Albert J. Menkveld : Citation Profile

Are you Albert J. Menkveld?

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

20

H index

28

i10 index

2043

Citations

RESEARCH PRODUCTION:

31

Articles

69

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1994 - 2024). See details.
   Cites by year: 68
   Journals where Albert J. Menkveld has often published
   Relations with other researchers
   Recent citing documents: 201.    Total self citations: 35 (1.68 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme346
   Updated: 2024-11-04    RAS profile: 2024-03-06    
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Relations with other researchers

Works with:

Dreber, Anna (18)

Johannesson, Magnus (15)

Holzmeister, Felix (15)

Gehrig, Thomas (14)

Schwarz, Marco (9)

Huang, Wenqian (8)

Brownlees, Christian (7)

Frömmel, Michael (7)

CAPELLE-BLANCARD, Gunther (7)

FERROUHI, EL MEHDI (7)

Hurlin, Christophe (6)

Caporin, Massimiliano (6)

Frijns, Bart (6)

Ait-Sahalia, Yacine (6)

Gil-Bazo, Javier (6)

Deev, Oleg (6)

Davies, Ryan (6)

Deku, Solomon (6)

Dimpfl, Thomas (6)

Chernov, Mikhail (6)

Füllbrunn, Sascha (6)

Colliard, Jean-Edouard (6)

casamatta, catherine (5)

Eugster, Nicolas (5)

Degryse, Hans (5)

Alexeev, Vitali (5)

Bohorquez Correa, Santiago (5)

BISIÈRE, Christophe (5)

Aloosh, Arash (5)

Gerritsen, Dirk (4)

Smales, Lee (4)

Ranaldo, Angelo (4)

Abudy, Menachem (4)

Chow, Nikolai Sheung-Chi (4)

Reitz, Stefan (4)

Bjønnes, Geir (4)

Ferrara, Gerardo (4)

Lof, Matthijs (4)

Walther, Thomas (4)

Adrian, Tobias (4)

Sarno, Lucio (4)

Hautsch, Nikolaus (4)

Foucault, Thierry (4)

Nielsson, Ulf (4)

Ødegaard, Bernt (4)

Schenk-Hoppé, Klaus (4)

Shachar, Or (4)

Horenstein, Alex (4)

Harris, Jeffrey (4)

Stefanova, Denitsa (4)

Palan, Stefan (4)

Verousis, Thanos (4)

Renault, Thomas (4)

Schuerhoff, Norman (4)

Pastor, Lubos (4)

Zhang, S. Sarah (4)

Korajczyk, Robert (4)

Vilkov, Grigory (4)

Dumitrescu, Ariadna (4)

Talavera, Oleksandr (4)

Liew, Chee (4)

Pasquariello, Paolo (4)

Wolff, Christian (4)

Rinne, Kalle (4)

Xia, Shuo (3)

Moinas, Sophie (3)

Mihet, Roxana (3)

Koetter, Michael (3)

Xiu, Dacheng (3)

Taylor, Nick (3)

Voigt, Stefan (3)

Roy, Saurabh (3)

Neszveda, Gabor (3)

Biais, Bruno (3)

Huang, Wenqian (3)

Güçbilmez, Ufuk (3)

Wilhelmsson, Anders (3)

Jalkh, Naji (3)

Prokopczuk, Marcel (2)

Vasios, Michalis (2)

Gorbenko, Arseny (2)

Roy, Saurabh (2)

Scaillet, Olivier (2)

LINTON, OLIVER (2)

Jurkatis, Simon (2)

Kassner, Bernhard (2)

Pelizzon, Loriana (2)

Zhou, Chen (2)

Bos, Charles (2)

Patton, Andrew (2)

Lopez-Lira, Alejandro (2)

van Kervel, Vincent (2)

Lajaunie, Quentin (2)

Rakowski, David (2)

Hjalmarsson, Erik (2)

Putnins, Talis (2)

Regis, Luca (2)

Hasse, Jean-Baptiste (2)

Bouri, Elie (2)

Kearney, Fearghal (2)

He, Xuezhong (Tony) (2)

PASCUAL, ROBERTO (2)

Vogel, Sebastian (2)

Wong, Wing-Keung (2)

Söderlind, Paul (2)

Theissen, Erik (2)

Patel, Vinay (2)

Park, Andreas (2)

Heath, Davidson (2)

Sojli, Elvira (2)

Tonks, Ian (2)

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

Is cited by:

Pelizzon, Loriana (38)

Degryse, Hans (27)

Foucault, Thierry (23)

Moinas, Sophie (19)

Ranaldo, Angelo (19)

Johansson, Anders (18)

Bellia, Mario (16)

LEHALLE, Charles-Albert (15)

Biais, Bruno (14)

Asongu, Simplice (13)

De Winne, Rudy (13)

Cites to:

Biais, Bruno (18)

Grossman, Sanford (16)

Pedersen, Lasse (14)

Foucault, Thierry (13)

Pagano, Marco (11)

Madhavan, Ananth (11)

Chakravarty, Sugato (10)

Koopman, Siem Jan (10)

Vayanos, Dimitri (10)

Campbell, John (10)

Degryse, Hans (8)

Main data

Where Albert J. Menkveld has published?

