Albert J. Menkveld   My Two Cents   
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Published Papers

Selected Publications

Information Revelation in Decentralized Markets, 2019, with Björn Hagströmer, Journal of Finance (forthcoming) (slides, online appendix, code)

Illustration information revelation (Figure 3 in the paper).

High-Frequency Trading Around Large Institutional Orders, 2019, with Vincent van Kervel, Journal of Finance 74, 1091-1137 (lead article) (online appendix).

Need for Speed? Exchange Latency and Market Liquidity, 2017, with Marius Zoican, Review of Financial Studies 30, 1188-1228 (covered by Bloomberg, slides).

Shades of Darkness: A Pecking Order of Trading Venues, 2017, with Bart Zhou Yueshen and Haoxiang Zhu, Journal of Financial Economics 124, 503-534.

Price Pressures, 2014, with Terrence Hendershott, Journal of Financial Economics 114, 405-423 (slides, online appendix, data).

Does Algorithmic Trading Improve Liquidity?, 2011, with Terrence Hendershott and Charles M. Jones, Journal of Finance 66, 1-33 (slides, online appendix).

Competition for Order Flow and Smart Order Routing Systems?, 2008, with Thierry Foucault, Journal of Finance 63, 119-158 (slides).

Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount, 2008, with Kalok Chan and Zhishu Yang, Journal of Finance 63, 159-196 (slides).

Other Publications

The Flash Crash: A Cautionary Tale about Highly Fragmented Markets, 2017, Management Science (forthcoming), with Bart Zhou Yueshen.

Crowded Positions: An Overlooked Systemic Risk for Central Clearing Counterparties, 2017, Review of Asset Pricing Studies 7, 209-242 (covered by FT, slides).

High-Frequency Trading as Viewed Through an Electronic Microscope, 2017, Financial Analysts Journal forthcoming (slides).

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

High Frequency Traders and Market Structure, 2014, The Financial Review 49, 333-344.

High-Frequency Trading and the New-Market Makers, 2013, Journal of Financial Markets 16, 712-740 (slides).

How Do Designated Market Makers Create Value for Small-Cap Stocks?, 2013, with Ting Wang, Journal of Financial Markets 16, 571-603.

Customer Flow, Intermediaries, and the Discovery of the Equilibrium Riskfree Rate, 2012, with Asani Sarkar and Michel van der Wel, Journal of Financial and Quantitative Analysis 47, 821-849.

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

Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods, 2007, with Siem-Jan Koopman and André Lucas, Journal of Business & Economic Statistics 25, 213-225 (slides).

Intraday Analysis of Market Integration: Dutch Blue Chips Traded in Amsterdam and New York, 2002, with Erik C.J. Hupperets, Journal of Financial Markets 5, 57-82.

Book Contributions

Monitoring CCP Exposure, in Real Time if Needed, 2017, in Douglas D. Evanoff, George G. Kaufman, Agnese Leonello, and Simone Manganelli, editors, Achieving Financial Stability: Challenges to Prudential Regulation.

Implementation Shortfall with Transitory Price Effects, 2013, with Terrence Hendershott and Charles M. Jones, in David Easley, Marcos López de Prado, and Maureen O'Hara, editors, High-Frequency Trading: New Realities for Traders, Markets and Regulators.