Albert J. Menkveld : Citation Profile

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

21

H index

29

i10 index

2267

Citations

RESEARCH PRODUCTION:

36

Articles

73

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1994 - 2025). See details.
   Cites by year: 73
   Journals where Albert J. Menkveld has often published
   Relations with other researchers
   Recent citing documents: 196.    Total self citations: 36 (1.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme346
   Updated: 2025-12-13    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Dreber, Anna (25)

Johannesson, Magnus (22)

Holzmeister, Felix (22)

Gehrig, Thomas (19)

Hurlin, Christophe (13)

Schwarz, Marco (13)

Brownlees, Christian (12)

FERROUHI, EL MEHDI (12)

Frömmel, Michael (11)

Dumitrescu, Ariadna (10)

Bos, Charles (10)

Ferrara, Gerardo (10)

Frijns, Bart (10)

Alexeev, Vitali (10)

Caporin, Massimiliano (10)

Gil-Bazo, Javier (10)

Deev, Oleg (10)

Bohorquez Correa, Santiago (9)

Moinas, Sophie (9)

Renault, Thomas (8)

Ødegaard, Bernt (8)

Füllbrunn, Sascha (8)

Degryse, Hans (8)

Schuerhoff, Norman (8)

Scaillet, Olivier (8)

Taylor, Nick (8)

Rinne, Kalle (8)

Korajczyk, Robert (8)

Nielsson, Ulf (8)

Talavera, Oleksandr (8)

Foucault, Thierry (8)

Tonks, Ian (8)

Wolff, Christian (8)

Liew, Chee (8)

Gerritsen, Dirk (8)

Sojli, Elvira (8)

CAPELLE-BLANCARD, Gunther (8)

Palan, Stefan (8)

Harris, Jeffrey (8)

Lof, Matthijs (8)

Stefanova, Denitsa (8)

Pastor, Lubos (8)

Sarno, Lucio (8)

Smales, Lee (8)

Chernov, Mikhail (8)

Shui, Jessica (7)

Huang, Wenqian (7)

Davies, Ryan (7)

Hambuckers, Julien (7)

Deku, Solomon (7)

Schenk-Hoppé, Klaus (7)

Eugster, Nicolas (7)

Neszveda, Gabor (7)

Dimpfl, Thomas (7)

Ranaldo, Angelo (6)

Shachar, Or (6)

Roy, Saurabh (6)

Aloosh, Arash (6)

Vilkov, Grigory (6)

Colliard, Jean-Edouard (6)

LINTON, OLIVER (6)

Pasquariello, Paolo (6)

Zhang, S. Sarah (6)

Ait-Sahalia, Yacine (6)

Xiu, Dacheng (6)

Xia, Shuo (6)

Wilhelmsson, Anders (6)

Jurkatis, Simon (6)

Reitz, Stefan (6)

Park, Andreas (6)

Koetter, Michael (5)

Abudy, Menachem (5)

Chow, Nikolai Sheung-Chi (5)

Verousis, Thanos (5)

Capera Romero, Laura (5)

Walther, Thomas (5)

Hautsch, Nikolaus (5)

Jalkh, Naji (5)

Horenstein, Alex (5)

casamatta, catherine (4)

Adrian, Tobias (4)

Güçbilmez, Ufuk (4)

van Kervel, Vincent (4)

BISIÈRE, Christophe (4)

Bjønnes, Geir (4)

Mihet, Roxana (3)

He, Xuezhong (Tony) (3)

Hasse, Jean-Baptiste (3)

Voigt, Stefan (3)

Bouri, Elie (2)

Biais, Bruno (2)

Prokopczuk, Marcel (2)

PASCUAL, ROBERTO (2)

Kearney, Fearghal (2)

Patel, Vinay (2)

Zhou, Chen (2)

Pelizzon, Loriana (2)

Wong, Wing-Keung (2)

Regis, Luca (2)

Putnins, Talis (2)

Hjalmarsson, Erik (2)

Lopez-Lira, Alejandro (2)

Heath, Davidson (2)

Söderlind, Paul (2)

Kassner, Bernhard (2)

Gorbenko, Arseny (2)

Vogel, Sebastian (2)

Roy, Saurabh (2)

Patton, Andrew (2)

Theissen, Erik (2)

Lajaunie, Quentin (2)

Rakowski, David (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)

Degryse, Hans (27)

Foucault, Thierry (23)