Journals with more than one article published# docs
Journal of Finance5
Journal of Financial Markets4
Journal of Financial Economics2
Annual Review of Financial Economics2
The Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute13
Post-Print / HAL7
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 / HAL3
TSE Working Papers / Toulouse School of Economics (TSE)2
Staff Reports / Federal Reserve Bank of New York2
BIS Working Papers / Bank for International Settlements2
HEC Research Papers Series / HEC Paris2

Recent works citing Albert J. Menkveld (2024 and 2023)

YearTitle of citing document
2023.

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2023.

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2023.

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2023The role of mobile money innovations in transforming unemployed women to self-employed women in sub-Saharan Africa. (2023). Asongu, Simplice ; le Roux, Sara. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:23/016.

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2023Female unemployment, mobile money innovations and doing business by females. (2023). Asongu, Simplice ; Odhiambo, Nicholas M. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:23/033.

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2023Mobile money innovations and health performance in sub-Saharan Africa. (2023). Asongu, Simplice ; Nnanna, Joseph ; Ngoungou, Yolande E. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:23/038.

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2023Mobile money innovations, income inequality and gender inclusion in sub-Saharan Africa. (2023). Asongu, Simplice ; Ngoungou, Yolande E ; Nnanna, Joseph ; Agyemang-Mintah, Peter. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:23/047.

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2023Limits 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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2024The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502.

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2023Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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2023Are Front-running HFTs Harmful?. (2022). Cheng, Xue ; Xu, Ziyi. In: Papers. RePEc:arx:papers:2211.06046.

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2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

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2024High-frequency Anticipatory Trading and Its Influences: Small Informed Trader vs. Front-runner. (2023). Cheng, Xue ; Xu, Ziyi. In: Papers. RePEc:arx:papers:2304.13985.

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2024Blockchain scaling and liquidity concentration on decentralized exchanges. (2023). Klein, Olga ; Chaudhary, Amit ; Caparros, Basile. In: Papers. RePEc:arx:papers:2306.17742.

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2024Liquidity fragmentation on decentralized exchanges. (2023). Zoican, Marius ; Parlour, Christine ; Lehar, Alfred. In: Papers. RePEc:arx:papers:2307.13772.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2023Resolving a Clearing Members Default, A Radner Equilibrium Approach. (2023). Tadese, Mekonnen ; Drapeau, Samuel ; Cr, St'Ephane ; Bastide, Dorinel. In: Papers. RePEc:arx:papers:2310.02608.

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

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

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2023Automatic vs Manual Investing: Role of Past Performance. (2023). Talavera, Oleksandr ; Kaawach, Said ; Kowalewski, Oskar. In: Discussion Papers. RePEc:bir:birmec:23-04.

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2023Sharks in the dark: quantifying HFT dark pool latency arbitrage. (2023). Ruf, Matteo Thomas ; O'Neill, Peter ; Foley, Sean ; Aquilina, Matteo. In: BIS Working Papers. RePEc:bis:biswps:1115.

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2023Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events. (2023). Cheng, Feiyang ; Shu, AO ; Pan, Zheyao ; Liang, Zini ; Han, Jianlei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:5183-5210.

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2023Effect of high?frequency trading on mutual fund performance. (2023). Singal, Vijay ; Qin, Nan. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:369-394.

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

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2024High‐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.

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2023Decentralization through Tokenization. (2023). Xiong, Wei ; Sockin, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:247-299.

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2023Homemade international diversification under economic policy uncertainty. (2023). Zhou, YI ; Zhang, Chunqiu ; Fang, Junxiong ; Chen, Jing. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:31-62.

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2023Marketmaking Middlemen. (2023). Gautier, Pieter ; Watanabe, Makoto ; Hu, BO. In: RAND Journal of Economics. RePEc:bla:randje:v:54:y:2023:i:1:p:83-103.

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2023The market for sharing interest rate risk: quantities behind prices. (2023). Sen, Ishita ; Neamu, Ioana ; Khetan, Umang. In: Bank of England working papers. RePEc:boe:boeewp:1031.

