Albert J. Menkveld : Citation Profile


Are you Albert J. Menkveld?

Tinbergen Instituut (50% share)
Vrije Universiteit Amsterdam (50% share)

15

H index

21

i10 index

1182

Citations

RESEARCH PRODUCTION:

24

Articles

44

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 47
   Journals where Albert J. Menkveld has often published
   Relations with other researchers
   Recent citing documents: 122.    Total self citations: 14 (1.17 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme346
   Updated: 2021-03-01    RAS profile: 2019-10-18    
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Relations with other researchers


Works with:

Zoican, Marius (4)

BISIÈRE, Christophe (2)

Biais, Bruno (2)

casamatta, catherine (2)

van Kervel, Vincent (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 (23)

Degryse, Hans (18)

Foucault, Thierry (17)

Johansson, Anders (17)

Bellia, Mario (12)

Schnabel, Claus (11)

Ranaldo, Angelo (10)

Theissen, Erik (10)

Feng, Xunan (10)

De Winne, Rudy (9)

Fleming, Michael (9)

Cites to:

Biais, Bruno (13)

Pedersen, Lasse (12)

Grossman, Sanford (11)

Madhavan, Ananth (11)

Stoll, Hans (10)

Chakravarty, Sugato (9)

Pagano, Marco (8)

Koopman, Siem Jan (7)

Miller, Merton (7)

Foucault, Thierry (6)

Vayanos, Dimitri (6)

Main data


Where Albert J. Menkveld has published?


Journals with more than one article published# docs
Journal of Finance4
Journal of Financial Markets4
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute12
Post-Print / HAL4
CFS Working Paper Series / Center for Financial Studies (CFS)4
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics4
Working Papers / HAL2
Staff Reports / Federal Reserve Bank of New York2

Recent works citing Albert J. Menkveld (2021 and 2020)


YearTitle of citing document
2020Maximum Order Size and Agricultural Futures Market Quality: Evidence from a Natural Experiment. (2020). Robe, Michel A ; Hu, Zhepeng ; Peng, Kun. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304596.

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2020Market Impact in a Latent Order Book. (2018). Lemhadri, Ismael. In: Papers. RePEc:arx:papers:1802.06101.

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2020Market Making and Latency. (2019). Wang, Yunhan ; Gao, Xuefeng. In: Papers. RePEc:arx:papers:1806.05849.

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2020DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1808.03668.

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2020New 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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2020To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders. (2019). Dorsman, Andre B ; Pauwels, Eric J ; Kokabisaghi, Somayeh. In: Papers. RePEc:arx:papers:1912.04012.

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2020Adversarial 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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2020Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics. (2020). Waelbroeck, Henri ; Ccetin, Umut. In: Papers. RePEc:arx:papers:2003.04425.

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2020Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010. (2020). Lerner, P B. In: Papers. RePEc:arx:papers:2004.06200.

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2020An Application of Deep Reinforcement Learning to Algorithmic Trading. (2020). Ernst, Damien ; Th, Thibaut. In: Papers. RePEc:arx:papers:2004.06627.

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2020Dynamic Coupling and Market Instability. (2020). Zaparanuks, Dmitrijs ; Court, Elias ; Clack, Christopher D. In: Papers. RePEc:arx:papers:2005.13621.

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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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2020Does mining fuel bubbles? An experimental study on cryptocurrency markets. (2020). Xu, Yilong ; Sofianos, Andis ; Lambrecht, Marco. In: Working Papers. RePEc:awi:wpaper:0690.

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2020Trading on Long-term Information. (2020). Garriott, Corey ; Riordan, Ryan. In: Staff Working Papers. RePEc:bca:bocawp:20-20.

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2020Parallel Digital Currencies and Sticky Prices. (2020). Xie, Taojun ; Uhlig, Harald. In: Working Papers. RePEc:bfi:wpaper:2020-188.

