218:y:2022:i:c:s016517652200249x.

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2022Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour. (2022). Poti, Valerio ; Morone, Andrea ; Caferra, Rocco. In: Economics Letters. RePEc:eee:ecolet:v:218:y:2022:i:c:s0165176522002555.

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2022A wavelet method for panel models with jump discontinuities in the parameters. (2022). Sickles, R C ; Gualtieri, J ; Mensinger, T ; Liebl, D ; Kneip, A ; Bada, O. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:399-422.

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2022Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066.

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2022Relative performance evaluation for dynamic contracts in a large competitive market. (2022). Phillip, Sheung Chi ; Ma, Guiyuan ; Han, Jinhui. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:2:p:768-780.

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2021The speed of stock price adjustment to corporate announcements: Insights from Turkey. (2021). Hasan, Afan ; Simsek, Koray D ; Simsir, Serif Aziz ; Ersan, Oguz. In: Emerging Markets Review. RePEc:eee:ememar:v:47:y:2021:i:c:s1566014120305872.

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2021Liquidity provider incentives in fragmented securities markets. (2021). Panz, Sven ; Lausen, Jens ; Gomber, Peter ; Clapham, Benjamin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:16-38.

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2021In search of retail investors: The effect of retail investor attention on odd lot trades. (2021). Schmidt, Markus G ; Kupfer, Alexander. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:315-326.

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2021City goes dark: Dark trading and adverse selection in aggregate markets. (2021). Sun, Yuxin ; Diaz-Rainey, Ivan ; Aquilina, Matteo ; Ibikunle, Gbenga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:1-22.

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2022Non-marketability and one-day selling lockup. (2022). Wang, Jun ; Su, Tie ; Bian, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:1-23.

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2022Small is beautiful? How the introduction of mini futures contracts affects the regular contracts. (2022). Theissen, Erik ; Greppmair, Stefan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:19-38.

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2021The challenges of oil investing: Contango and the financialization of commodities. (2021). Moneta, Fabio ; Chincarini, Ludwig B. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003315.

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2022Capital market opening and green innovation——Evidence from Shanghai-Hong Kong stock connect and the Shenzhen-Hong Kong stock connect. (2022). Sha, Yezhou ; Zhang, Ping ; Wang, Yiru ; Xu, Yifan. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s014098832200216x.

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2021Digitalization in the financial industry: A contingency approach of entrepreneurial orientation and strategic vision on digitalization. (2021). Kraus, Sascha ; Kallmunzer, Andreas ; Coen, J P ; Niemand, Thomas ; Maalaoui, Adnane. In: European Management Journal. RePEc:eee:eurman:v:39:y:2021:i:3:p:317-326.

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2021The global financial crisis and stock market migrations: An analysis of family and non-family firms in Germany. (2021). Vendrasco, Marco ; Rapp, Marc Steffen ; Beyenbach, Johannes ; Bessler, Wolfgang. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000351.

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2022High-frequency trading and market quality: The case of a “slightly exposed” market. (2022). Ekinci, Cumhur ; Ersan, Ouz. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003185.

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2022A bibliometric review of financial market integration literature. (2022). Yarovaya, Larisa ; Paltrinieri, Andrea ; Oriani, Marco Ercole ; Goodell, John W ; Patel, Ritesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000151.

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2022Liquidity in the cryptocurrency market and commonalities across anomalies. (2022). Zhu, Yifeng ; Liu, Jinyu ; Jiang, Lei ; Dong, Bingbing . In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000679.

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2022Trading activity around chapter 11 filing. (2022). Lambertides, Neophytos ; Chelley-Steeley, Patricia L. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922000989.

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2022The winners curse in high-tech enterprise certification: Evidence from stock price crash risk. (2022). Yu, Chia-Feng ; Bai, Min ; Li, Shihe ; Lien, Donald. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001387.

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2022Who buys Bitcoin? The cultural determinants of Bitcoin activity. (2022). Roh, Tai-Yong ; Garel, Alexandre ; Frijns, Bart ; Foley, Sean. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003350.

