15
H index
21
i10 index
1182
Citations
Tinbergen Instituut (50% share) | 15 H index 21 i10 index 1182 Citations RESEARCH PRODUCTION: 24 Articles 44 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Albert J. Menkveld. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Finance | 4 |
Journal of Financial Markets | 4 |
Journal of Financial Economics | 2 |
Year | Title of citing document | |
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2020 | Maximum Order Size and Agricultural Futures Market Quality: Evidence from a Natural Experiment. (2020). Robe, Michel A ; Hu, Zhepeng ; Peng, Kun. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304596. Full description at Econpapers || Download paper | |
2020 | Market Impact in a Latent Order Book. (2018). Lemhadri, Ismael. In: Papers. RePEc:arx:papers:1802.06101. Full description at Econpapers || Download paper | |
2020 | Market Making and Latency. (2019). Wang, Yunhan ; Gao, Xuefeng. In: Papers. RePEc:arx:papers:1806.05849. Full description at Econpapers || Download paper | |
2020 | DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1808.03668. Full description at Econpapers || Download paper | |
2020 | New closed-form approximations in multi-asset market making. (2018). Vieira, Douglas ; Evangelista, David. In: Papers. RePEc:arx:papers:1810.04383. Full description at Econpapers || Download paper | |
2021 | Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595. Full description at Econpapers || Download paper | |
2021 | Transaction Cost Analytics for Corporate Bonds. (2019). Xu, Renyuan ; Lehalle, Charles-Albert ; Guo, Xin. In: Papers. RePEc:arx:papers:1903.09140. Full description at Econpapers || Download paper | |
2020 | To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders. (2019). Dorsman, Andre B ; Pauwels, Eric J ; Kokabisaghi, Somayeh. In: Papers. RePEc:arx:papers:1912.04012. Full description at Econpapers || Download paper | |
2020 | Adversarial Attacks on Machine Learning Systems for High-Frequency Trading. (2020). Goldstein, Tom ; Patel, Ankit B ; Schwarzschild, Avi ; Goldblum, Micah. In: Papers. RePEc:arx:papers:2002.09565. Full description at Econpapers || Download paper | |
2020 | Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics. (2020). Waelbroeck, Henri ; Ccetin, Umut. In: Papers. RePEc:arx:papers:2003.04425. Full description at Econpapers || Download paper | |
2020 | Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010. (2020). Lerner, P B. In: Papers. RePEc:arx:papers:2004.06200. Full description at Econpapers || Download paper | |
2020 | An Application of Deep Reinforcement Learning to Algorithmic Trading. (2020). Ernst, Damien ; Th, Thibaut. In: Papers. RePEc:arx:papers:2004.06627. Full description at Econpapers || Download paper | |
2020 | Dynamic Coupling and Market Instability. (2020). Zaparanuks, Dmitrijs ; Court, Elias ; Clack, Christopher D. In: Papers. RePEc:arx:papers:2005.13621. Full description at Econpapers || Download paper | |
2021 | Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts. (2021). Yu, Chuyi ; Jos'e E. Figueroa-L'opez, ; Capponi, Agostino. In: Papers. RePEc:arx:papers:2101.03086. Full description at Econpapers || Download paper | |
2021 | Evidence and Behaviour of Support and Resistance Levels in Financial Time Series. (2021). Chung, Ken ; Bellotti, Anthony. In: Papers. RePEc:arx:papers:2101.07410. Full description at Econpapers || Download paper | |
2020 | Does mining fuel bubbles? An experimental study on cryptocurrency markets. (2020). Xu, Yilong ; Sofianos, Andis ; Lambrecht, Marco. In: Working Papers. RePEc:awi:wpaper:0690. Full description at Econpapers || Download paper | |
2020 | Trading on Long-term Information. (2020). Garriott, Corey ; Riordan, Ryan. In: Staff Working Papers. RePEc:bca:bocawp:20-20. Full description at Econpapers || Download paper | |
2020 | Parallel Digital Currencies and Sticky Prices. (2020). Xie, Taojun ; Uhlig, Harald. In: Working Papers. RePEc:bfi:wpaper:2020-188. Full description at Econpapers || Download paper | |
2020 | Cross-border links between banks and non-bank financial institutions. (2020). Aldasoro, Iñaki ; Kemp, Esti ; Huang, Wenqian. In: BIS Quarterly Review. RePEc:bis:bisqtr:2009e. Full description at Econpapers || Download paper | |
2020 | Mini flash crashes: Review, taxonomy and policy responses. (2020). Petitjean, Mikael ; Laly, Floris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:3:p:251-271. Full description at Econpapers || Download paper | |
2020 | Commonality in liquidity and multilateral trading facilities. (2020). Mekhaimer, Mohamed ; Jain, Pankaj K ; Mortal, Sandra. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:481-502. Full description at Econpapers || Download paper | |