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2023Regulatory Reforms and Price Heterogeneity in an OTC Derivative Market. (2023). Sone, Taihei ; Oda, Takemasa ; Miyakawa, Daisuke. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp23e12.

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2023HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading. (2023). Ranaldo, Angelo ; Huang, Wenqian ; Yu, Shihao ; O'Neill, Peter. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp2348.

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2023Loss sharing in central clearinghouses: winners and losers. (2023). Kubitza, Christian ; Sherman, Mila Getmansky ; Pelizzon, Loriana. In: Working Paper Series. RePEc:ecb:ecbwps:20232873.

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2023Decentralized local electricity market model using Automated Market Maker. (2023). Verma, Ashu. In: Applied Energy. RePEc:eee:appene:v:334:y:2023:i:c:s0306261923000533.

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2023A literature review on extreme price movements with reversal. (2023). Steffen, Viktoria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000205.

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

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2023Algorithmic trading and block ownership initiation: An information perspective. (2023). Zhu, Yushu ; Zheng, Jiayi. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838922000828.

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2023Volatility and dark trading: Evidence from the Covid-19 pandemic. (2023). Rzayev, Khaladdin ; Ibikunle, Gbenga. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838922001111.

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

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2023Neighbors in space: Satellite imagery and Chinese B-share discount. (2023). Zuo, Zhengyu ; Chen, Minhao ; Dai, Yue. In: China Economic Review. RePEc:eee:chieco:v:82:y:2023:i:c:s1043951x23001487.

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

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2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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2023Information and optimal trading strategies with dark pools. (2023). Manzano, Carolina ; Dumitrescu, Ariadna ; Bayona, Anna. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323001888.

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2023CEO succession and corporate innovation: A managerial myopic perspective. (2023). Cheng, Chen ; Hu, May ; Yuan, Yuan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s106294082200198x.

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

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

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2023One for the money, two for the show? The number of designated market makers and liquidity. (2023). Westheide, Christian ; Theissen, Erik. In: Economics Letters. RePEc:eee:ecolet:v:224:y:2023:i:c:s0165176523000174.

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2023All topics are not created equal: Sentiment and hype of business media topics and the bitcoin market. (2023). Biktimirova, Liana E. In: Economics Letters. RePEc:eee:ecolet:v:231:y:2023:i:c:s0165176523003361.

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

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2023Limit order revisions across investor sophistication. (2023). Chen, Chin-Ho ; Chiu, Junmao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:74-90.

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2023US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks. (2023). Pascual, Roberto ; Indriawan, Ivan ; Frijns, Bart ; Dodd, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:301-320.

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

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2023Information flows and the law of one price. (2023). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004161.

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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2023The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions. (2023). Ibikunle, Gbenga ; Zhang, Zeyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002533.

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2023International high-frequency arbitrage for cross-listed stocks. (2023). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002934.

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2023Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x.

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2023Foreign investment and information quality – A quasi-experiment from China. (2023). Liao, Yunxiang ; Zhang, Liguang ; Hu, Ning ; Wang, Yunchen. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003125.

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

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

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

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

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

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

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2023On-demand fast trading on decentralized exchanges. (2023). Zoican, Marius ; Brolley, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005281.

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2023Voice or noise? Repetitive information and stock performance. (2023). Jingmei, Zhao ; Jun, Wang ; Qing, LI ; Xiaoman, Jin. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007358.

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2023The smog that hovers: Air pollution and asset prices. (2023). Li, Youwei ; Han, Xing ; Guo, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000077.

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2023Uncovering the information content in abnormal institutional visits. (2023). Li, Feng ; Chang, Danting. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003604.

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2023Subsample analysis of stock market – cryptocurrency returns tail dependence: A copula approach for the tails. (2023). Lahiani, Amine ; Jeribi, Ahmed ; Jlassi, Nabila Boukef ; Mefteh-Wali, Salma. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323004282.

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

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2023When is the order-to-trade ratio fee effective?. (2023). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000532.

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2023Liquid speed: A micro-burst fee for low-latency exchanges. (2023). Zoican, Marius ; Brolley, Michael. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s138641812200074x.

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2023Strategic trading by insiders in the presence of institutional investors. (2023). Yang, Joey Wenling ; Wee, Marvin ; Hoang, Lai T. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s138641812200091x.

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2023COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading. (2023). Chuwonganant, Chairat ; Chung, Kee H. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000010.

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2023Spoilt for choice: Determinants of market shares in fragmented equity markets. (2023). Westheide, Christian ; Weber, Moritz Christian ; Theissen, Erik ; Sagade, Satchit ; Gomber, Peter. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000149.

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2023On the choice of central counterparties in the EU. (2023). Demange, Gabrielle ; Piquard, Thibaut. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000174.