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2023Information flows and the law of one price. (2023). Tran, VU ; Talavera, Oleksandr ; Fan, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004161.

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2021From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks. (2021). Matkovskyy, Roman ; Bouraoui, Taoufik ; Dowling, Michael ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309894.

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2021Fragmentation in the Bitcoin market: Evidence from multiple coexisting order books. (2021). Hewitt, Kenji ; Samarbakhsh, Laleh ; Jeon, Yoontae. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320301136.

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2021Do intra-day auctions improve market liquidity?. (2021). Zhou, Zhou ; Leung, Henry ; Gan, Quan. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315889.

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2021Intraday interactions between high-frequency trading and price efficiency. (2021). Hellara, Slaheddine ; ben Ammar, Imen. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316767.

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2021Fundamental anomalies and the size puzzle in China: A data mining approach. (2021). Chang, Danting. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317219.

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More than 100 citations found, this list is not complete...

Works by Albert J. Menkveld:

YearTitleTypeCited
2021The Economics of Central Clearing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article5
2016The Economics of High-Frequency Trading: Taking Stock In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article69
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article34
2019The cost of clearing fragmentation In: BIS Working Papers.
[Full Text][Citation analysis]		paper3
2019The cost of clearing fragmentation.(2019) In: Bank of England working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2019Central counterparty exposure in stressed markets In: BIS Working Papers.
[Full Text][Citation analysis]		paper1
2004Analysing Perceived Downside Risk: the Component Value?at?Risk Framework In: European Financial Management.
[Full Text][Citation analysis]		article4
2014High-Frequency Traders and Market Structure In: The Financial Review.
[Full Text][Citation analysis]		article12
2008Competition for Order Flow and Smart Order Routing Systems In: Journal of Finance.
[Full Text][Citation analysis]		article127
2006Competition for Order Flow and Smart Order Routing Systems.(2006) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127		paper
2006Competition for order flow and smart order routing systems.(2006) In: HEC Research Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127		paper
2008Competition for Order Flow and Smart Order Routing Systems.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 127		paper
2008Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount In: Journal of Finance.
[Full Text][Citation analysis]		article155
2006Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount.(2006) In: Serie Research Memoranda.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 155		paper
2011Does Algorithmic Trading Improve Liquidity? In: Journal of Finance.
[Full Text][Citation analysis]		article493
2008Does algorithmic trading improve liquidity?.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 493		paper
2019High?Frequency Trading around Large Institutional Orders In: Journal of Finance.
[Full Text][Citation analysis]		article48
2017High-Frequency Trading around Large Institutional Orders.(2017) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2019Information Revelation in Decentralized Markets In: Journal of Finance.
[Full Text][Citation analysis]		article17
1997VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES In: Journal of Financial Research.
[Full Text][Citation analysis]		article8
2021Non-Standard Errors In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper2
.() In: .
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2021Non-Standard Errors.(2021) In: CESifo Working Paper Series.
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2021Non-Standard Errors.(2021) In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Post-Print.
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This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2021Non-Standard Errors.(2021) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Non-standard errors.(2021) In: Economics Working Papers.
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This paper has another version. Agregated cites: 2		paper
2021Non-standard errors.(2021) In: IWH Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Non-standard errors.(2021) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2020Equilibrium Bitcoin Pricing In: EconPol Working Paper.
[Full Text][Citation analysis]		paper44
2019Equilibrium Bitcoin Pricing.(2019) In: 2019 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
2021Equilibrium Bitcoin Pricing.(2021) In: TSE Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
2012Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article16
2004Euro area sovereign yield dynamics: the role of order imbalance In: Working Paper Series.
[Full Text][Citation analysis]		paper13
2006Euro-Area Sovereign Yield Dynamics: the role of order imbalance.(2006) In: Serie Research Memoranda.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2004Understanding limit order book depth: conditioning on trade informativeness In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]		paper1
2009Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years In: China Economic Review.
