TI fellow Albert Menkveld has been awarded prestigious Vici grant from the Netherlands Organisation for Scientific Research (NWO). With this € 1,5 million grant, Albert will execute his research proposal titled “Financial Techology’s (FinTech’s) Disruptive Impact on Financial Markets: Social Costs and Benefits of an Emerging New Architecture” in the next five years. He previously received a Veni (2003) and Vidi (2010) grant from the NWO.
Albert Menkveld is Professor of Finance at VU Amsterdam. In 2002, he received a Tinbergen PhD from Erasmus University Rotterdam. He was on visiting positions for multiple years at various U.S. schools (NYU, Wharton, and Stanford). Albert’s research agenda is focused on securities trading, liquidity, asset pricing, and financial econometrics. He has published in various journals, for example, the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. He is a member of the TI Finance (FIN) research group. Learn more about Menkveld on his personal website.
Vici is one of the largest grants for individuals in the Netherlands and targets advanced researchers. The funding enables the scientists to set up their own innovative line of research and put together their own research group. Please click here to view facts and figures of Vici awards 2017.
Summary of the research
The optimal design of financial markets has long been an important field in economics. What type of market maximizes welfare and is thus most desirable? And, does it arise naturally or might we be stuck in a sub-optimal equilibrium? In finance, the field is referred to as microstructure.
Microstructure research moved center stage in recent decades as exchange floors were replaced by computers matching buy and sell orders. Traders, in turn, coded their trading strategies into computer algorithms and let “robots” execute them on their behalf. This development received lots of public attention, in particular after Michael Lewis published the instant best seller Flash Boys in 2014. Regulators worldwide struggled to take a position as to whether the new microstructure was good for investors and the economy at large. Microstructure papers benefitted from the attention and appeared in the very top journals in finance and economics (see Menkveld, 2016, for a survey).
The arrival of electronic markets is only the beginning of how financial technology (FinTech) will reshape the financial industry, says Mark Carney, current chairman of the FSB, a consortium of central bankers world-wide. The academic community agrees. Leading scholars conclude that FinTech will alter financial institutions and markets in ways that existing knowledge about them is of little use. Moreover, the ensuing digital economy will produce big data in need of being processed meaningfully to both understand and control the new financial system.