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Albert J. Menkveld

Research Fellow

Vrije Universiteit Amsterdam
Research field
Finance, Financial Econometrics, Market Microstructure, Time Series Econometrics

Key publications

List of publications

Hendershott, T., Menkveld, AlbertJ., Praz, R. and Seasholes, M. (2022). Asset Price Dynamics with Limited Attention Review of Financial Studies, 35(2):962--1008.

Jovanovic, B. and Menkveld, AlbertJ. (2021). Equilibrium bid-price dispersion Journal of Political Economy, :.

Menkveld, AlbertJ. and Vuillemey, G. (2021). The Economics of Central Clearing Annual Review of Financial Economics, 13:153--178.

Hagströmer, B. and Menkveld, AlbertJ. (2019). Information Revelation in Decentralized Markets The Journal of Finance, 74(6):2751--2787.

Van Kervel, V. and Menkveld, AlbertJ. (2019). High-Frequency Trading around Large Institutional Orders The Journal of Finance, 74(3):1091--1137.

Menkveld, AlbertJ. (2018). High-frequency trading as viewed through an electron microscope Financial Analysts Journal, 74(2):24--31.

Menkveld, AlbertJ., Yueshen, B.Z. and Zhu, H. (2017). Shades of darkness: A pecking order of trading venues Journal of Financial Economics, 124(3):503--534.

Menkveld, AlbertJ. and Zoican, MariusA. (2017). Need for speed? Exchange latency and liquidity Review of Financial Studies, 30(4):1188--1228.

Menkveld, AlbertJ. (2016). The Economics of High-Frequency Trading: Taking Stock Annual Review of Financial Economics, 8:1--24.

Menkveld, A. and Hendershott, T. (2014). Price Pressures Journal of Financial Economics, 114(3):405--423.

Menkveld, A. (2013). High Frequency Trading and The New-Market Makers Journal of Financial Markets, 16(4):712--740.

Menkveld, A. and Wang, T. (2013). How do Designated Market Makers Create Value for Small-Cap Stocks? Journal of Financial Markets, 16(3):571--603.

Menkveld, A., Sarkar, A. and van der Wel, M. (2012). Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate Journal of Financial and Quantitative Analysis, 47(4):821--849.

Beltran-Lopez, H., Grammig, J. and Menkveld, AlbertJ. (2012). Limit order books and trade informativeness European Journal of Finance, 18(9):737--759.

Hendershott, T., Jones, M. and Menkveld, A. (2011). Does algorithmic trading improve liquidity The Journal of Finance, 66(1):1--33.

Lin, K.P., Menkveld, AlbertJ. and Yang, Z. (2009). Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years China Economic Review, 20(1):29--45.

Menkveld, A. (2008). Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks Journal of Financial Intermediation, 17:145--174.

Foucault, T. and Menkveld, A. (2008). Competition for Order Flow and smart Order Routing Systems The Journal of Finance, 63(1):119--158.

Chan, K., Menkveld, A. and Yang, Z. (2008). Information Asymmetry and Asset Prices: Evidence from the Foreign Share Discount The Journal of Finance, 63(1):159--196.

Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.

Chan, K., Menkveld, A. and Yang, Z. (2007). Are domestic investors more informed than foreign investors? Evidence from the Perfectly Segmented Market in China Journal of Financial Markets, 10:391--415.

Hallerbach, WinfriedG. and Menkveld, AlbertJ. (2004). Analysing perceived downside risk: The component value-at-risk framework European Financial Management, 10(4):567--591.

Hupperets, E. and Menkveld, A. (2002). Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York Journal of Financial Markets, 5(1):57--82.

Thurik, A. and Menkveld, A. (1999). Firm size and efficiency in innovation Small Business Economics, 12(1):97--101.

van Dijk, B., den Hertog, R., Menkveld, A. and Thurik, A. (1997). Some new evidence on the determinants of large- and small-firm innovation Small Business Economics, 9(4):335--343.