Albert J. Menkveld : Citation Profile


Are you Albert J. Menkveld?

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

13

H index

17

i10 index

940

Citations

RESEARCH PRODUCTION:

24

Articles

44

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1994 - 2019). See details.
   Cites by year: 37
   Journals where Albert J. Menkveld has often published
   Relations with other researchers
   Recent citing documents: 226.    Total self citations: 13 (1.36 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme346
   Updated: 2019-11-10    RAS profile: 2019-10-18    
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Relations with other researchers


Works with:

Zoican, Marius (5)

van Kervel, Vincent (2)

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

Is cited by:

Johansson, Anders (17)

Foucault, Thierry (17)

Schnabel, Claus (10)

Pelizzon, Loriana (10)

Feng, Xunan (10)

Brixy, Udo (9)

LINTON, OLIVER (9)

Theissen, Erik (9)

Frijns, Bart (8)

Bellia, Mario (8)

Aitken, Michael (8)

Cites to:

Biais, Bruno (13)

Pedersen, Lasse (12)

Grossman, Sanford (11)

Madhavan, Ananth (11)

Stoll, Hans (10)

Pagano, Marco (9)

Chakravarty, Sugato (9)

Miller, Merton (7)

Koopman, Siem Jan (7)

Vayanos, Dimitri (6)

Amihud, Yakov (6)

Main data


Where Albert J. Menkveld has published?


Journals with more than one article published# docs
Journal of Financial Markets4
Journal of Finance4
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
CFS Working Paper Series / Center for Financial Studies (CFS)4
Post-Print / HAL4
Working Papers / HAL2
Staff Reports / Federal Reserve Bank of New York2

Recent works citing Albert J. Menkveld (2019 and 2018)


YearTitle of citing document
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). Wang, Huiwen ; Zhao, Jichang ; Lu, Shan. 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). Touzi, Nizar ; Rosenbaum, Mathieu ; Mastrolia, Thibaut ; el Euch, Omar. 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). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Papers. RePEc:arx:papers:1805.08454.

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

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2019DeepLOB: 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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2018New closed-form approximations in multi-asset market making. (2018). Vieira, Douglas ; Evangelista, David. In: Papers. RePEc:arx:papers:1810.04383.

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2018Endogeneous Dynamics of Intraday Liquidity. (2018). Lehalle, Charles-Albert ; Bi, Mikolaj . 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). Ibikunle, Gbenga ; Herrmann, Michael J ; Moews, Ben. 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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2019Selection mechanisms affect volatility in evolving markets. (2019). Dewhurst, David Rushing ; Arnold, Michael Vincent ; van Oort, Colin Michael. In: Papers. RePEc:arx:papers:1812.05657.

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

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2019Market Manipulation as a Security Problem. (2019). Mavroudis, Vasilios. In: Papers. RePEc:arx:papers:1903.12458.

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2019Liquid Speed: On-Demand Fast Trading at Distributed Exchanges. (2019). Zoican, Marius ; Brolley, Michael. In: Papers. RePEc:arx:papers:1907.10720.

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2019Intra-day Equity Price Prediction using Deep Learning as a Measure of Market Efficiency. (2019). Balch, Tucker Hybinette ; Byrd, David. In: Papers. RePEc:arx:papers:1908.08168.

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2019Libra: Fair Order-Matching for Electronic Financial Exchanges. (2019). Melton, Hayden ; Mavroudis, Vasilios. In: Papers. RePEc:arx:papers:1910.00321.

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2019Do speed bumps curb low-latency trading? Evidence from a laboratory market. (2019). Zoican, Marius ; Khapko, Mariana. In: Papers. RePEc:arx:papers:1910.03068.

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2018Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays. (2018). Cimon, David ; Brolley, Michael. In: Staff Working Papers. RePEc:bca:bocawp:18-16.

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2018Speed Segmentation on Exchanges: Competition for Slow Flow. (2018). Walton, Adrian ; Mueller, Michael ; Devani, Baiju ; Andrews, Emad ; Anderson, Lisa. 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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2018Twenty Years of Accounting and Finance Research on the Chinese Capital Market. (2018). Han, Jianlei ; Shi, Jing ; Pan, Zheyao ; He, Jing. In: Abacus. RePEc:bla:abacus:v:54:y:2018:i:4:p:576-599.