2020 | Highâ€Frequency Trading and Market Performance. (2020). Mollner, Joshua ; Baldauf, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1495-1526. Full description at Econpapers || Download paper | |
2020 | Market Structure and Transaction Costs of Index CDSs. (2020). Collindufresne, Pierre ; Trolle, Anders B ; Junge, Benjamin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2719-2763. Full description at Econpapers || Download paper | |
2020 | Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs. (2020). Shkilko, Andriy ; Sokolov, Konstantin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:2899-2927. Full description at Econpapers || Download paper | |
2020 | Tick Size and Financial Reporting Quality in Smallâ€Cap Firms: Evidence from a Natural Experiment. (2020). Xu, Nina ; Li, Yiwen ; Ahmed, Anwer S. In: Journal of Accounting Research. RePEc:bla:joares:v:58:y:2020:i:4:p:869-914. Full description at Econpapers || Download paper | |
2020 | Information asymmetry and leverage adjustments: a semiparametric varyingâ€coefficient approach. (2020). Kumbhakar, Subal ; Zhao, Shunan ; Jin, Man. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:2:p:581-605. Full description at Econpapers || Download paper | |
2020 | Blockchain structure and cryptocurrency prices. (2020). Zimmerman, Peter. In: Bank of England working papers. RePEc:boe:boeewp:0855. Full description at Econpapers || Download paper | |
2020 | Cross-Country Co-Movement between Bitcoin Exchanges: A Cultural Analysis. (2020). Kang, Woo-Young ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8076. Full description at Econpapers || Download paper | |
2020 | Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8324. Full description at Econpapers || Download paper | |
2020 | How does competition among high-frequency traders affect market liquidity?. (2020). Breckenfelder, Johannes. In: Research Bulletin. RePEc:ecb:ecbrbu:2020:0078:. Full description at Econpapers || Download paper | |
2020 | Indecisive algos: Do limit order revisions increase market load?. (2020). Parikh, Bhavik ; Mishra, Ajay Kumar ; Jurich, Stephen N. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s221463502030335x. Full description at Econpapers || Download paper | |
2020 | Trade credit and stock liquidity. (2020). Shang, Chenguang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300304. Full description at Econpapers || Download paper | |
2020 | A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978. Full description at Econpapers || Download paper | |
2020 | The high frequency trade off between speed and sophistication. (2020). Ladley, Daniel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300804. Full description at Econpapers || Download paper | |
2020 | The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603. Full description at Econpapers || Download paper | |
2020 | Does top management Team’s academic experience promote corporate innovation? Evidence from China. (2020). Jian, Jianhui ; Lv, Jun ; Jun Lv, ; Xiong, Hao ; Lan, Fengyun ; Shen, Huayu. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:464-475. Full description at Econpapers || Download paper | |
2020 | Machine over Mind? Stock price clustering in the era of algorithmic trading. (2020). Kadapakkam, Palani-Rajan ; Das, Sougata . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301347. Full description at Econpapers || Download paper | |
2020 | Does algorithmic trading harm liquidity? Evidence from Brazil. (2020). Perlin, Marcelo Scherer ; Ramos, Henrique Pinto. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301406. Full description at Econpapers || Download paper | |
2020 | High frequency traders and the price process. (2020). Ait-Sahalia, Yacine ; Brunetti, Celso. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:20-45. Full description at Econpapers || Download paper | |
2020 | Individual investors propensity to speculate and A-share premiums in Chinas A-shares and H-shares. (2020). Yang, Fan ; Tian, Gaoliang ; Chen, Jun. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119305229. Full description at Econpapers || Download paper | |
2020 | The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market. (2020). Wan, Xiaoyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:104-118. Full description at Econpapers || Download paper | |
2020 | High-frequency trading and institutional trading costs. (2020). Garriott, Corey ; Chen, Marie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:74-93. Full description at Econpapers || Download paper | |
2020 | Information shares in a two-tier FX market. (2020). Schreiber, Ben Z ; Piccotti, Louis R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:19-35. Full description at Econpapers || Download paper | |
