Albert J. Menkveld : Citation Profile

Are you Albert J. Menkveld?

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

13

H index

16

i10 index

824

Citations

RESEARCH PRODUCTION:

23

Articles

41

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1994 - 2017). See details.
   Cites by year: 35
   Journals where Albert J. Menkveld has often published
   Relations with other researchers
   Recent citing documents: 183.    Total self citations: 13 (1.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme346
   Updated: 2019-01-20    RAS profile: 2018-06-06    
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Relations with other researchers

Works with:

Zoican, Marius (5)

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

Is cited by:

Johansson, Anders (17)

Foucault, Thierry (17)

Pelizzon, Loriana (10)

Feng, Xunan (10)

Schnabel, Claus (10)

Theissen, Erik (9)

Brixy, Udo (9)

Frijns, Bart (8)

Ødegaard, Bernt (8)

Aitken, Michael (8)

van Kervel, Vincent (7)

Cites to:

Biais, Bruno (14)

Madhavan, Ananth (11)

Pedersen, Lasse (10)

Chakravarty, Sugato (9)

Pagano, Marco (9)

Grossman, Sanford (8)

Stoll, Hans (8)

Easley, David (7)

Koopman, Siem Jan (7)

Vayanos, Dimitri (6)

Gromb, Denis (6)

Main data

Where Albert J. Menkveld has published?

Journals with more than one article published# docs
Journal of Financial Markets4
Journal of Finance3
Journal of Financial Economics2

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

Recent works citing Albert J. Menkveld (2018 and 2017)

YearTitle of citing document
2017Central Clearing Valuation Adjustment. (2017). St'ephane Cr'epey, ; Yannick, Armenti . In: Papers. RePEc:arx:papers:1506.08595.

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2017Optimal market making. (2017). Gu, Olivier . In: Papers. RePEc:arx:papers:1605.01862.

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2017A High Frequency Trade Execution Model for Supervised Learning. (2017). Dixon, Matthew F. In: Papers. RePEc:arx:papers:1710.03870.

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2018The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Lu, Shan ; Wang, Huiwen ; Zhao, Jichang. In: Papers. RePEc:arx:papers:1802.01143.

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

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2018Optimal make-take fees for market making regulation. (2018). el Euch, Omar ; Touzi, Nizar ; Rosenbaum, Mathieu ; Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:1805.02741.

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Paulin, James ; Wooldridge, Michael ; Calinescu, Anisoara . In: Papers. RePEc:arx:papers:1805.08454.

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2018Electronic Market Making and Latency. (2018). Gao, Xuefeng ; Wang, Yunhan. In: Papers. RePEc:arx:papers:1806.05849.

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2018DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2018). Zhang, Zihao ; Roberts, Stephen ; Zohren, Stefan. In: Papers. RePEc:arx:papers:1808.03668.

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

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2018Endogeneous Dynamics of Intraday Liquidity. (2018). Bi, Mikolaj ; Lehalle, Charles-Albert. In: Papers. RePEc:arx:papers:1811.03766.

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2018Lagged correlation-based deep learning for directional trend change prediction in financial time series. (2018). Moews, Ben ; Ibikunle, Gbenga ; Herrmann, Michael J. In: Papers. RePEc:arx:papers:1811.11287.

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2018Limits 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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2018Selection mechanism design affects volatility in a market of evolving zero-intelligence agents. (2018). van Oort, Colin Michael ; Dewhurst, David Rushing ; Arnold, Michael Vincent. In: Papers. RePEc:arx:papers:1812.05657.

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2017Trading Fees and Intermarket Competition. (2017). Panayides, Marios ; Werner, Ingrid M ; Rindi, Barbara. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1751.

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2018Speed Segmentation on Exchanges: Competition for Slow Flow. (2018). Anderson, Lisa ; Walton, Adrian ; Mueller, Michael ; Devani, Baiju ; Andrews, Emad. In: Staff Working Papers. RePEc:bca:bocawp:18-3.

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2018High-Frequency Trading and Institutional Trading Costs. (2018). Garriott, Corey ; Chen, Marie. In: Staff Working Papers. RePEc:bca:bocawp:18-8.