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2020Cross-border links between banks and non-bank financial institutions. (2020). Aldasoro, Iñaki ; Kemp, Esti ; Huang, Wenqian. In: BIS Quarterly Review. RePEc:bis:bisqtr:2009e.

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2020Mini flash crashes: Review, taxonomy and policy responses. (2020). Petitjean, Mikael ; Laly, Floris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:3:p:251-271.

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2020Commonality in liquidity and multilateral trading facilities. (2020). Mekhaimer, Mohamed ; Jain, Pankaj K ; Mortal, Sandra. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:481-502.

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2020High‐Frequency Trading and Market Performance. (2020). Mollner, Joshua ; Baldauf, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1495-1526.

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2020Market Structure and Transaction Costs of Index CDSs. (2020). Collindufresne, Pierre ; Trolle, Anders B ; Junge, Benjamin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2719-2763.

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2020Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs. (2020). Shkilko, Andriy ; Sokolov, Konstantin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:2899-2927.

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2020Tick Size and Financial Reporting Quality in Small‐Cap Firms: Evidence from a Natural Experiment. (2020). Xu, Nina ; Li, Yiwen ; Ahmed, Anwer S. In: Journal of Accounting Research. RePEc:bla:joares:v:58:y:2020:i:4:p:869-914.

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2020Information asymmetry and leverage adjustments: a semiparametric varying‐coefficient approach. (2020). Kumbhakar, Subal ; Zhao, Shunan ; Jin, Man. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:2:p:581-605.

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2020Blockchain structure and cryptocurrency prices. (2020). Zimmerman, Peter. In: Bank of England working papers. RePEc:boe:boeewp:0855.

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2020Cross-Country Co-Movement between Bitcoin Exchanges: A Cultural Analysis. (2020). Kang, Woo-Young ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8076.

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2020Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8324.

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2020How does competition among high-frequency traders affect market liquidity?. (2020). Breckenfelder, Johannes. In: Research Bulletin. RePEc:ecb:ecbrbu:2020:0078:.

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2020Indecisive algos: Do limit order revisions increase market load?. (2020). Parikh, Bhavik ; Mishra, Ajay Kumar ; Jurich, Stephen N. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s221463502030335x.

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2020Trade credit and stock liquidity. (2020). Shang, Chenguang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300304.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2020The high frequency trade off between speed and sophistication. (2020). Ladley, Daniel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300804.

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2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

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2020Does top management Team’s academic experience promote corporate innovation? Evidence from China. (2020). Jian, Jianhui ; Lv, Jun ; Jun Lv, ; Xiong, Hao ; Lan, Fengyun ; Shen, Huayu. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:464-475.

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2020Machine over Mind? Stock price clustering in the era of algorithmic trading. (2020). Kadapakkam, Palani-Rajan ; Das, Sougata . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301347.

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2020Does algorithmic trading harm liquidity? Evidence from Brazil. (2020). Perlin, Marcelo Scherer ; Ramos, Henrique Pinto. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301406.

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2020High frequency traders and the price process. (2020). Ait-Sahalia, Yacine ; Brunetti, Celso. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:20-45.

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2020Individual investors propensity to speculate and A-share premiums in Chinas A-shares and H-shares. (2020). Yang, Fan ; Tian, Gaoliang ; Chen, Jun. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119305229.

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2020The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market. (2020). Wan, Xiaoyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:104-118.

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2020High-frequency trading and institutional trading costs. (2020). Garriott, Corey ; Chen, Marie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:74-93.

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2020Information shares in a two-tier FX market. (2020). Schreiber, Ben Z ; Piccotti, Louis R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:19-35.

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

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2020Liquidity commonality and high frequency trading: Evidence from the French stock market. (2020). Fontaine, Patrice ; Anagnostidis, Panagiotis. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919305320.

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2020More heat than light: Investor attention and bitcoin price discovery. (2020). Rzayev, Khaladdin ; McGroarty, Frank ; Ibikunle, Gbenga. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919306301.