2021 | Liquidity provider incentives in fragmented securities markets. (2021). Gomber, Peter ; Clapham, Benjamin ; Panz, Sven ; Lausen, Jens. In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:16-38. Full description at Econpapers || Download paper | |
2020 | Liquidity commonality and high frequency trading: Evidence from the French stock market. (2020). Fontaine, Patrice ; Anagnostidis, Panagiotis. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919305320. Full description at Econpapers || Download paper | |
2020 | More heat than light: Investor attention and bitcoin price discovery. (2020). Rzayev, Khaladdin ; McGroarty, Frank ; Ibikunle, Gbenga. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919306301. Full description at Econpapers || Download paper | |
2020 | Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071. Full description at Econpapers || Download paper | |
2020 | The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040. Full description at Econpapers || Download paper | |
2020 | Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment. (2020). LE, Thai-Ha ; Tu, Anh ; Fong, Kingsley Y ; Liu, Wai-Man. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302192. Full description at Econpapers || Download paper | |
2020 | Does high-frequency trading reduce market underreaction to earnings news?. (2020). Zhang, Yanan ; Ke, Yun. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s154461231930354x. Full description at Econpapers || Download paper | |
2020 | Price discovery in stock and options markets. (2020). Putnins, Talis ; Michayluk, David ; Patel, Vinay ; Foley, Sean. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303544. Full description at Econpapers || Download paper | |
2020 | Expected issuance fees and market liquidity. (2020). Zwinkels, Remco ; Verschoor, Willem ; Pieterse-Bloem, Mary ; Buis, Boyd . In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418119300795. Full description at Econpapers || Download paper | |
2020 | Microstructure invariance in U.S. stock market trades. (2020). Tuzun, Tugkan ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418116303123. Full description at Econpapers || Download paper | |
2020 | Call of duty: Designated market maker participation in call auctions. (2020). Theissen, Erik ; Westheide, Christian. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s138641811930360x. Full description at Econpapers || Download paper | |
2020 | Intraday market making with overnight inventory costs. (2020). Vogt, Erik ; Fleming, Michael ; Capponi, Agostino ; Adrian, Tobias ; Zhang, Hongzhong. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300331. Full description at Econpapers || Download paper | |
2020 | Informed trading in hybrid bond markets. (2020). Valseth, Siri. In: Global Finance Journal. RePEc:eee:glofin:v:44:y:2020:i:c:s1044028318300073. Full description at Econpapers || Download paper | |
2020 | VPIN, liquidity, and return volatility in the U.S. equity markets. (2020). van Ness, Robert ; Yildiz, Serhat. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318302679. Full description at Econpapers || Download paper | |
2020 | Big data and algorithmic trading against periodic and tangible asset reporting: The need for U-XBRL. (2020). Vasarhelyi, Miklos A ; Pei, Duo. In: International Journal of Accounting Information Systems. RePEc:eee:ijoais:v:37:y:2020:i:c:s1467089520300208. Full description at Econpapers || Download paper | |
2020 | Political turmoil and the impact of foreign orders on equity prices. (2020). Savaser, Tanseli ; Tini, Murat. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443119300630. Full description at Econpapers || Download paper | |
2020 | Bitcoin: Speculative asset or innovative technology?. (2020). Lee, Adrian ; Zheng, Huanhuan ; Li, Mengling . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300937. Full description at Econpapers || Download paper | |
2020 | Market efficiency in real time: Evidence from low latency activity around earnings announcements. (2020). Miao, Bin ; Chordia, Tarun. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:70:y:2020:i:2:s0165410120300379. Full description at Econpapers || Download paper | |
2020 | Disclosure processing costs, investors’ information choice, and equity market outcomes: A review. (2020). Marinovic, Ivan ; Dehaan, ED ; Blankespoor, Elizabeth. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:70:y:2020:i:2:s016541012030046x. Full description at Econpapers || Download paper | |
2020 | Shorting flows, public disclosure, and market efficiency. (2020). Wang, Xue ; Zheng, Lingling ; Yan, Xuemin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:191-212. Full description at Econpapers || Download paper | |
