Albert J. Menkveld : Citation Profile

Are you Albert J. Menkveld?

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

16

H index

21

i10 index

1288

Citations

RESEARCH PRODUCTION:

26

Articles

47

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1994 - 2020). See details.
   Cites by year: 49
   Journals where Albert J. Menkveld has often published
   Relations with other researchers
   Recent citing documents: 195.    Total self citations: 16 (1.23 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme346
   Updated: 2021-11-20    RAS profile: 2021-09-07    
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Relations with other researchers

Works with:

Zoican, Marius (4)

Huang, Wenqian (3)

BISIÈRE, Christophe (3)

Biais, Bruno (3)

casamatta, catherine (2)

van Kervel, Vincent (2)

Vasios, Michalis (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 (25)

Degryse, Hans (21)

Foucault, Thierry (17)

Johansson, Anders (17)

Bellia, Mario (12)

Ranaldo, Angelo (11)

Schnabel, Claus (11)

Theissen, Erik (10)

Feng, Xunan (10)

De Winne, Rudy (9)

LINTON, OLIVER (9)

Cites to:

Biais, Bruno (15)

Grossman, Sanford (13)

Pedersen, Lasse (12)

Madhavan, Ananth (11)

Miller, Merton (10)

Stoll, Hans (10)

Pagano, Marco (10)

Chakravarty, Sugato (9)

Foucault, Thierry (8)

Vayanos, Dimitri (8)

Gromb, Denis (8)

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

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute12
CFS Working Paper Series / Center for Financial Studies (CFS)4
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics4
Post-Print / HAL4
Working Papers / HAL2
BIS Working Papers / Bank for International Settlements2
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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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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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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2021New 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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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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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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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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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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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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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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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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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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2020Shorting in Broad Daylight: Short Sales and Venue Choice. (2020). Sokobin, Jonathan S ; Samadi, Mehrdad ; Reed, Adam V. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:55:y:2020:i:7:p:2246-2269_6.

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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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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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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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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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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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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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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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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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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). 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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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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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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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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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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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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2020The network nature of over-the-counter interest rates. (2020). Rainone, Edoardo. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303556.

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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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2021Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan. (2021). Wu, Ming-Hung ; Weng, Pei-Shih ; Tsai, Wei-Che ; Huang, Hong-Gia. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s138641812030015x.

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2021Informed liquidity provision in a limit order market. (2021). Malinova, Katya ; Brolley, Michael. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300355.

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2021Speed and learning in high-frequency auctions. (2021). Zoican, Marius ; Khapko, Mariana ; Haas, Marlene. In: Journal of Financial Markets. RePEc:eee:finmar:v:54:y:2021:i:c:s1386418120300525.

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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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2021Short selling patterns in cross-listed stocks. (2021). Zurbruegg, Ralf ; Peranginangin, Yessy ; Mihaylov, George ; Li, Shan. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300545.

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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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2021Spoofing and pinging in foreign exchange markets. (2021). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301621.

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2021Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536.

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2021Commonality in intraday liquidity and multilateral trading facilities: Evidence from Chi-X Europe. (2021). Song, Shiyun ; Klein, Olga. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000688.

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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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2021Are REITs more resilient than non-REITs? Evidence from natural experiments. (2021). Upadhyay, Arun ; Jain, Pawan. In: Japan and the World Economy. RePEc:eee:japwor:v:58:y:2021:i:c:s0922142521000165.

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2021Algorithmic trading and firm value. (2021). Zhang, Jun ; Wang, Qin Emma ; Johnson, Shane A ; Hatch, Brian C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000480.

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2021Funding liquidity and market liquidity in government bonds. (2021). Johnson, Timothy C ; Deuskar, Prachi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s0378426621001242.

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2021Algos gone wild: What drives the extreme order cancellation rates in modern markets?. (2021). Putnins, Talis ; Khomyn, Marta. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s0378426621001291.

