Albert J. Menkveld

My two cents

Published Papers

Selected Publications

Non-Standard Errors, 2023, with 342 co-authors from 34 countries and 207 institutions (mostly universities), Journal of Finance (forthcoming) (slides, weird call, Cascad reproducibility report).

Equilibrium Bitcoin Pricing, 2022, with Bruno Biais, Christophe Bisière, Matthieu Bouvard, and Catherine Casamatta, Journal of Finance (forthcoming) (slides).

Equilibrium Bid-Price Dispersion, 2022, Journal of Political Economy 130, 426-461 with Boyan Jovanovic (covered by FT and WSJ, slides, video).

Asset Price Dynamics with Limited Attention, 2022, with Terrence Hendershott, Rémy Praz, and Mark S. Seasholes, Review of Financial Studies 35, 962-1008 (online appendix, python code).

Information Revelation in Decentralized Markets, 2019, with Björn Hagströmer, Journal of Finance 74, 2751-2787 (slides, online appendix, code)

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

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 Cost of Clearing Fragmentation, 2022, Management Science (forthcoming), with Evangelos Benos, Wenqian Huang, and Michalis Vasios (slides, covered by Bloomberg).

The Economics of Central Clearing, 2021, with Guillaume Vuillemey, Annual Review of Financial Economics 13, 153-178 (slides).

Central Counterparty Exposure in Stressed Markets, 2021, with Wenqian Huang and Shihao Yu, Management Science 67, 3596-3617.

The Flash Crash: A Cautionary Tale about Highly Fragmented Markets, 2019, Management Science 65, 4470-4488, 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, 2018, Financial Analysts Journal 74, 24-31.

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.