Ranaldo, Angelo (23)

Aquilina, Matteo (19)

Bellia, Mario (19)

Moinas, Sophie (19)

Johansson, Anders (18)

Feng, Xunan (17)

LINTON, OLIVER (16)

LEHALLE, Charles-Albert (16)

Cites to:

Biais, Bruno (17)

Grossman, Sanford (16)

Pedersen, Lasse (14)

Foucault, Thierry (13)

Madhavan, Ananth (11)

Pagano, Marco (11)

Koopman, Siem Jan (10)

Chakravarty, Sugato (10)

Campbell, John (10)

Vayanos, Dimitri (10)

Engle, Robert (8)

Main data

Where Albert J. Menkveld has published?

Journals with more than one article published# docs
Journal of Finance7
Journal of Financial Markets4
The Review of Financial Studies3
Journal of Financial Economics2
Annual Review of Financial Economics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute13
Post-Print / HAL10
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics4
CFS Working Paper Series / Center for Financial Studies (CFS)4
Working Papers / HAL3
TSE Working Papers / Toulouse School of Economics (TSE)2
Staff Reports / Federal Reserve Bank of New York2
HEC Research Papers Series / HEC Paris2
BIS Working Papers / Bank for International Settlements2
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL2

Recent works citing Albert J. Menkveld (2025 and 2024)

YearTitle of citing document
2024The American put with finite-time maturity and stochastic interest rate. (2024). de Angelis, Tiziano ; Palczewski, Jan ; Cai, Cheng. In: Papers. RePEc:arx:papers:2104.08502.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

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2024The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper. (2024). Xu, Ziyi ; Cheng, Xue. In: Papers. RePEc:arx:papers:2304.13985.

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2024Blockchain scaling and liquidity concentration on decentralized exchanges. (2024). Klein, Olga ; Caparros, Basile ; Chaudhary, Amit. In: Papers. RePEc:arx:papers:2306.17742.

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2024Fragmentation and optimal liquidity supply on decentralized exchanges. (2024). Zoican, Marius ; Parlour, Christine ; Lehar, Alfred. In: Papers. RePEc:arx:papers:2307.13772.

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2024Resolving a Clearing Members Default, A Radner Equilibrium Approach. (2024). Cr, St'Ephane ; Drapeau, Samuel ; Tadese, Mekonnen ; Bastide, Dorinel. In: Papers. RePEc:arx:papers:2310.02608.

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2024Proof of Efficient Liquidity: A Staking Mechanism for Capital Efficient Liquidity. (2024). Sharma, Utkarsh ; Tobkin, Joshua ; Abgaryan, Arman. In: Papers. RePEc:arx:papers:2401.04521.

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2024Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders. (2024). Xu, Ziyi ; Cheng, Xue. In: Papers. RePEc:arx:papers:2403.08202.

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2024Mean Field Game of High-Frequency Anticipatory Trading. (2024). Xu, Ziyi ; Cheng, Xue ; Wang, Meng. In: Papers. RePEc:arx:papers:2404.18200.

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2024Correlation emergence in two coupled simulated limit order books. (2024). Gebbie, Tim ; Bauer, Dominic ; Diana, Derick. In: Papers. RePEc:arx:papers:2408.03181.

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2024Forecasting High Frequency Order Flow Imbalance. (2024). Jain, Shashi ; Anantha, Aditya Nittur. In: Papers. RePEc:arx:papers:2408.03594.

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2024A Limit Order Book Model for High Frequency Trading with Rough Volatility. (2024). Yong, Jiongmin ; Li, Yukun ; Chen-Shue, Yun. In: Papers. RePEc:arx:papers:2412.16850.

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2025Assessing Consistency and Reproducibility in the Outputs of Large Language Models: Evidence Across Diverse Finance and Accounting Tasks. (2025). Wang, Victor Xiaoqi. In: Papers. RePEc:arx:papers:2503.16974.

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2025On Bitcoin Price Prediction. (2025). Bournassenko, Gr'Egory. In: Papers. RePEc:arx:papers:2504.18982.

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2025Classifying and Clustering Trading Agents. (2025). Wilinski, Mateusz ; Kanniainen, Juho ; Iosifidis, Alexandros ; Goel, Anubha. In: Papers. RePEc:arx:papers:2505.21662.

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2025Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer. (2025). Wang, Haochuan. In: Papers. RePEc:arx:papers:2506.05764.