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2017Foreign Institutional Investment, Ownership, and Liquidity: Real and Informational Frictions. (2017). Suardi, Sandy ; Nilsson, Birger ; Ding, Mingfa . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:1:p:101-144.

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2017COMPETITION BETWEEN EQUITY MARKETS: A REVIEW OF THE CONSOLIDATION VERSUS FRAGMENTATION DEBATE. (2017). Theissen, Erik ; Westheide, Christian ; Weber, Moritz Christian ; Sagade, Satchit ; Gomber, Peter. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:3:p:792-814.

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2017ODD LOT ORDER AGGRESSIVENESS AND STEALTH TRADING. (2017). Johnson, Hardy ; Roseman, Brian. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:249-281.

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2018Who Improves or Worsens Liquidity in the Korean Treasury Bond Market?. (2018). Lee, Jieun. In: Working Papers. RePEc:bok:wpaper:1803.

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2018Implications of High-Frequency Trading for Security Markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1802.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2017Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-. (2017). Saito, Taiga ; Yoshino, Naoyuki ; Tsuda, Hiroshi ; Takahashi, Akihiko ; Nakatsuma, Teruo ; Adachi, Takanori. In: CARF F-Series. RePEc:cfi:fseres:cf411.

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2017Attention-based vs information-based trading around announcements. Evidence from an emerging market. (2017). Agudelo, Diego ; Munera, Julian ; Hincapie, Juliana ; Amaya, Diego. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016359.

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2017Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families. (2017). Eisele, Alexander ; Peijnenburg, Kim ; Parise, Gianpaolo ; Nefedova, Tamara . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12225.

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2017Market Liquidity after the Financial Crisis. (2017). Shachar, Or ; Fleming, Michael ; Adrian, Tobias ; Vogt, Erik . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12248.

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2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets. (2017). Hatheway, Frank ; Zheng, Hui ; Kwan, Amy. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:52:y:2017:i:06:p:2399-2427_00.

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2017Risk indicators for financial market infrastructure: from high frequency transaction data to a traffic light signal. (2017). Berndsen, Ron ; Heijmans, Ronald . In: DNB Working Papers. RePEc:dnb:dnbwpp:557.

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2017High Frequency Trading and Fragility. (2017). Vives, Xavier ; Cespa, Giovanni . In: IESE Research Papers. RePEc:ebg:iesewp:d-1161.

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2017Financial transaction taxes, market composition, and liquidity. (2017). Hoffmann, Peter ; Colliard, Jean-Edouard. In: Working Paper Series. RePEc:ecb:ecbwps:20172030.

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2018Data, algorithms and policies: Redefining the digital world. (2018). -, . In: Libros y Documentos Institucionales. RePEc:ecr:col016:43515.

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2018Linguistic tone and the small trader. (2018). Baginski, Stephen P ; Yu, Yingri Julia ; Kausar, Asad ; Demers, Elizabeth. In: Accounting, Organizations and Society. RePEc:eee:aosoci:v:68-69:y:2018:i::p:21-37.

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2017Industry specific effects on innovation performance in China. (2017). Guan, Jian Cheng ; Pang, Lanxin . In: China Economic Review. RePEc:eee:chieco:v:44:y:2017:i:c:p:125-137.

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2018Living through the Great Chinese Famine: Early-life experiences and managerial decisions. (2018). Johansson, Anders ; Feng, Xunan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:638-657.

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2018Time-varying arbitrage and dynamic price discovery. (2018). Frijns, Bart. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:485-502.

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2017Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect. (2017). Ahmed, Abdullahi ; Huo, Rui . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:260-272.

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2018Connecting the markets? Recent evidence on China’s capital account liberalization. (2018). Chan, Marc ; Kwok, Simon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:417-428.

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2017Mispricing in the odd lots market in Brazil. (2017). Perlin, Marcelo ; Righi, Marcelo B ; Ramos, Henrique P. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:618-628.

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2018The impact of funding liquidity on market quality. (2018). Chen, Wei-Peng ; Wu, Chih-Chiang ; Lu, Jun ; Lin, Shu Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:153-166.

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2018Switches in price discovery: Are U.S. traders more qualified in making valuations?. (2018). Qadan, Mahmoud. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:221-234.