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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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2018Public News Arrival and Cross‐Asset Correlation Breakdown. (2018). Yu, Jing ; Liu, WaiMan ; Ho, KinYip . In: International Review of Finance. RePEc:bla:irvfin:v:18:y:2018:i:3:p:411-451.

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2018Front‐Running and Market Quality: An Evolutionary Perspective on High Frequency Trading. (2018). Schenk-Hoppé, Klaus ; Lensberg, Terje ; SchenkHoppe, Klaus Reiner ; Hens, Thorsten. In: International Review of Finance. RePEc:bla:irvfin:v:18:y:2018:i:4:p:727-741.

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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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2019The cost of clearing fragmentation. (2019). Vasios, Michalis ; Menkveld, Albert ; Huang, Wenqian ; Benos, Evangelos. In: Bank of England working papers. RePEc:boe:boeewp:0800.

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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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2018Exchange Competition, Entry, and Welfare. (2018). Vives, Xavier ; Cespa, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7432.

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2018Market Structure and Transaction Costs of Index CDSs. (2018). Trolle, Anders B ; Junge, Benjamin ; Collin-Dufresne, Pierre. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1840.

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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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2019Do Fundamentals Drive Cryptocurrency Prices?. (2019). Korniotis, George ; Delikouras, Stefanos ; Bhambhwani, Siddharth. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13724.

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2019“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets. (2019). Sulewski, Christoph ; Siklos, Pierre L ; Putz, Alexander. In: CQE Working Papers. RePEc:cqe:wpaper:8819.

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

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2019Have Stock Prices become more Uniformly Distributed?. (2019). Winters, Drew ; Sabah, Nasim ; Baig, Ahmed. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00450.

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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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2019Competition among high-frequency traders, and market quality. (2019). Breckenfelder, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20192290.

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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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2019Behavior of foreign investors in the Malaysian stock market in times of crisis: A nonlinear approach. (2019). Omay, Tolga ; Iren, Perihan. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:85-100.

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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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2019Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

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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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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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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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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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2019The demand effect of yield-chasing retail investors: Evidence from the Chinese enterprise bond market. (2019). Zhong, Ninghua ; John, K C ; Wang, Shujing ; Liu, Clark . In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:57-77.

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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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2019Information or noise: What does algorithmic trading incorporate into the stock prices?. (2019). Elliott, Robert J ; Zhou, Hao ; Kalev, Petko S. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:27-39.

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2019Are cash-flow betas really bad? Evidence from the Greater Chinese stock markets. (2019). Ohk, Ki Yool ; Wu, Ming ; Ko, Kwangsoo. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:58-68.

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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 ; Jorgensen, Kjell ; Skjeltorp, Johannes . In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:1-16.

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2019Informed contrarian trades and stock returns. (2019). Chang, Sanders ; Wang, Albert F. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:75-93.

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2019Fast and slow informed trading. (2019). Rou, Ioanid . In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:1-30.

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2019An analysis of over-the-counter and centralized stock lending markets. (2019). Prado, Melissa Porras ; Huszar, Zsuzsa R. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:31-53.

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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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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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2019Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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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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2019Ultra-fast activity and intraday market quality. (2019). Tapia, Mikel ; Penalva, Jose ; Payne, Richard ; Cartea, Alvaro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:157-181.

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

Works by Albert J. Menkveld:


YearTitleTypeCited
2016The Economics of High-Frequency Trading: Taking Stock In: Annual Review of Financial Economics.
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2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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2004Analysing Perceived Downside Risk: the Component Value-at-Risk Framework In: European Financial Management.
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2014High-Frequency Traders and Market Structure In: The Financial Review.
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2008Competition for Order Flow and Smart Order Routing Systems In: Journal of Finance.
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2006Competition for Order Flow and Smart Order Routing Systems.(2006) In: CEPR Discussion Papers.
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2006Competition for order flow and smart order routing systems.(2006) In: HEC Research Papers Series.
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2008Competition for Order Flow and Smart Order Routing Systems.(2008) In: Post-Print.
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2008Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount In: Journal of Finance.
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2006Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount.(2006) In: Serie Research Memoranda.
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2011Does Algorithmic Trading Improve Liquidity? In: Journal of Finance.
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2008Does algorithmic trading improve liquidity?.(2008) In: CFS Working Paper Series.
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2019High‐Frequency Trading around Large Institutional Orders In: Journal of Finance.
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2017High-Frequency Trading around Large Institutional Orders.(2017) In: Tinbergen Institute Discussion Papers.
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1997VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES In: Journal of Financial Research.
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2019The cost of clearing fragmentation In: Bank of England working papers.
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2012Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate In: Journal of Financial and Quantitative Analysis.
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2004Euro area sovereign yield dynamics: the role of order imbalance In: Working Paper Series.
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2006Euro-Area Sovereign Yield Dynamics: the role of order imbalance.(2006) In: Serie Research Memoranda.
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2004Understanding limit order book depth: conditioning on trade informativeness In: Econometric Society 2004 Latin American Meetings.
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2009Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years In: China Economic Review.
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2007The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market In: Journal of Financial Markets.
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2013How do designated market makers create value for small-caps? In: Journal of Financial Markets.
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2013High frequency trading and the new market makers In: Journal of Financial Markets.
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2011High Frequency Trading and the New-Market Makers.(2011) In: Tinbergen Institute Discussion Papers.
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2002Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York In: Journal of Financial Markets.
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2000Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York.(2000) In: Tinbergen Institute Discussion Papers.
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2001Market dynamics in the Netherlands: Competition policy and the role of small firms In: International Journal of Industrial Organization.
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2014Price pressures In: Journal of Financial Economics.
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2010Price pressures.(2010) In: CFS Working Paper Series.
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2017Shades of darkness: A pecking order of trading venues In: Journal of Financial Economics.
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2015Shades of Darkness: A Pecking Order of Trading Venues.(2015) In: 2015 Meeting Papers.
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2008Splitting orders in overlapping markets: A study of cross-listed stocks In: Journal of Financial Intermediation.
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2006Splitting orders in overlapping markets: a study of cross-listed stocks.(2006) In: Serie Research Memoranda.
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1999Are small firms really sub-optimal?: compensating factor differentials in small Dutch manufacturing firms In: Scales Research Reports.
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1999Are Small Firms Really Sub-Optimal?: Compensating Factor Differentials in Small Dutch Manufacturing Firms..(1999) In: NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
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2001Splitting Orders in Fragmented Markets; evidence from cross-listed stocks In: Econometric Institute Research Papers.
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2007Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures In: Staff Reports.
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2009Are market makers uninformed and passive? Signing trades in the absence of quotes In: Staff Reports.
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2009Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes.(2009) In: Tinbergen Institute Discussion Papers.
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1996The Decision Between Internal and External R&D. In: NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
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2017Need for Speed? Exchange Latency and Liquidity In: Post-Print.
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2016Need for Speed? Exchange Latency and Liquidity.(2016) In: Working Papers.
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2017Need for Speed? Exchange Latency and Liquidity.(2017) In: Review of Financial Studies.
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2014Need for Speed? Exchange Latency and Liquidity.(2014) In: Tinbergen Institute Discussion Papers.
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2006Competition for Order Flow Smart Order Routing Systems In: Post-Print.
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paper1
2006Competition for Order Flow Smart Order Routing Systems.(2006) In: Post-Print.
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2016Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets In: Working Papers.
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1999Firm Size and Efficiency in Innovation: Reply. In: Small Business Economics.
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1994Volatility Patterns and Spillovers in Bund Futures. In: Monash Econometrics and Business Statistics Working Papers.
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2017Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties In: Review of Asset Pricing Studies.
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2010Middlemen in Limit Order Markets In: 2010 Meeting Papers.
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2016Dispersion and Skewness of Bid Prices In: 2016 Meeting Papers.
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2018Equilibrium Bitcoin Pricing.(2018) In: TSE Working Papers.
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2000A Pricing Model for American Options with Gaussian Interest Rates In: Annals of Operations Research.
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2012Limit order books and trade informativeness In: The European Journal of Finance.
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2011Limit order books and trade informativeness.(2011) In: CFS Working Paper Series.
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1998A Pricing Model for American Options with Stochastic Interest Rates In: Tinbergen Institute Discussion Papers.
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1999Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry In: Tinbergen Institute Discussion Papers.
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paper1
2001Splitting Orders in Fragmented Markets In: Tinbergen Institute Discussion Papers.
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2003Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers.
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paper2
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.
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paper1
2014Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties In: Tinbergen Institute Discussion Papers.
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paper5
2006Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China In: Serie Research Memoranda.
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paper1
2017Monitoring CCP Exposure, in Real Time if Needed In: World Scientific Book Chapters.
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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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