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2025The Market Effects of Algorithms. (2025). Raymond, Lindsey. In: Papers. RePEc:arx:papers:2508.09513.

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2025Enhancing Cryptocurrency Sentiment Analysis with Multimodal Features. (2025). Sbai, Erwann ; Wang, Guanghao ; Naha, Ranesh ; Mahanti, Aniket ; Liu, Chenghao. In: Papers. RePEc:arx:papers:2508.15825.

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2025There must be an error here! Experimental evidence on coding errors biases. (2025). Ferman, Bruno ; Finamor, Lucas. In: Papers. RePEc:arx:papers:2508.20069.

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2025Identification of phase correlations in Financial Stock Market Turbulence. (2025). Sharma, Kiran ; Dutta, Abhijit ; Mukherjee, Rupak. In: Papers. RePEc:arx:papers:2508.20105.

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2025Ultrafast Extreme Events: Empirical Analysis of Mechanisms and Recovery in a Historical Perspective. (2025). Guhr, Thomas ; Heckens, Anton J ; Henrichs, Luca. In: Papers. RePEc:arx:papers:2509.10376.

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2025Forecasting Liquidity Withdraw with Machine Learning Models. (2025). , Wang. In: Papers. RePEc:arx:papers:2509.22985.

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2024Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-46.

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2024Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6.

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2024The fundamental role of the repo market and central clearing. (2024). di Luigi, Cristina ; Perrella, Antonio ; Ruggieri, Alessio. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_048_24.

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2024Crypto Exchange Tokens. (2024). Garratt, Rodney ; Rc, Maarten. In: BIS Working Papers. RePEc:bis:biswps:1201.

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2024Through stormy seas: how fragile is liquidity across asset classes and time?. (2024). Aquilina, Matteo ; Aliyev, Nihad ; Rzayev, Khaladdin ; Zhu, Sonya. In: BIS Working Papers. RePEc:bis:biswps:1229.

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2025DeFiying gravity? An empirical analysis of cross-border Bitcoin, Ether and stablecoin flows. (2025). Paulick, Jan ; Auer, Raphael ; Lewrick, Ulf. In: BIS Working Papers. RePEc:bis:biswps:1265.

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2024Does Social Capital Enhance Stock Liquidity? An Investigation of the Resilience of the Trading Environment During a Crisis of Trust. (2024). faff, robert ; Xiao, Yuchao ; Shao, Pei ; Huang, Jianning ; Zhou, Fuzhao. In: Abacus. RePEc:bla:abacus:v:60:y:2024:i:3:p:627-664.

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2024Evolution of Chinese futures markets from a high frequency perspective. (2024). Tao, Xuan ; Drapeau, Samuel ; Wang, Tao ; Li, Zhengqiang. In: Economics and Politics. RePEc:bla:ecopol:v:36:y:2024:i:3:p:1416-1449.

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2024The determinants of limit order cancellations. (2024). Dahlstrom, Petter ; Norden, Lars L ; Hagstromer, Bjorn. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:1:p:181-201.

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2024Where does ex‐dividend trading occur: An examination of trading venues around dividends. (2024). van Ness, Robert ; Fuller, Kathleen P ; Cox, Justin. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:1:p:31-55.

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2024Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets. (2024). Bagirov, Miramir ; Mateus, Irina. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:1:p:83-103.

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2024Segmentation of the Chinese stock market: A review. (2024). Yang, Yahui ; Xiong, Kainan ; Peng, Zhe. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1156-1198.

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2024Algorithmic Trading and Forward‐Looking MD&A Disclosures. (2024). Wang, Yiding ; Thomas, Wayne B ; Zhang, Ling. In: Journal of Accounting Research. RePEc:bla:joares:v:62:y:2024:i:4:p:1533-1569.

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2024Exchanges for government bonds? Evidence during COVID-19. (2024). Nathan, Daniel ; Kutai, Ari ; Wittwer, Milena. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2024.03.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024Optimal Fees and Equilibrium in Crypto Markets. (2024). luciano, elisa. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:722.

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2025The Perks and Perils of Machine Learning in Business and Economic Research. (2025). Hornuf, Lars ; Dudda, Tom L. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11721.

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2024Outages in sovereign bond markets. (2024). Kerssenfischer, Mark ; Helmus, Caspar. In: Working Paper Series. RePEc:ecb:ecbwps:20242944.

