Albert J. Menkveld : Citation Profile


Are you Albert J. Menkveld?

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

12

H index

16

i10 index

708

Citations

RESEARCH PRODUCTION:

22

Articles

41

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1994 - 2017). See details.
   Cites by year: 30
   Journals where Albert J. Menkveld has often published
   Relations with other researchers
   Recent citing documents: 110.    Total self citations: 13 (1.8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme346
   Updated: 2018-06-16    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 (15)

Foucault, Thierry (13)

Feng, Xunan (10)

Brixy, Udo (9)

Schnabel, Claus (9)

Ødegaard, Bernt (8)

Girardi, Alessandro (7)

Moinas, Sophie (7)

Caporale, Guglielmo Maria (6)

Degryse, Hans (6)

Frijns, Bart (6)

Cites to:

Madhavan, Ananth (15)

Biais, Bruno (15)

Stoll, Hans (13)

Grossman, Sanford (11)

Chakravarty, Sugato (11)

Easley, David (11)

Pedersen, Lasse (11)

Pagano, Marco (10)

Koopman, Siem Jan (10)

Gromb, Denis (8)

Vayanos, Dimitri (8)

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
Post-Print / HAL4
CFS Working Paper Series / Center for Financial Studies (CFS)4
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics4
Working Papers / HAL2
Staff Reports / Federal Reserve Bank of New York2

Recent works citing Albert J. Menkveld (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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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). Chen, Marie ; Garriott, Corey . In: Staff Working Papers. RePEc:bca:bocawp:18-8.

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2017Foreign Institutional Investment, Ownership, and Liquidity: Real and Informational Frictions. (2017). Ding, Mingfa ; Suardi, Sandy ; Nilsson, Birger . 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). Gomber, Peter ; Westheide, Christian ; Weber, Moritz Christian ; Theissen, Erik ; Sagade, Satchit . 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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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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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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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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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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2017Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect. (2017). Ahmed, Abdullahi D ; 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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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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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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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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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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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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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). Apergis, Nicholas ; Smales, L A. 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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2018Bubbles in hybrid markets: How expectations about algorithmic trading affect human trading. (2018). Farjam, Mike ; Kirchkamp, Oliver. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:146:y:2018:i:c:p:248-269.

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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 ; Subhanij, Tientip ; Gyntelberg, Jacob . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:40-55.

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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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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). Liu, Zhenya ; Wang, Shixuan. 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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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2018Price discovery in Chinas inter-bank bond market. (2018). Wu, Lei ; Zeng, Hongchao ; Meng, Qingbin ; Liu, Chunlin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:84-98.

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2017Detection of algorithmic trading. (2017). Bogoev, Dimitar ; Karam, Arze . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:168-181.

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2017A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Lima, Jessica ; Farias, Rodolfo Toribio . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:115-126.

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2017Pseudo market-makers, market quality and the minimum tick size. (2017). Lepone, Andrew ; Wong, Jin Boon . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:88-100.

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2018Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?. (2018). Strobel, Marcus ; Auer, Benjamin R. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:168-184.

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2017Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data. (2017). Uctum, Remzi ; Lecarpentier-Moyal, Sylvie ; Prat, Georges ; Renou-Maissant, Patricia. In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:43-56.

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2017The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market. (2017). Hong, Minh Thi . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:30-40.

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2017Is high-frequency trading tiering the financial markets?. (2017). Virgilio, Gianluca . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:158-171.

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2017Evidence of algorithmic trading from Indian equity market: Interpreting the transaction velocity element of financialization. (2017). Syamala, Sudhakara Reddy ; Dubey, Ritesh Kumar ; Chauhan, Yogesh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:31-38.

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2017Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis. (2017). Welch, Robert ; Tao, Yusi ; ben Omrane, Walid . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:9-30.

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2017Evidences for a structural change in the oil market before a financial crisis: The flat horizon effect. (2017). Loffredo, Maria I ; Chiarucci, Riccardo ; Ruzzenenti, Franco . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:912-921.

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2017.

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2017Effects of Lit and Dark Market Fragmentation on Liquidity. (2017). Gresse, Carole. In: Post-Print. RePEc:hal:journl:hal-01631771.

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2017Central Clearing Valuation Adjustment. (2017). Crepey, Stephane ; Yannick, Armenti . In: Working Papers. RePEc:hal:wpaper:hal-01169169.

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2018Market impact in a latent order book. (2018). Lemhadri, Ismael. In: Working Papers. RePEc:hal:wpaper:hal-01711192.

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2017The Impact of Foreign Investor Trading Activity on Vietnamese Stock Market. (2017). Nguyen, Tri Minh . In: International Journal of Marketing Studies. RePEc:ibn:ijmsjn:v:9:y:2017:i:1:p:109-118.

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2017Who supplies liquidity, how and when?. (2017). Moinas, Sophie ; Declerck, Fany ; Biais, Bruno . In: IDEI Working Papers. RePEc:ide:wpaper:31762.

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2017Trading Fees and Intermarket Competition. (2017). Panayides, Marios ; Werner, Ingrid M ; Rindi, Barbara. In: Working Papers. RePEc:igi:igierp:595.

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2017REITs and Market Microstructure: A Comprehensive Analysis of Market Quality. (2017). Jain, Pawan ; Westby-Gibson, Janean K ; Sunderman, Mark . In: Journal of Real Estate Research. RePEc:jre:issued:v:39:n:1:2017:p:65_98.