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2017Everyone’s a winner: The market impact of technologically advantaged agents. (2017). McGee, Richard J. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:95-98.

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2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows. (2017). Le Fol, Gaelle ; darolles, serge ; Mero, Gulten. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:367-383.

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2018Designating market maker behaviour in limit order book markets. (2018). Panayi, Efstathios ; Zigrand, Jean-Pierre ; Danielsson, Jon ; Peters, Gareth W. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:20-44.

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2018On the changing structure among Chinese equity markets: Hong Kong, Shanghai, and Shenzhen. (2018). Bessler, David A ; Huang, Wei ; Lai, Pei-Chun. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1020-1032.

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2018Investment in high-frequency trading technology: A real options approach. (2018). Delaney, Laura. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:1:p:375-385.

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2017Information asymmetry and investor trading behavior around bond rating change announcements. (2017). Yang, Hee Jin ; Ahn, Hee-Joon ; Kim, Maria H ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:38-51.

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2017The success of option listings. (2017). Bernales, Alejandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:139-161.

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2017The impact of fragmentation, exchange fees and liquidity provision on market quality. (2017). Aitken, Michael ; Foley, Sean ; Chen, Haoming . In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:140-160.

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2017Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239.

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2017Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation. (2017). Chakrabarty, Bidisha ; Pascual, Roberto ; Moulton, Pamela C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:74-90.

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2017The evolving beta-liquidity relationship of hedge funds. (2017). Stefanova, Denitsa ; Siegmann, Arjen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:286-303.

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2017How some bankers made a million by trading just two securities?. (2017). Rinne, Kalle ; Suominen, Matti . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:304-315.

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2018Portfolio construction and crowding. (2018). Bruno, Salvatore ; Ohara, Frank ; Chincarini, Ludwig B. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:190-206.

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2018Trading places: Price leadership and the competition for order flow. (2018). Ibikunle, Gbenga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:178-200.

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2018The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares. (2018). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:136-152.

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2018Is U.S. economic policy uncertainty priced in Chinas A-shares market? Evidence from market, industry, and individual stocks. (2018). Kutan, Ali ; Sun, Ping-Wen ; Hu, Zhijun. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:207-220.

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2018Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196.

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2017The impact of Shanghai–Hong Kong Stock Connect policy on A-H share price premium. (2017). Fan, Qingliang (Michael) ; Wang, Ting. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:222-227.

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2018A new approach for detecting high-frequency trading from order and trade data. (2018). Ekinci, Cumhur ; Ersan, Oguz. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:313-320.

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2018Algorithmic trading and liquidity: Long term evidence from Austria. (2018). Theissen, Erik ; Mestel, Roland ; Murg, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:198-203.

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2017Intraday price discovery in fragmented markets. (2017). van der Wel, Michel ; Ozturk, Sait ; van Dijk, Dick . In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:28-48.

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2017Multiple markets, algorithmic trading, and market liquidity. (2017). Upson, James ; van Ness, Robert A. In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:49-68.

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2017Effects of lit and dark market fragmentation on liquidity. (2017). Gresse, Carole. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:1-20.

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2018Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange. (2018). Ødegaard, Bernt ; Skjeltorp, Johannes ; Jorgensen, Kjell . In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:1-16.

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2018Short selling in extreme events. (2018). Geraci, Marco Valerio ; Veredas, David ; Garbaraviius, Tomas. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:90-103.

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2018The impact of Chinese financial markets on commodity currency exchange rates. (2018). Ma, Xiuying ; Wang, Chengqi ; Xu, Xiangyun ; Yang, Zhihua. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:186-198.

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2017Shanghai-Hong Kong Stock Connect: An analysis of Chinese partial stock market liberalization impact on the local and foreign markets. (2017). Pang, Darien Yan ; Bai, YE. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:182-203.

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2018Does feedback trading drive returns of cross-listed shares?. (2018). Chen, Jing ; McMillan, David G ; Hou, Wenxuan ; Dong, Yizhe. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:179-199.

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2018Media censorship and stock price: Evidence from the foreign share discount in China. (2018). Ding, Rong ; Zhang, John Ziyang ; Liu, Yue ; Hou, Wenxuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:112-133.