[Full Text][Citation analysis]		article31
2007The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market In: Journal of Financial Markets.
[Full Text][Citation analysis]		article51
2013How do designated market makers create value for small-caps? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article22
2013High frequency trading and the new market makers In: Journal of Financial Markets.
[Full Text][Citation analysis]		article232
2011High Frequency Trading and the New-Market Makers.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 232		paper
2002Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York In: Journal of Financial Markets.
[Full Text][Citation analysis]		article38
2000Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York.(2000) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38		paper
2001Market dynamics in the Netherlands: Competition policy and the role of small firms In: International Journal of Industrial Organization.
[Full Text][Citation analysis]		article29
2014Price pressures In: Journal of Financial Economics.
[Full Text][Citation analysis]		article29
2010Price pressures.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2017Shades of darkness: A pecking order of trading venues In: Journal of Financial Economics.
[Full Text][Citation analysis]		article27
2015Shades of Darkness: A Pecking Order of Trading Venues.(2015) In: 2015 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2008Splitting orders in overlapping markets: A study of cross-listed stocks In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article26
2006Splitting orders in overlapping markets: a study of cross-listed stocks.(2006) In: Serie Research Memoranda.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
1999Are small firms really sub-optimal?: compensating factor differentials in small Dutch manufacturing firms In: Scales Research Reports.
[Full Text][Citation analysis]		paper1
1999Are Small Firms Really Sub-Optimal?: Compensating Factor Differentials in Small Dutch Manufacturing Firms..(1999) In: NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2001Splitting Orders in Fragmented Markets; evidence from cross-listed stocks In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper1
2007Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures In: Staff Reports.
[Full Text][Citation analysis]		paper0
2009Are market makers uninformed and passive? Signing trades in the absence of quotes In: Staff Reports.
[Full Text][Citation analysis]		paper2
2009Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes.(2009) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1996The Decision Between Internal and External R&D. In: NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
[Citation analysis]		paper32
2017Need for Speed? Exchange Latency and Liquidity In: Post-Print.
[Citation analysis]		paper70
2016Need for Speed? Exchange Latency and Liquidity.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		paper
2017Need for Speed? Exchange Latency and Liquidity.(2017) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		article
2014Need for Speed? Exchange Latency and Liquidity.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		paper
2006Competition for Order Flow Smart Order Routing Systems In: Post-Print.
[Citation analysis]		paper6
2006Competition for Order Flow Smart Order Routing Systems.(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 6		paper
2016Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets In: Working Papers.
[Full Text][Citation analysis]		paper7
2019The Flash Crash: A Cautionary Tale About Highly Fragmented Markets In: Management Science.
[Full Text][Citation analysis]		article12
1999Firm Size and Efficiency in Innovation: Reply. In: Small Business Economics.
[Full Text][Citation analysis]		article2
1994Volatility Patterns and Spillovers in Bund Futures. In: Monash Econometrics and Business Statistics Working Papers.
[Citation analysis]		paper3
2017Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]		article20
2022Asset Price Dynamics with Limited Attention In: Review of Financial Studies.
[Full Text][Citation analysis]		article1
2010Middlemen in Limit Order Markets In: 2010 Meeting Papers.
[Citation analysis]		paper24
2016Dispersion and Skewness of Bid Prices In: 2016 Meeting Papers.
[Full Text][Citation analysis]		paper2
2000A Pricing Model for American Options with Gaussian Interest Rates In: Annals of Operations Research.
[Full Text][Citation analysis]		article6
2012Limit order books and trade informativeness In: The European Journal of Finance.
[Full Text][Citation analysis]		article6
2011Limit order books and trade informativeness.(2011) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
1998A Pricing Model for American Options with Stochastic Interest Rates In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
1999Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2001Splitting Orders in Fragmented Markets In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2003Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2007Macro News, Riskfree Rates, and the Intermediary In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Central Clearing and Asset Prices In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper10
2022Equilibrium Bid-Price Dispersion In: Journal of Political Economy.
[Full Text][Citation analysis]		article1
2006Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper15
2017Monitoring CCP Exposure, in Real Time if Needed In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2005Understanding the limit order book: Conditioning on trade informativeness In: CFR Working Papers.
[Full Text][Citation analysis]		paper3
2008Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2023. Contact: CitEc Team