Albert J. Menkveld   My Two Cents   
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Working Papers

Equilibrium Bid-Price Dispersion, 2019, with Boyan Jovanovic.

Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity Supply, 2019, with Agostino Capponi and Hongzhong Zhang (slides).

Equilibrium Bitcoin Pricing, 2018, with Bruno Biais, Christophe Bisière, Matthieu Bouvard, and Catherine Casamatta (slides).

Asset Price Dynamics with Limited Attention, 2018, with Terrence Hendershott, Rémy Praz, and Mark S. Seasholes.

Systemic Risk in Real Time: A Risk Dashboard for Central Clearing Parties (CCPs), 2016, with Wenqian Huang (slides).

Systemic Risk in Central Clearing: Should Crowded Trades Be Avoided?, 2015 (slides).

Middlemen in Limit-Order Markets, 2015, with Boyan Jovanovic (online appendix).

Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets, 2015, with Emiliano Pagnotta and Marius A. Zoican.

Middlemen Interaction and Its Effect on Market Quality, 2012, with Bart Zhou Yueshen.