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2020Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

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2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

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2020Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment. (2020). LE, Thai-Ha ; Tu, Anh ; Fong, Kingsley Y ; Liu, Wai-Man. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302192.

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2020Does high-frequency trading reduce market underreaction to earnings news?. (2020). Zhang, Yanan ; Ke, Yun. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s154461231930354x.

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2020Price discovery in stock and options markets. (2020). Putnins, Talis ; Michayluk, David ; Patel, Vinay ; Foley, Sean. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303544.

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2020Expected issuance fees and market liquidity. (2020). Zwinkels, Remco ; Verschoor, Willem ; Pieterse-Bloem, Mary ; Buis, Boyd . In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418119300795.

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2020Microstructure invariance in U.S. stock market trades. (2020). Tuzun, Tugkan ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418116303123.

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2020Call of duty: Designated market maker participation in call auctions. (2020). Theissen, Erik ; Westheide, Christian. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s138641811930360x.

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2020Intraday market making with overnight inventory costs. (2020). Vogt, Erik ; Fleming, Michael ; Capponi, Agostino ; Adrian, Tobias ; Zhang, Hongzhong. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300331.

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2020Informed trading in hybrid bond markets. (2020). Valseth, Siri. In: Global Finance Journal. RePEc:eee:glofin:v:44:y:2020:i:c:s1044028318300073.

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2020VPIN, liquidity, and return volatility in the U.S. equity markets. (2020). van Ness, Robert ; Yildiz, Serhat. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318302679.

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2020Big data and algorithmic trading against periodic and tangible asset reporting: The need for U-XBRL. (2020). Vasarhelyi, Miklos A ; Pei, Duo. In: International Journal of Accounting Information Systems. RePEc:eee:ijoais:v:37:y:2020:i:c:s1467089520300208.

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2020Political turmoil and the impact of foreign orders on equity prices. (2020). Savaser, Tanseli ; Tini, Murat. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443119300630.

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2020Bitcoin: Speculative asset or innovative technology?. (2020). Lee, Adrian ; Zheng, Huanhuan ; Li, Mengling . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300937.

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2020Market efficiency in real time: Evidence from low latency activity around earnings announcements. (2020). Miao, Bin ; Chordia, Tarun. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:70:y:2020:i:2:s0165410120300379.

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2020Disclosure processing costs, investors’ information choice, and equity market outcomes: A review. (2020). Marinovic, Ivan ; Dehaan, ED ; Blankespoor, Elizabeth. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:70:y:2020:i:2:s016541012030046x.

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2020Shorting flows, public disclosure, and market efficiency. (2020). Wang, Xue ; Zheng, Lingling ; Yan, Xuemin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:191-212.

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2020Trading out of sight: An analysis of cross-trading in mutual fund families. (2020). Eisele, Alexander ; Peijnenburg, Kim ; Parise, Gianpaolo ; Nefedova, Tamara. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:359-378.

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2020OTC premia. (2020). Ranaldo, Angelo ; Vasios, Michalis ; Cenedese, Gino. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:86-105.

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2020Sovereign credit risk and global equity fund returns in emerging markets. (2020). Savvides, Andreas ; Lambertides, Neophytos ; Andreou, Christoforos K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:107:y:2020:i:c:s0261560620301741.

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2020Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks. (2020). Pavlidis, Efthymios ; Vasilopoulos, Kostas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301789.

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2020Liberalization and asymmetric information flow dynamics in the Chinese equity markets. (2020). Barkoulas, John T ; Alhaj-Yaseen, Yaseen S ; Ouandlous, Arav . In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494919300908.

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2020Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China. (2020). Ran, Jimmy ; Li, Yuan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:57-58:y:2020:i::s1042444x2030044x.

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2020Algorithmic trading in turbulent markets. (2020). Frino, Alex ; Kalev, Petko S ; Zhou, Hao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20302201.