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2025Achieving low-carbon production: Impacts of land misallocation and industrial structure in urban China. (2025). Tian, Wenjia ; Geng, Xueyang ; Cheng, Yudan. In: Applied Energy. RePEc:eee:appene:v:378:y:2025:i:pa:s0306261924021743.

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2024Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?. (2024). Du, Yuting ; Zhang, XU ; Naeem, Muhammad Abubakr ; Rauf, Abdul. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000194.

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2024Prospect theory in M&A: Do historical purchase prices affect merger offer premiums and announcement returns?. (2024). Mugerman, Yevgeny ; Shemesh, Joshua ; Lauterbach, Beni. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:42:y:2024:i:c:s2214635024000467.

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2024Auditing decentralized finance. (2024). Bhambhwani, Siddharth M ; Huang, Allen H. In: The British Accounting Review. RePEc:eee:bracre:v:56:y:2024:i:2:s0890838923001270.

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2025Dark trading volume and market quality: A natural experiment. (2025). Puckett, Andy ; Kelley, Eric K ; Farley, Ryan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s0929119925000100.

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2024Sharks in the dark: Quantifying HFT dark pool latency arbitrage. (2024). Aquilina, Matteo ; Ruf, Thomas ; Foley, Sean ; O'Neill, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001926.

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2024Competition among high-frequency traders and market quality. (2024). Breckenfelder, Johannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001143.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2024Hedging Bitcoin with commodity futures: An analysis with copper, gas, gold, and crude oil futures. (2024). Park, Sung Y. ; Joo, Young C. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000524.

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2025Cryptocurrency market spillover in times of uncertainty. (2025). Aimable, Withz ; Wu, Chih-Chiang ; Chen, Wei-Peng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002729.

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2025Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments: An agent-based modeling approach. (2025). Zhu, Hongliang ; Wang, Liming ; Sun, Xuchu ; Li, Tangrong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002857.

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2025Cryptocurrencies, stocks, and economic policy uncertainty: A FAVAR analysis. (2025). Jackson Young, Laura ; Civelli, Andrea. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000452.

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2024High frequency market making: The role of speed. (2024). Ait-Sahalia, Yacine ; Salam, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000581.

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2025An adoption model of cryptocurrencies. (2025). Urquhart, Andrew ; Sakkas, Athanasios ; Rzayev, Khaladdin. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:253-266.

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2024Does fintech matter for financial inclusion and financial stability in BRICS markets?. (2024). Shakib, Mohammed ; Hassan, M. Kabir ; Vukovi, Darko B ; Kwakye, Bernard ; Febtinugraini, Armike. In: Emerging Markets Review. RePEc:eee:ememar:v:61:y:2024:i:c:s1566014124000591.

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2025Message traffic and short-term illiquidity in high-speed markets. (2025). Pascual, Roberto ; Yage, Jos ; Nawn, Samarpan ; Massot, Magdalena ; Abad, David. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014124001468.

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2024Technological disparity and its impact on market quality. (2024). Kim, Seo Young ; Chung, Kiseo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001111.

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2024The role of intermediaries in derivatives markets: Evidence from VIX options. (2024). Jacobs, Kris ; Mai, Anh Thu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000276.

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2024The value of information in China’s connected market. (2024). Wang, Yuehan ; Chen, Keqi ; Zhu, Xiaoquan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000616.

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2024Inverted vs maker-taker routing choice and trader information. (2024). Qin, Yaohua ; Garvey, Ryan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000653.

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2025The AH premium: A tale of “siamese twin” stocks. (2025). Zhang, Tongbin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000210.

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2025What determines Bitcoins price over the past decade?. (2025). Zhang, Xinyu ; Wei, Yunjie ; Wang, Shouyang ; Chen, Muying. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002613.

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2025Economic and financial development as determinants of crypto adoption. (2025). Magazzino, Cosimo ; Horky, Florian ; Gattone, Tulia. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925003047.

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2024Is downside risk priced in cryptocurrency market?. (2024). Dobrynskaya, Victoria. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004635.

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2024Uncertainty and bubbles in cryptocurrencies: Evidence from newly developed uncertainty indices. (2024). Shahedur, MD ; Damianov, Damian S. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004659.

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2024Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Bursting the bitcoin bubble: Do market prices reflect fundamental bitcoin value?. (2024). Podhorsky, Andrea. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000905.