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2017Stock markets fragmentation, volatility and final investors. (2017). BASTIDON, Cécile. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0305-0.

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2018Market Fairness: The Poor Country Cousin of Market Efficiency. (2018). Aitken, Michael J ; De, Frederick H ; Foley, Sean ; Aspris, Angelo . In: Journal of Business Ethics. RePEc:kap:jbuset:v:147:y:2018:i:1:d:10.1007_s10551-015-2964-y.

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2018Convergence of trading strategies in continuous double auction markets with boundedly-rational networked traders. (2018). Zhang, Junhuan ; Musial, Katarzyna ; McBurney, Peter . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0631-3.

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2018One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations. (2018). Verousis, Thanos ; Sermpinis, Georgios ; Perotti, Pietro. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0632-2.

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2017Stock Price Crashes: Role of Capital Constrained Traders. (2017). Schaumburg, Ernst ; Pelizzon, Loriana ; Jagannathan, Ravi ; Yuferova, Darya ; Getmansky, Mila. In: NBER Working Papers. RePEc:nbr:nberwo:24098.

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2017Toxic Arbitrage. (2017). Foucault, Thierry ; Tham, Wing Wah ; Kozhan, Roman . In: Review of Financial Studies. RePEc:oup:rfinst:v:30:y:2017:i:4:p:1053-1094..

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2017Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market. (2017). Stenfors, Alexis ; Susai, Masayuki . In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-04.

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2017Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data. (2017). Stenfors, Alexis ; Susai, Masayuki . In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-06.

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2017Forex Trading and the WMR Fix. (2017). Evans, Martin. In: MPRA Paper. RePEc:pra:mprapa:81583.

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2018Сучасні тенденції електронної торгівлі обіговими фінансовими інструментами // Modern trends of electronic trading by negotiable fina. (2018). Kravchuk, Igor ; Кравчук, Ігор Святославови, . In: Вісник Житомирського державного технологічного університету. Серія: Економічні . RePEc:scn:000ven:127602.

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2018Can we have a general theory of financial innovation processes? A conceptual review. (2018). Khraisha, Tamer ; Arthur, Keren. In: Financial Innovation. RePEc:spr:fininn:v:4:y:2018:i:1:d:10.1186_s40854-018-0088-y.

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2017The role of HFTs in order flow toxicity and stock price variance, and predicting changes in HFTs’ liquidity provisions. (2017). van Ness, Bonnie F ; Yildiz, Serhat . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:4:d:10.1007_s12197-016-9374-6.

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2017Effects of limit order book information level on market stability metrics. (2017). Paddrik, Mark ; Beling, Peter ; Scherer, William ; Hayes, Roy . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-015-0164-6.

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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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article12
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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article23
2004Analysing Perceived Downside Risk: the Component Value-at-Risk Framework In: European Financial Management.
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article1
2014High-Frequency Traders and Market Structure In: The Financial Review.
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article2
2008Competition for Order Flow and Smart Order Routing Systems In: Journal of Finance.
[Full Text][Citation analysis]
article67
2006Competition for Order Flow and Smart Order Routing Systems.(2006) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 67
paper
2006Competition for order flow and smart order routing systems.(2006) In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67
paper
2008Competition for Order Flow and Smart Order Routing Systems.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 67
paper
2008Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount In: Journal of Finance.
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article84
2011Does Algorithmic Trading Improve Liquidity? In: Journal of Finance.
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article196
2008Does algorithmic trading improve liquidity?.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 196
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
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]
article23
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]
article10
2013High frequency trading and the new market makers In: Journal of Financial Markets.
[Full Text][Citation analysis]
article80
2002Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York In: Journal of Financial Markets.
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article23
2001Market dynamics in the Netherlands: Competition policy and the role of small firms In: International Journal of Industrial Organization.
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article20
2014Price pressures In: Journal of Financial Economics.
[Full Text][Citation analysis]
article16
2017Shades of darkness: A pecking order of trading venues In: Journal of Financial Economics.
[Full Text][Citation analysis]
article1
2008Splitting orders in overlapping markets: A study of cross-listed stocks In: Journal of Financial Intermediation.
[Full Text][Citation analysis]
article10
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 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.
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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]
paper10
2016Need for Speed? Exchange Latency and Liquidity.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2014Need for Speed? Exchange Latency and Liquidity.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
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]
paper2
1999Firm Size and Efficiency in Innovation: Reply. In: Small Business Economics.
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article2
1994Volatility Patterns and Spillovers in Bund Futures. In: Monash Econometrics and Business Statistics Working Papers.
[Citation analysis]
paper2
2017Need for Speed? Exchange Latency and Liquidity In: Review of Financial Studies.
[Full Text][Citation analysis]
article2
2010Middlemen in Limit Order Markets In: 2010 Meeting Papers.
[Citation analysis]
paper3
2015Shades of Darkness: A Pecking Order of Trading Venues In: 2015 Meeting Papers.
[Full Text][Citation analysis]
paper0
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]
article3
2011Limit order books and trade informativeness.(2011) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
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]
paper0
2000Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York 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
2011High Frequency Trading and the New-Market Makers In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper6
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]
paper3
2017High-Frequency Trading around Large Institutional Orders In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2006Splitting orders in overlapping markets: a study of cross-listed stocks In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper0
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
2006Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper1
2006Euro-Area Sovereign Yield Dynamics: the role of order imbalance 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
2010Price pressures In: CFS Working Paper Series.
[Full Text][Citation analysis]
paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 2th 2018. Contact: CitEc Team