2020 | Trading out of sight: An analysis of cross-trading in mutual fund families. (2020). Eisele, Alexander ; Peijnenburg, Kim ; Parise, Gianpaolo ; Nefedova, Tamara. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:359-378. Full description at Econpapers || Download paper | |
2020 | OTC premia. (2020). Ranaldo, Angelo ; Vasios, Michalis ; Cenedese, Gino. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:86-105. Full description at Econpapers || Download paper | |
2020 | Sovereign credit risk and global equity fund returns in emerging markets. (2020). Savvides, Andreas ; Lambertides, Neophytos ; Andreou, Christoforos K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:107:y:2020:i:c:s0261560620301741. Full description at Econpapers || Download paper | |
2020 | Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks. (2020). Pavlidis, Efthymios ; Vasilopoulos, Kostas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301789. Full description at Econpapers || Download paper | |
2020 | Liberalization and asymmetric information flow dynamics in the Chinese equity markets. (2020). Barkoulas, John T ; Alhaj-Yaseen, Yaseen S ; Ouandlous, Arav . In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494919300908. Full description at Econpapers || Download paper | |
2020 | Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China. (2020). Ran, Jimmy ; Li, Yuan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:57-58:y:2020:i::s1042444x2030044x. Full description at Econpapers || Download paper | |
2020 | Algorithmic trading in turbulent markets. (2020). Frino, Alex ; Kalev, Petko S ; Zhou, Hao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20302201. Full description at Econpapers || Download paper | |
2020 | Internationalization of futures markets: Lessons from China. (2020). Fernandez-Perez, Adrian ; Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302560. Full description at Econpapers || Download paper | |
2020 | David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs. (2020). Kashyap, Ravi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119316206. Full description at Econpapers || Download paper | |
2020 | When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment. (2020). Maria, Gianluca Piero. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919302636. Full description at Econpapers || Download paper | |
2020 | High-frequency trading and stock liquidity: An intraday analysis. (2020). Hellara, Slaheddine ; ben Ammar, Imen ; Ghadhab, Imen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309249. Full description at Econpapers || Download paper | |
2020 | The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity. (2020). Ge, Hengshun ; Yang, Haijun ; Luo, Ying. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309754. Full description at Econpapers || Download paper | |
2020 | Is idiosyncratic volatility priced in cryptocurrency markets?. (2020). Li, YI ; Zhang, Wei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301926. Full description at Econpapers || Download paper | |
2020 | Do aggressive orders affect liquidity? An evidence from an emerging market. (2020). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920303780. Full description at Econpapers || Download paper | |
2020 | Trading performance and market efficiency: Evidence from algorithmic trading. (2020). Wadhwa, Kavita ; Syamala, Sudhakara Reddy. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304050. Full description at Econpapers || Download paper | |
2020 | Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M. In: ERIM Inaugural Address Series Research in Management. RePEc:ems:euriar:124748. Full description at Econpapers || Download paper | |
2020 | Market Design, Human Behavior and Management. (2020). List, John ; Cramton, Peter ; Chen, Yan ; Ockenfels, Axel. In: Artefactual Field Experiments. RePEc:feb:artefa:00685. Full description at Econpapers || Download paper | |
2020 | A Survey of Fintech Research and Policy Discussion. (2020). Jagtiani, Julapa ; Allen, Franklin ; Gu, Xian. In: Working Papers. RePEc:fip:fedpwp:88120. Full description at Econpapers || Download paper | |
2020 | An Influence of Group Purchasing Organizations on Financial Security of SMEs Operating in the Renewable Energy Sector—Case for Poland. (2020). Lew, Grzegorz ; Sobolewski, Marek ; Zimon, Grzegorz. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2926-:d:368394. Full description at Econpapers || Download paper | |
2021 | Optimal Market Asset Pricing. (2021). Rindi, Barbara ; Ricco, Roberto ; Seppi, Duane J. In: Working Papers. RePEc:igi:igierp:675. Full description at Econpapers || Download paper | |