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2024Strategic liquidity provision in high-frequency trading. (2024). Hayashi, Takaki ; Nishide, Katsumasa. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001005.

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2024Network centrality, information diffusion and asset pricing. (2024). Hu, Xiaolu ; Yu, Miao ; Zhong, Angel. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001558.

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2024State ownership, probability of informed trading, and profitability potential: Evidence from the Warsaw Stock Exchange. (2024). Kropiski, Pawe ; Pudo, Mikoaj ; Bosek, Bartomiej. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924002977.

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2024Retail traders and co-movement: Evidence from Robinhood trading activity. (2024). faff, robert ; Oliver, Barry ; Haghighi, Afshin. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003636.

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2024Skewness risk and the cross-section of cryptocurrency returns. (2024). Chen, Yan ; Liu, Yakun. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005581.

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2024Unraveling Bitcoin price unpredictability: The role of hard forks. (2024). , Thomas. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924005945.

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2024Price spread prediction in high-frequency pairs trading using deep learning architectures. (2024). Cheng, Li-Chen ; Liu, Yun-Ti ; Liou, Jyh-Hwa. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924007257.

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2024Proprietary algorithmic traders and liquidity supply during the pandemic. (2024). Nawn, Samarpan ; Banerjee, Anirban. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000825.

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2024Common factors in the returns on cryptocurrencies. (2024). Jung, Woosung ; Park, Haerang. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005154.

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2024The performance of selected high-frequency trading proxies: An application on Turkish index futures market. (2024). Ekinci, Cumhur ; Arikan, Ramazan ; Olgun, Onur. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005531.

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2024The volatility-liquidity dynamics of single-stock ETFs. (2024). Li, Chen ; Nguyen, Vinh Huy ; Zhao, LE. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011929.

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2024Some stylized facts about bitcoin halving. (2024). Lashkaripour, Mohammadhossein. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012273.

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2025Predicting FX market movements using GAN with limit order event data. (2025). Iima, Hitoshi ; Peng, Kexin ; Kitamura, Yoshihiro. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015563.

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2025Disentangling geopolitical risks: A quantile approach to geopolitical risk indices’ impacts on stock markets. (2025). Bulut, Emre ; Marangoz, Cumali ; Gerekan, Bekir ; Yilmaz, Erdal. In: Finance Research Letters. RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325003769.

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2024Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program. (2024). Lin, Tse-Chun ; Deng, Mengdie ; Zhou, Jiayu. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s138641812300068x.

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2024Understanding the impacts of dark pools on price discovery. (2024). Ye, Linlin. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418123000800.

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2024The impact of margin requirements on voluntary clearing decisions. (2024). Sharma, Rajiv ; Onur, Esen ; Reiffen, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000107.

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2024Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market. (2024). Yuferova, Darya. In: Journal of Financial Markets. RePEc:eee:finmar:v:69:y:2024:i:c:s1386418124000272.

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2024Margin trading, short selling, and information asymmetry. (2024). Zhang, Yeqing ; Xu, Minggang. In: Journal of Financial Markets. RePEc:eee:finmar:v:70:y:2024:i:c:s1386418124000442.

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2025Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency. (2025). Jiang, Hao ; Ma, Yong ; Wang, Tianyang. In: Journal of Financial Markets. RePEc:eee:finmar:v:73:y:2025:i:c:s1386418125000096.

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2024The demand for central clearing: To clear or not to clear, that is the question!. (2024). Bellia, Mario ; Peltonen, Tuomas ; Panzica, Roberto ; Pelizzon, Loriana ; Girardi, Giulio. In: Journal of Financial Stability. RePEc:eee:finsta:v:72:y:2024:i:c:s1572308924000329.

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2024Volatile safe-haven asset: Evidence from Bitcoin. (2024). Yae, James ; Tian, George Zhe. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000706.

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2024Digital payments and bank competition. (2024). Verdier, Marianne. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s157230892400072x.

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2024Automatic versus manual investing: Role of past performance. (2024). Talavera, Oleksandr ; Kowalewski, Oskar ; Kaawach, Said. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308924001049.

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2025Stress testing OTC derivatives: Clearing reforms and market frictions. (2025). Casu, Barbara ; Katsoulis, Petros ; Kalotychou, Elena. In: Journal of Financial Stability. RePEc:eee:finsta:v:77:y:2025:i:c:s1572308925000178.

