Albert J. Menkveld   My Two Cents   
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Working Papers

High-Frequency Trading Around Large Institutional Orders, 2017, with Vincent van Kervel (online appendix).

A Network Map of Information Percolation, 2016, with Björn Hagströmer (slides).

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).

The Flash Crash: A Cautionary Tale about Highly Fragmented Markets, 2015, with Bart Zhou Yueshen.

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

Dispersion and Skewness of Bid Prices, 2014, with Boyan Jovanovic (slides).

Asset Price Dynamics with Limited Attention, 2014, with Terrence Hendershott, Sunny X. Li, and Mark S. Seasholes.

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