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2018Do liquidity proxies measure liquidity accurately in ETFs?. (2018). Marshall, Ben ; Visaltanachoti, Nuttawat ; Nguyen, Nhut H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:94-111.

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2018Are the stock markets “rigged”? An empirical analysis of regulatory change. (2018). Diamond, Stephen F ; Kuan, Jennifer W. In: International Review of Law and Economics. RePEc:eee:irlaec:v:55:y:2018:i:c:p:33-40.

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20171-share orders and trades. (2017). Davis, Ryan L ; van Ness, Robert ; Roseman, Brian S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:109-117.

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2017Are all odd-lots the same? Odd-lot transactions by order submission and trader type. (2017). Johnson, Hardy ; van Ness, Robert A. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:1-11.

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2017Understanding the impact of monetary policy announcements: The importance of language and surprises. (2017). Smales, Lee ; Apergis, Nicholas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:33-50.

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2017Risk-sharing, market imperfections, asset prices: Evidence from China’s stock market liberalization. (2017). Chan, Marc ; Kwok, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:166-187.

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2017Human vs. high-frequency traders, penny jumping, and tick size. (2017). Mahmoodzadeh, Soheil ; Genay, Ramazan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:85:y:2017:i:c:p:69-82.

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2018Evaluating VPIN as a trigger for single-stock circuit breakers. (2018). Abad, David ; Pascual, Roberto ; Massot, Magdalena. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:21-36.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2017A model for unpacking big data analytics in high-frequency trading. (2017). , Jonathan ; Currie, Wendy L. In: Journal of Business Research. RePEc:eee:jbrese:v:70:y:2017:i:c:p:300-307.

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2018Round-number biases and informed trading in global markets. (2018). Chen, Tao. In: Journal of Business Research. RePEc:eee:jbrese:v:92:y:2018:i:c:p:105-117.

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2019Price reversals and price continuations following large price movements. (2019). Dyl, Edward A ; Zaynutdinova, Gulnara R ; Yuksel, Zafer H. In: Journal of Business Research. RePEc:eee:jbrese:v:95:y:2019:i:c:p:1-12.

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2018Bubbles in hybrid markets: How expectations about algorithmic trading affect human trading. (2018). Kirchkamp, Oliver ; Farjam, Mike. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:146:y:2018:i:c:p:248-269.

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2018The effect of fast trading on price discovery and efficiency: Evidence from a betting exchange. (2018). Bizzozero, Paolo ; Franck, Egon ; Flepp, Raphael. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:156:y:2018:i:c:p:126-143.

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2017High frequency trading and the 2008 short-sale ban. (2017). Brogaard, Jonathan ; Riordan, Ryan ; Hendershott, Terrence. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:22-42.

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2017Dark pool trading strategies, market quality and welfare. (2017). Buti, Sabrina ; Werner, Ingrid M ; Rindi, Barbara. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:2:p:244-265.

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2017Designated market makers still matter: Evidence from two natural experiments. (2017). Clark-Joseph, Adam D ; Zi, Chao ; Ye, Mao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:652-667.

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2018High frequency trading and extreme price movements. (2018). Brogaard, Jonathan ; Sokolov, Konstantin ; Shkilko, Andriy ; Riordan, Ryan ; Moyaert, Thibaut ; Carrion, Allen . In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:253-265.

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2018Private information, capital flows, and exchange rates. (2018). Loretan, Mico ; Gyntelberg, Jacob ; Subhanij, Tientip . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:40-55.

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2019Performance and informed trading. Comparing foreigners, institutions and individuals in an emerging stock market. (2019). Agudelo, Diego ; Yepes-Henao, Paula ; Byder, James. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:187-203.

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2018Stock market reaction to irregular supermarket chain behaviour: An investigation in the retail sectors of Ireland and the United Kingdom. (2018). Corbet, Shaen ; McMullan, Caroline. In: Journal of Retailing and Consumer Services. RePEc:eee:joreco:v:43:y:2018:i:c:p:20-29.

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2017Market liberalization and the extent of informed trading: Evidence from China’s equity markets. (2017). Alhaj-Yaseen, Yaseen S ; Jin, Yinghua ; Rao, XI. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:39:y:2017:i:c:p:78-99.

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2018Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks. (2018). Ghadhab, Imen. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:1-10.