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2024Heterogeneity of foreign investors and Knightian uncertainty: Evidence from the Chinese capital market. (2024). Meng, Yongqiang ; Wang, Yang ; Li, Yang ; Xiong, Xiong. In: Global Finance Journal. RePEc:eee:glofin:v:61:y:2024:i:c:s1044028324000541.

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2025Securing passive liquidity: The impact of Europe’s first asymmetric speed bump on market liquidity. (2025). le Moign, Caroline. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000356.

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2024Trade fragmentation and volatility-of-volatility networks. (2024). JAWADI, Fredj ; BASTIDON, Cécile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024Diverse investor reactions to the COVID-19 Pandemic: Insights from an emerging market. (2024). Neupane, Suman ; Fan, Zhebin ; Sanchez, Daniel Yanes. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:93:y:2024:i:c:s1042443124000660.

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2024Blockchain factors. (2024). Urquhart, Andrew ; Sakkas, Athanasios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000787.

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2024How does standardization affect OTC markets in the long term? Evidence from the small bang reform in the CDS market. (2024). Banti, Chiara ; Kellard, Neil ; Manac, Radu-Dragomir. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001094.

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

Works by Albert J. Menkveld:

YearTitleTypeCited
2023Non-Standard Errors In: LIDAM Reprints LFIN.
[Citation analysis]		paper13
2021Non-Standard Errors.(2021) In: Working Papers.
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2024Nonstandard Errors.(2024) In: Journal of Finance.
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2021Non-Standard Errors.(2021) In: Cambridge Working Papers in Economics.
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2021Non-Standard Errors.(2021) In: Janeway Institute Working Papers.
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2021Non-Standard Errors.(2021) In: CESifo Working Paper Series.
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2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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2024Nonstandard Errors.(2024) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2024Nonstandard Errors.(2024) In: Post-Print.
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This paper has nother version. Agregated cites: 13		paper
2024Nonstandard Errors.(2024) In: Post-Print.
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This paper has nother version. Agregated cites: 13		paper
2021Non-Standard Errors.(2021) In: Post-Print.
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This paper has nother version. Agregated cites: 13		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 13		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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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.
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2023Non-Standard Errors.(2023) In: TSE Working Papers.
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This paper has nother version. Agregated cites: 13		paper
2021Non-standard errors.(2021) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 13		paper
2021Non-standard errors.(2021) In: IWH Discussion Papers.
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This paper has nother version. Agregated cites: 13		paper
2021Non-standard errors.(2021) In: SAFE Working Paper Series.
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This paper has nother version. Agregated cites: 13		paper
2021The Economics of Central Clearing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article19
2016The Economics of High-Frequency Trading: Taking Stock In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article99
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article40
2019The cost of clearing fragmentation In: BIS Working Papers.
[Full Text][Citation analysis]		paper6
2019The cost of clearing fragmentation.(2019) In: Bank of England working papers.
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This paper has nother version. Agregated cites: 6		paper
2024The Cost of Clearing Fragmentation.(2024) In: Management Science.
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This paper has nother version. Agregated cites: 6		article
2019Central counterparty exposure in stressed markets In: BIS Working Papers.
[Full Text][Citation analysis]		paper4
2021Central Counterparty Exposure in Stressed Markets.(2021) In: Management Science.
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This paper has nother version. Agregated cites: 4		article
2004Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework In: European Financial Management.
[Full Text][Citation analysis]		article5
2014High-Frequency Traders and Market Structure In: The Financial Review.
[Full Text][Citation analysis]		article18
2008Competition for Order Flow and Smart Order Routing Systems In: Journal of Finance.
[Full Text][Citation analysis]		article145
2006Competition for Order Flow and Smart Order Routing Systems.(2006) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 145		paper
2006Competition for order flow and smart order routing systems.(2006) In: HEC Research Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 145		paper
2008Competition for Order Flow and Smart Order Routing Systems.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 145		paper
2008Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount In: Journal of Finance.
[Full Text][Citation analysis]		article181
2006Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount.(2006) In: Serie Research Memoranda.
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This paper has nother version. Agregated cites: 181		paper
2011Does Algorithmic Trading Improve Liquidity? In: Journal of Finance.
[Full Text][Citation analysis]		article588
2008Does algorithmic trading improve liquidity?.(2008) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 588		paper
2019High‐Frequency Trading around Large Institutional Orders In: Journal of Finance.
[Full Text][Citation analysis]		article71
2017High-Frequency Trading around Large Institutional Orders.(2017) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 71		paper
2019Information Revelation in Decentralized Markets In: Journal of Finance.
[Full Text][Citation analysis]		article20
2023Equilibrium Bitcoin Pricing In: Journal of Finance.