2020 | Token-Weighted Crowdsourcing. (2020). Falk, Brett Hemenway ; Tsoukalas, Gerry. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:9:p:3843-3859. Full description at Econpapers || Download paper | |
2021 | Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5. (2021). Jain, Pankaj K ; Chakrabarty, Bidisha ; Sokolov, Konstantin ; Shkilko, Andriy. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1183-1198. Full description at Econpapers || Download paper | |
2020 | Experiments in high-frequency trading: comparing two market institutions. (2020). Aldrich, Eric M ; Vargas, Kristian Lopez. In: Experimental Economics. RePEc:kap:expeco:v:23:y:2020:i:2:d:10.1007_s10683-019-09605-2. Full description at Econpapers || Download paper | |
2020 | Which firms benefit from market making?. (2020). Smith, Richard L ; Kutsuna, Kenji ; Kim, Thomas S ; Chung, Peter Y. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:1:d:10.1007_s11408-020-00345-5. Full description at Econpapers || Download paper | |
2020 | How to survive and compete: the impact of information asymmetry on productivity. (2020). Kumbhakar, Subal C ; Tian, Huiting ; Jin, Man. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:53:y:2020:i:1:d:10.1007_s11123-019-00562-9. Full description at Econpapers || Download paper | |
2021 | Information flow and price discovery dynamics. (2021). Xu, Kuan ; Wu, Lei ; Meng, Qingbin. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00896-8. Full description at Econpapers || Download paper | |
2020 | High Frequency Trading: Strategic Competition Between Slow and Fast Traders. (2020). Germain, Laurent ; Boco, Herve ; Rousseau, Fabrice. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n296-20.pdf. Full description at Econpapers || Download paper | |
2020 | A Model of Cryptocurrencies. (2020). Xiong, Wei ; Sockin, Michael. In: NBER Working Papers. RePEc:nbr:nberwo:26816. Full description at Econpapers || Download paper | |
2020 | Market Fragmentation. (2020). Duffie, Darrell ; Chen, Daniel. In: NBER Working Papers. RePEc:nbr:nberwo:26828. Full description at Econpapers || Download paper | |
2020 | Market Design, Human Behavior, and Management. (2020). Ockenfels, Axel ; List, John ; Cramton, Peter ; Chen, Yan. In: NBER Working Papers. RePEc:nbr:nberwo:26873. Full description at Econpapers || Download paper | |
2020 | First to “Read†the News: News Analytics and Algorithmic Trading. (2020). Keim, Donald B ; von Beschwitz, Bastian ; Massa, Massimo. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:10:y:2020:i:1:p:122-178.. Full description at Econpapers || Download paper | |
2020 | High-frequency trading: Order-based innovation or manipulation?. (2020). Wang, Michael H ; Dalko, Viktoria. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:21:y:2020:i:4:d:10.1057_s41261-019-00115-y. Full description at Econpapers || Download paper | |
2020 | Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30. (2020). Slater, David M ; McMahon, Matthew T ; Matthew, ; Tivnan, Brendan F ; Gray, Tyler J ; Ring, John H ; van Oort, Colin M ; Dewhurst, David Rushing ; Danforth, Christopher M ; Veneman, Jason G. In: PLOS ONE. RePEc:plo:pone00:0226968. Full description at Econpapers || Download paper | |
2020 | Stock market comovements among Asian emerging economies: A wavelet-based approach. (2020). Joyo, Ahmed Shafique ; Basheer, Muhammad Farhan ; Longsheng, Cheng ; Younis, Ijaz. In: PLOS ONE. RePEc:plo:pone00:0240472. Full description at Econpapers || Download paper | |
2020 | High Frequency Fairness. (2020). Haeringer, Guillaume ; Melton, Hayden. In: MPRA Paper. RePEc:pra:mprapa:103907. Full description at Econpapers || Download paper | |
2020 | Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets. (2020). Dragot, Victor ; Ilic, Elena Valentina ; Anghel, Dan Gabriel. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:2:p:92-114. Full description at Econpapers || Download paper | |
2020 | Dynamic information acquisition and time-varying uncertainty. (2020). Cai, Zhifeng. In: Departmental Working Papers. RePEc:rut:rutres:202002. Full description at Econpapers || Download paper | |
2020 | Trading strategy with stochastic volatility in a limit order book market. (2020). Siu, Tak Kuen ; Gu, Jiawen ; Ching, Wai-Ki ; Yang, Qing-Qing . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00278-8. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2001 | Splitting Orders in Fragmented Markets In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2007 | Macro News, Riskfree Rates, and the Intermediary In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Central Clearing and Asset Prices In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2006 | Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 1 |
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team