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2023Banning dark pools: Venue selection and investor trading costs. (2023). Suntheim, Felix ; Oneill, Peter ; Hoffmann, Peter ; Gozluklu, Arie ; Neumeier, Christian. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000290.

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2023The disappearing profitability of volatility-managed equity factors. (2023). Angelidis, Timotheos ; Tessaromatis, Nikolaos. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000551.

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2023The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave. (2023). Steffen, Tom ; Ibikunle, Gbenga ; Rzayev, Khaladdin. In: Journal of Financial Markets. RePEc:eee:finmar:v:66:y:2023:i:c:s1386418123000514.

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

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

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2023Judgment day: Algorithmic trading around the Swiss franc cap removal. (2023). Breedon, Francis ; Vause, Nicholas ; Ranaldo, Angelo ; Chen, Louisa. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001453.

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2023Cross-border equity flows and information transmission: Evidence from Chinese stock markets. (2023). Shi, Donghui ; Han, Bing ; Chan, Kalok ; Bian, Jiangze. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000239.

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2023What drives DeFi market returns?. (2023). Jimenez-Garces, Sonia ; Dumas, Jean-Guillaume ; Oiman, Florentina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000549.

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2023Cross-listing and predation risk in product markets. (2023). Li, Yunshen ; Kong, Weimin ; Zhou, Lu Jolly. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001282.

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2023Fan tokens: Sports and speculation on the blockchain. (2023). Zimmermann, Lukas ; Scharnowski, Stefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001488.

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

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

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2023The effect of tick size on managerial learning from stock prices. (2023). Zhu, Wei ; Zheng, Miles Y ; Ye, Mao. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:1:s0165410122000386.

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

Works by Albert J. Menkveld:

YearTitleTypeCited
2023Non-Standard Errors In: LIDAM Reprints LFIN.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Cambridge Working Papers in Economics.
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2021Non-Standard Errors.(2021) In: CESifo Working Paper Series.
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2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2021Non-Standard Errors.(2021) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2021Non-Standard Errors.(2021) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2023Non-Standard Errors.(2023) In: TSE Working Papers.
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2021Non-standard errors.(2021) In: Economics Working Papers.
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2021Non-standard errors.(2021) In: IWH Discussion Papers.
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2021Non-standard errors.(2021) In: SAFE Working Paper Series.
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2021The Economics of Central Clearing In: Annual Review of Financial Economics.
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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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2019The cost of clearing fragmentation In: BIS Working Papers.
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2019The cost of clearing fragmentation.(2019) In: Bank of England working papers.
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2019Central counterparty exposure in stressed markets In: BIS Working Papers.
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2021Central Counterparty Exposure in Stressed Markets.(2021) In: Management Science.
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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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2019Information Revelation in Decentralized Markets In: Journal of Finance.
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2023Equilibrium Bitcoin Pricing In: Journal of Finance.
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2020Equilibrium Bitcoin Pricing.(2020) In: EconPol Working Paper.
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2023Equilibrium bitcoin pricing.(2023) In: Post-Print.
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2019Equilibrium Bitcoin Pricing.(2019) In: 2019 Meeting Papers.
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2021Equilibrium Bitcoin Pricing.(2021) In: TSE Working Papers.
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1997VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES In: Journal of Financial Research.
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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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2022Computational Reproducibility in Finance: Evidence from 1,000 Tests In: HEC Research Papers Series.
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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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2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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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: The 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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2022Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance In: Post-Print.
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2006Competition for Order Flow Smart Order Routing Systems In: Post-Print.
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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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2022Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance In: Working Papers.
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2019The Flash Crash: A Cautionary Tale About Highly Fragmented Markets In: Management Science.
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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: The Review of Asset Pricing Studies.
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2022Asset Price Dynamics with Limited Attention In: The Review of Financial Studies.
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2010Middlemen in Limit Order Markets In: 2010 Meeting Papers.
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2016Dispersion and Skewness of Bid Prices In: 2016 Meeting 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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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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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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2014Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties In: Tinbergen Institute Discussion Papers.
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2017High-Frequency Trading around Large Institutional Orders In: Tinbergen Institute Discussion Papers.
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2023Large Orders in Small Markets: Execution with Endogenous Liquidity Supply In: Tinbergen Institute Discussion Papers.
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2022Equilibrium Bid-Price Dispersion In: Journal of Political Economy.
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2006Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China In: Serie Research Memoranda.
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2017Monitoring CCP Exposure, in Real Time if Needed In: World Scientific Book Chapters.
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2005Understanding the limit order book: Conditioning on trade informativeness In: CFR Working Papers.
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2008Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate In: CFS Working Paper Series.
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