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2020Internationalization of futures markets: Lessons from China. (2020). Fernandez-Perez, Adrian ; Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302560.

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2020David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs. (2020). Kashyap, Ravi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119316206.

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2020When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment. (2020). Maria, Gianluca Piero. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919302636.

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2020High-frequency trading and stock liquidity: An intraday analysis. (2020). Hellara, Slaheddine ; ben Ammar, Imen ; Ghadhab, Imen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309249.

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2020The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity. (2020). Ge, Hengshun ; Yang, Haijun ; Luo, Ying. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309754.

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2020Is idiosyncratic volatility priced in cryptocurrency markets?. (2020). Li, YI ; Zhang, Wei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301926.

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2020Do aggressive orders affect liquidity? An evidence from an emerging market. (2020). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920303780.

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2020Trading performance and market efficiency: Evidence from algorithmic trading. (2020). Wadhwa, Kavita ; Syamala, Sudhakara Reddy. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304050.

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2020Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M. In: ERIM Inaugural Address Series Research in Management. RePEc:ems:euriar:124748.

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2020Market Design, Human Behavior and Management. (2020). List, John ; Cramton, Peter ; Chen, Yan ; Ockenfels, Axel. In: Artefactual Field Experiments. RePEc:feb:artefa:00685.

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2020A Survey of Fintech Research and Policy Discussion. (2020). Jagtiani, Julapa ; Allen, Franklin ; Gu, Xian. In: Working Papers. RePEc:fip:fedpwp:88120.

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2020An Influence of Group Purchasing Organizations on Financial Security of SMEs Operating in the Renewable Energy Sector—Case for Poland. (2020). Lew, Grzegorz ; Sobolewski, Marek ; Zimon, Grzegorz. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2926-:d:368394.

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2021Optimal Market Asset Pricing. (2021). Rindi, Barbara ; Ricco, Roberto ; Seppi, Duane J. In: Working Papers. RePEc:igi:igierp:675.

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2020Token-Weighted Crowdsourcing. (2020). Falk, Brett Hemenway ; Tsoukalas, Gerry. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:9:p:3843-3859.

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2021Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5. (2021). Jain, Pankaj K ; Chakrabarty, Bidisha ; Sokolov, Konstantin ; Shkilko, Andriy. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1183-1198.

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2020Experiments in high-frequency trading: comparing two market institutions. (2020). Aldrich, Eric M ; Vargas, Kristian Lopez. In: Experimental Economics. RePEc:kap:expeco:v:23:y:2020:i:2:d:10.1007_s10683-019-09605-2.

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2020Which firms benefit from market making?. (2020). Smith, Richard L ; Kutsuna, Kenji ; Kim, Thomas S ; Chung, Peter Y. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:1:d:10.1007_s11408-020-00345-5.

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2020How to survive and compete: the impact of information asymmetry on productivity. (2020). Kumbhakar, Subal C ; Tian, Huiting ; Jin, Man. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:53:y:2020:i:1:d:10.1007_s11123-019-00562-9.

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2021Information flow and price discovery dynamics. (2021). Xu, Kuan ; Wu, Lei ; Meng, Qingbin. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00896-8.

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2020High Frequency Trading: Strategic Competition Between Slow and Fast Traders. (2020). Germain, Laurent ; Boco, Herve ; Rousseau, Fabrice. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n296-20.pdf.

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2020A Model of Cryptocurrencies. (2020). Xiong, Wei ; Sockin, Michael. In: NBER Working Papers. RePEc:nbr:nberwo:26816.

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2020Market Fragmentation. (2020). Duffie, Darrell ; Chen, Daniel. In: NBER Working Papers. RePEc:nbr:nberwo:26828.

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2020Market Design, Human Behavior, and Management. (2020). Ockenfels, Axel ; List, John ; Cramton, Peter ; Chen, Yan. In: NBER Working Papers. RePEc:nbr:nberwo:26873.