[Full Text][Citation analysis]		article117
2020Equilibrium Bitcoin Pricing.(2020) In: EconPol Working Paper.
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This paper has nother version. Agregated cites: 117		paper
2023Equilibrium bitcoin pricing.(2023) In: Post-Print.
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This paper has nother version. Agregated cites: 117		paper
2019Equilibrium Bitcoin Pricing.(2019) In: 2019 Meeting Papers.
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This paper has nother version. Agregated cites: 117		paper
2021Equilibrium Bitcoin Pricing.(2021) In: TSE Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 117		paper
1997VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES In: Journal of Financial Research.
[Full Text][Citation analysis]		article9
2012Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article16
2022Computational Reproducibility in Finance: Evidence from 1,000 Tests In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper6
2024Computational Reproducibility in Finance: Evidence from 1,000 Tests.(2024) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2024Computational Reproducibility in Finance: Evidence from 1,000 Tests.(2024) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2004Euro area sovereign yield dynamics: the role of order imbalance In: Working Paper Series.
[Full Text][Citation analysis]		paper14
2006Euro-Area Sovereign Yield Dynamics: the role of order imbalance.(2006) In: Serie Research Memoranda.
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This paper has nother version. Agregated cites: 14		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]		article58
2013How do designated market makers create value for small-caps? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article30
2013High frequency trading and the new market makers In: Journal of Financial Markets.
[Full Text][Citation analysis]		article287
2011High Frequency Trading and the New-Market Makers.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 287		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 nother 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]		article30
2014Price pressures In: Journal of Financial Economics.
[Full Text][Citation analysis]		article28
2010Price pressures.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2017Shades of darkness: A pecking order of trading venues In: Journal of Financial Economics.
[Full Text][Citation analysis]		article49
2015Shades of Darkness: A Pecking Order of Trading Venues.(2015) In: 2015 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2008Splitting orders in overlapping markets: A study of cross-listed stocks In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article32
2006Splitting orders in overlapping markets: a study of cross-listed stocks.(2006) In: Serie Research Memoranda.
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This paper has nother version. Agregated cites: 32		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.
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This paper has nother 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.
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This paper has nother version. Agregated cites: 2		paper
1996The Decision Between Internal and External R&D. In: NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
[Citation analysis]		paper41
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2017Need for Speed? Exchange Latency and Liquidity In: Post-Print.
[Citation analysis]		paper95
2016Need for Speed? Exchange Latency and Liquidity.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 95		paper
2017Need for Speed? Exchange Latency and Liquidity.(2017) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 95		article
2014Need for Speed? Exchange Latency and Liquidity.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 95		paper
2022Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance In: Post-Print.
[Citation analysis]		paper0
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.
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This paper has nother version. Agregated cites: 6		paper
2016Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets In: Working Papers.
[Full Text][Citation analysis]		paper7
2022Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance In: Working Papers.
[Citation analysis]		paper1
2019The Flash Crash: A Cautionary Tale About Highly Fragmented Markets In: Management Science.
[Full Text][Citation analysis]		article29
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]		paper4
2017Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]		article25
2025Large orders in small markets: execution with endogenous liquidity supply In: Review of Finance.
[Full Text][Citation analysis]		article0
2023Large Orders in Small Markets: Execution with Endogenous Liquidity Supply.(2023) In: Tinbergen Institute Discussion Papers.
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2022Asset Price Dynamics with Limited Attention In: The Review of Financial Studies.
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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]		article8
2012Limit order books and trade informativeness In: The European Journal of Finance.
[Full Text][Citation analysis]		article7
2011Limit order books and trade informativeness.(2011) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 7		paper
2018High-Frequency Trading as Viewed through an Electron Microscope In: Financial Analysts Journal.
[Full Text][Citation analysis]		article0
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.
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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.
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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.
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2022Equilibrium Bid-Price Dispersion In: Journal of Political Economy.
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2006Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China In: Serie Research Memoranda.
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2017Monitoring CCP Exposure, in Real Time if Needed In: World Scientific Book Chapters.
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2005Understanding the limit order book: Conditioning on trade informativeness In: CFR Working Papers.
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2008Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate In: CFS Working Paper Series.
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