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2021Private information in trades, R2, and large stock price movements. (2021). Yildiz, Serhat ; van Ness, Robert. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:131:y:2021:i:c:s0378426621001539.

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2021Rational quantitative trading in efficient markets. (2021). Tinn, Katrin ; Rossi, Stefano. In: Journal of Economic Theory. RePEc:eee:jetheo:v:191:y:2021:i:c:s0022053120301204.

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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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2021Slow-moving capital and execution costs: Evidence from a major trading glitch. (2021). Salam, Mehmet ; Collin-Dufresne, Pierre ; Bogousslavsky, Vincent. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:922-949.

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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.
[Full Text][Citation analysis]		article48
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article28
2019The cost of clearing fragmentation In: BIS Working Papers.
[Full Text][Citation analysis]		paper1
2019The cost of clearing fragmentation.(2019) In: Bank of England working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		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]		article8
2008Competition for Order Flow and Smart Order Routing Systems In: Journal of Finance.
[Full Text][Citation analysis]		article97
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: 97		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: 97		paper
2008Competition for Order Flow and Smart Order Routing Systems.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 97		paper
2008Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount In: Journal of Finance.
[Full Text][Citation analysis]		article127
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: 127		paper
2011Does Algorithmic Trading Improve Liquidity? In: Journal of Finance.
[Full Text][Citation analysis]		article371
2008Does algorithmic trading improve liquidity?.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 371		paper
2019High?Frequency Trading around Large Institutional Orders In: Journal of Finance.
[Full Text][Citation analysis]		article27
2017High-Frequency Trading around Large Institutional Orders.(2017) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2019Information Revelation in Decentralized Markets In: Journal of Finance.
[Full Text][Citation analysis]		article7
1997VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES In: Journal of Financial Research.
[Full Text][Citation analysis]		article8
2020Equilibrium Bitcoin Pricing In: EconPol Working Paper.
[Full Text][Citation analysis]		paper16
2019Equilibrium Bitcoin Pricing.(2019) In: 2019 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2018Equilibrium Bitcoin Pricing.(2018) In: TSE Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2012Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article14
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]		article30
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]		article46
2013How do designated market makers create value for small-caps? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article16
2013High frequency trading and the new market makers In: Journal of Financial Markets.
[Full Text][Citation analysis]		article176
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: 176		paper
2002Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York In: Journal of Financial Markets.
[Full Text][Citation analysis]		article33
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: 33		paper
2001Market dynamics in the Netherlands: Competition policy and the role of small firms In: International Journal of Industrial Organization.
[Full Text][Citation analysis]		article27
2014Price pressures In: Journal of Financial Economics.
[Full Text][Citation analysis]		article18
2010Price pressures.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2017Shades of darkness: A pecking order of trading venues In: Journal of Financial Economics.
[Full Text][Citation analysis]		article15
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: 15		paper
2008Splitting orders in overlapping markets: A study of cross-listed stocks In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article15
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: 15		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]		paper1
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: 1		paper
1996The Decision Between Internal and External R&D. In: NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
[Citation analysis]		paper30
2017Need for Speed? Exchange Latency and Liquidity In: Post-Print.
[Citation analysis]		paper51
2016Need for Speed? Exchange Latency and Liquidity.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		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: 51		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: 51		paper
2006Competition for Order Flow Smart Order Routing Systems In: Post-Print.
[Citation analysis]		paper2
2006Competition for Order Flow Smart Order Routing Systems.(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 2		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]		article6
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]		paper2
2017Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties In: Review of Asset Pricing Studies.
[Full Text][Citation analysis]		article10
2010Middlemen in Limit Order Markets In: 2010 Meeting Papers.
[Citation analysis]		paper4
2016Dispersion and Skewness of Bid Prices In: 2016 Meeting Papers.
[Full Text][Citation analysis]		paper0
2000A Pricing Model for American Options with Gaussian Interest Rates In: Annals of Operations Research.
[Full Text][Citation analysis]		article2
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]		paper0
2003Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
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]		paper6
2006Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper1
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]		paper2
2008Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team