Albert J. Menkveld

My two cents

Working Papers

Trades, Quotes, and Information Shares, 2023, with Björn Hagströmer (slides).

Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance, with Christophe Pérignon, Olivier Akmansoy, Christophe Hurlin, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, and Utz Weitzel.

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