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2020First to “Read” the News: News Analytics and Algorithmic Trading. (2020). Keim, Donald B ; von Beschwitz, Bastian ; Massa, Massimo. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:1:p:122-178..

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2020High-frequency trading: Order-based innovation or manipulation?. (2020). Wang, Michael H ; Dalko, Viktoria. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:21:y:2020:i:4:d:10.1057_s41261-019-00115-y.

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2020Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30. (2020). Slater, David M ; McMahon, Matthew T ; Matthew, ; Tivnan, Brendan F ; Gray, Tyler J ; Ring, John H ; van Oort, Colin M ; Dewhurst, David Rushing ; Danforth, Christopher M ; Veneman, Jason G. In: PLOS ONE. RePEc:plo:pone00:0226968.

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2020Stock market comovements among Asian emerging economies: A wavelet-based approach. (2020). Joyo, Ahmed Shafique ; Basheer, Muhammad Farhan ; Longsheng, Cheng ; Younis, Ijaz. In: PLOS ONE. RePEc:plo:pone00:0240472.

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2020High Frequency Fairness. (2020). Haeringer, Guillaume ; Melton, Hayden. In: MPRA Paper. RePEc:pra:mprapa:103907.

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2020Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets. (2020). Dragot, Victor ; Ilic, Elena Valentina ; Anghel, Dan Gabriel. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:2:p:92-114.

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2020Dynamic information acquisition and time-varying uncertainty. (2020). Cai, Zhifeng. In: Departmental Working Papers. RePEc:rut:rutres:202002.

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2020Trading strategy with stochastic volatility in a limit order book market. (2020). Siu, Tak Kuen ; Gu, Jiawen ; Ching, Wai-Ki ; Yang, Qing-Qing . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00278-8.

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

Works by Albert J. Menkveld:


YearTitleTypeCited
2016The Economics of High-Frequency Trading: Taking Stock In: Annual Review of Financial Economics.
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2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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2004Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework In: European Financial Management.
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2014High-Frequency Traders and Market Structure In: The Financial Review.
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2008Competition for Order Flow and Smart Order Routing Systems In: Journal of Finance.
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2006Competition for Order Flow and Smart Order Routing Systems.(2006) In: CEPR Discussion Papers.
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2006Competition for order flow and smart order routing systems.(2006) In: HEC Research Papers Series.
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2008Competition for Order Flow and Smart Order Routing Systems.(2008) In: Post-Print.
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2008Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount In: Journal of Finance.
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2006Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount.(2006) In: Serie Research Memoranda.
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2011Does Algorithmic Trading Improve Liquidity? In: Journal of Finance.
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2008Does algorithmic trading improve liquidity?.(2008) In: CFS Working Paper Series.
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2019High‐Frequency Trading around Large Institutional Orders In: Journal of Finance.
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2017High-Frequency Trading around Large Institutional Orders.(2017) In: Tinbergen Institute Discussion Papers.
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1997VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES In: Journal of Financial Research.
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article8
2019The cost of clearing fragmentation In: Bank of England working papers.
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2012Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis.
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2004Euro area sovereign yield dynamics: the role of order imbalance In: Working Paper Series.
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2006Euro-Area Sovereign Yield Dynamics: the role of order imbalance.(2006) In: Serie Research Memoranda.
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2004Understanding limit order book depth: conditioning on trade informativeness In: Econometric Society 2004 Latin American Meetings.
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paper1
2009Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years In: China Economic Review.
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article29
2007The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market In: Journal of Financial Markets.
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article46
2013How do designated market makers create value for small-caps? In: Journal of Financial Markets.
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2013High frequency trading and the new market makers In: Journal of Financial Markets.
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article162
2011High Frequency Trading and the New-Market Makers.(2011) In: Tinbergen Institute Discussion Papers.
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2002Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York In: Journal of Financial Markets.
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article30
2000Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York.(2000) In: Tinbergen Institute Discussion Papers.
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2001Market dynamics in the Netherlands: Competition policy and the role of small firms In: International Journal of Industrial Organization.
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article27
2014Price pressures In: Journal of Financial Economics.
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2010Price pressures.(2010) In: CFS Working Paper Series.
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2017Shades of darkness: A pecking order of trading venues In: Journal of Financial Economics.
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article13
2015Shades of Darkness: A Pecking Order of Trading Venues.(2015) In: 2015 Meeting Papers.
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2008Splitting orders in overlapping markets: A study of cross-listed stocks In: Journal of Financial Intermediation.
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article14
2006Splitting orders in overlapping markets: a study of cross-listed stocks.(2006) In: Serie Research Memoranda.
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1999Are small firms really sub-optimal?: compensating factor differentials in small Dutch manufacturing firms In: Scales Research Reports.
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1999Are Small Firms Really Sub-Optimal?: Compensating Factor Differentials in Small Dutch Manufacturing Firms..(1999) In: NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
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2001Splitting Orders in Fragmented Markets; evidence from cross-listed stocks In: Econometric Institute Research Papers.
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2007Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures In: Staff Reports.
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2009Are market makers uninformed and passive? Signing trades in the absence of quotes In: Staff Reports.
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paper1
2009Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes.(2009) In: Tinbergen Institute Discussion Papers.
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1996The Decision Between Internal and External R&D. In: NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
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2017Need for Speed? Exchange Latency and Liquidity In: Post-Print.
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paper47
2016Need for Speed? Exchange Latency and Liquidity.(2016) In: Working Papers.
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2017Need for Speed? Exchange Latency and Liquidity.(2017) In: Review of Financial Studies.
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article
2014Need for Speed? Exchange Latency and Liquidity.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2006Competition for Order Flow Smart Order Routing Systems In: Post-Print.
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paper2
2006Competition for Order Flow Smart Order Routing Systems.(2006) In: Post-Print.
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2016Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets In: Working Papers.
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paper6
1999Firm Size and Efficiency in Innovation: Reply. In: Small Business Economics.
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1994Volatility Patterns and Spillovers in Bund Futures. In: Monash Econometrics and Business Statistics Working Papers.
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2017Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties In: Review of Asset Pricing Studies.
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article10
2010Middlemen in Limit Order Markets In: 2010 Meeting Papers.
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paper4
2016Dispersion and Skewness of Bid Prices In: 2016 Meeting Papers.
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2019Equilibrium Bitcoin Pricing In: 2019 Meeting Papers.
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2018Equilibrium Bitcoin Pricing.(2018) In: TSE Working Papers.
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2000A Pricing Model for American Options with Gaussian Interest Rates In: Annals of Operations Research.
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article1
2012Limit order books and trade informativeness In: The European Journal of Finance.
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article6
2011Limit order books and trade informativeness.(2011) In: CFS Working Paper Series.
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paper
1998A Pricing Model for American Options with Stochastic Interest Rates In: Tinbergen Institute Discussion Papers.
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paper1
1999Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry In: Tinbergen Institute Discussion Papers.
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paper3
2001Splitting Orders in Fragmented Markets In: Tinbergen Institute Discussion Papers.
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paper0
2003Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers.
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paper3
2007Macro News, Riskfree Rates, and the Intermediary In: Tinbergen Institute Discussion Papers.
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paper0
2013Central Clearing and Asset Prices In: Tinbergen Institute Discussion Papers.
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paper1
2014Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties In: Tinbergen Institute Discussion Papers.
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paper6
2006Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China In: Serie Research Memoranda.
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paper1
2017Monitoring CCP Exposure, in Real Time if Needed In: World Scientific Book Chapters.
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chapter0
2005Understanding the limit order book: Conditioning on trade informativeness In: CFR Working Papers.
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paper2
2008Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate In: CFS Working Paper Series.
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paper1

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