Albert J. Menkveld

My two cents

Book

This textbook demystifies modern financial markets by offering a comprehensive, unified review of market microstructure theory and empirics, grounding complex econometrics in economic intuition. The structure and presentation have been refined over years of advanced Master’s and PhD teaching.

The book is available on Amazon (2026-10-01, first edition):
US | CA | UK | DE | FR | IT | ES | NL, or visit your local Amazon store and search for “Mechanics of Financial Markets.”

The table of contents of the book is here.

I am deeply grateful for generous endorsements from Darrell Duffie, Joel Hasbrouck, Maureen O’Hara, and Nobel laureate Paul Milgrom, who writes that the book is:

“the natural starting point for graduate students who want to understand the field as a whole.”

Companion resources

Select an edition below to access its companion resources.

• 2026-10-01 (first edition):
  Zip of all Jupyter notebooks.
  Colab access to finite_horizon_model.ipynb, linear_models.ipynb, state_space_models.ipynb, and additional_tools.ipynb.