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2018Herding tendency among investors with heterogeneous information: Evidence from China’s equity markets. (2018). Alhaj-Yaseen, Yaseen S ; Yau, Siu-Kong. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:60-75.

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2017Research in finance: A review of influential publications and a research agenda. (2017). Linnenluecke, Martina K ; Zhu, Yushu ; Smith, Tom ; Ling, Xin ; Chen, Xiaoyan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:188-199.

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2017Decoding Chinese stock market returns: Three-state hidden semi-Markov model. (2017). Wang, Shixuan ; Liu, Zhenya. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:127-149.

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2017Automated liquidity provision. (2017). Michayluk, David ; Gerig, Austin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:1-13.

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2017An empirical analysis of algorithmic trading around earnings announcements. (2017). Zheng, Hui ; Prodromou, Tina ; Westerholm, Joakim P ; Frino, Alex. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:34-51.

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2017The effect of algorithmic trading on market liquidity: Evidence around earnings announcements on Borsa Italiana. (2017). Monaco, Eleonora ; Palumbo, Riccardo ; Frino, Alex ; Mollica, Vito. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:82-90.

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2017The impact of latency sensitive trading on high frequency arbitrage opportunities. (2017). Webb, Robert I ; Mollica, Vito ; Zhang, Shunquan ; Frino, Alex. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:91-102.

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2017Momentum, idiosyncratic volatility and market dynamics: Evidence from China. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:46:y:2017:i:pa:p:109-123.

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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]		article18
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article23
2004Analysing Perceived Downside Risk: the Component Value-at-Risk Framework In: European Financial Management.
[Full Text][Citation analysis]		article3
2014High-Frequency Traders and Market Structure In: The Financial Review.
[Full Text][Citation analysis]		article3
2008Competition for Order Flow and Smart Order Routing Systems In: Journal of Finance.
[Full Text][Citation analysis]		article74
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: 74		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: 74		paper
2008Competition for Order Flow and Smart Order Routing Systems.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 74		paper
2008Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount In: Journal of Finance.
[Full Text][Citation analysis]		article95
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: 95		paper
2011Does Algorithmic Trading Improve Liquidity? In: Journal of Finance.
[Full Text][Citation analysis]		article231
2008Does algorithmic trading improve liquidity?.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 231		paper
1997VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES In: Journal of Financial Research.
[Full Text][Citation analysis]		article7
2012Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article5
2004Euro area sovereign yield dynamics: the role of order imbalance In: Working Paper Series.
[Full Text][Citation analysis]		paper12
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: 12		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]		article27
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]		article40
2013How do designated market makers create value for small-caps? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article11
2013High frequency trading and the new market makers In: Journal of Financial Markets.
[Full Text][Citation analysis]		article108
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: 108		paper
2002Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York In: Journal of Financial Markets.
[Full Text][Citation analysis]		article26
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: 26		paper
2001Market dynamics in the Netherlands: Competition policy and the role of small firms In: International Journal of Industrial Organization.
[Full Text][Citation analysis]		article24
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]		article1
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: 1		paper
2008Splitting orders in overlapping markets: A study of cross-listed stocks In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article12
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: 12		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]		paper28
2017Need for Speed? Exchange Latency and Liquidity In: Post-Print.
[Citation analysis]		paper15
2016Need for Speed? Exchange Latency and Liquidity.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		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: 15		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: 15		paper
2006Competition for Order Flow Smart Order Routing Systems In: Post-Print.
[Citation analysis]		paper1
2006Competition for Order Flow Smart Order Routing Systems.(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2016Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets In: Working Papers.
[Full Text][Citation analysis]		paper4
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]		article2
2010Middlemen in Limit Order Markets In: 2010 Meeting Papers.
[Citation analysis]		paper3
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]		article0
2012Limit order books and trade informativeness In: The European Journal of Finance.
[Full Text][Citation analysis]		article5
2011Limit order books and trade informativeness.(2011) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
1998A Pricing Model for American Options with Stochastic Interest Rates In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
1999Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
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]		paper2
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]		paper5
2017High-Frequency Trading around Large Institutional Orders In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper8
2006Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper0
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 January, 3th 2019. Contact: CitEc Team