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Home | People | Albert Menkveld

Albert Menkveld

Research Fellow

Vrije Universiteit Amsterdam
TI Finance
finance, financial econometrics, market microstructure, time series econometrics

Key publications

List of publications

Menkveld, Albert J.. 2018. High-frequency trading as viewed through an electron microscope. Financial Analysts Journal, 74, 24--31, 0015-198X

Menkveld, Albert J. and Yueshen, Bart Zhou and Haoxiang Zhu. 2017. Shades of darkness: A pecking order of trading venues. Journal of Financial Economics, 124, 503--534, 0304-405X

Menkveld, Albert J. and Zoican, Marius A.. 2017. Need for speed? Exchange latency and liquidity. Review of Financial Studies, 30, 1188--1228, 0893-9454

Menkveld, Albert J.. 2016. The Economics of High-Frequency Trading: Taking Stock. Annual Review of Financial Economics, 8, 1--24, 1941-1367

A.J. Menkveld and T. Hendershott. 2014. Price Pressures. Journal of Financial Economics, 114, 405--423, 0304-405X

A.J. Menkveld. 2013. High Frequency Trading and The New-Market Makers. Journal of Financial Markets, 16, 712--740, 1386-4181

A.J. Menkveld and T. Wang. 2013. How do Designated Market Makers Create Value for Small-Cap Stocks?. Journal of Financial Markets, 16, 571--603, 1386-4181

A.J. Menkveld and A. Sarkar and van der Wel, M.. 2012. Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate. Journal of Financial and Quantitative Analysis, 47, 821--849, 0022-1090

Hélena Beltran-Lopez and Joachim Grammig and Menkveld, Albert J.. 2012. Limit order books and trade informativeness. European Journal of Finance, 18, 737--759, 1351-847X

T. Hendershott and M. Jones and A.J. Menkveld. 2011. Does algorithmic trading improve liquidity. The Journal of Finance, 66, 1--33, 0022-1082

T Foucault and A.J. Menkveld. 2008. Competition for Order Flow and smart Order Routing Systems. The Journal of Finance, 63, 119--158, 0022-1082

K.A. Chan and A.J. Menkveld and Z. Yang. 2008. Information Asymmetry and Asset Prices: Evidence from the Foreign Share Discount. The Journal of Finance, 63, 159--196, 0022-1082

A.J. Menkveld. 2008. Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks. Journal of Financial Intermediation, 17, 145--174, 1042-9573

A.J. Menkveld and S.J. Koopman and A. Lucas. 2007. Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods. Journal of Business and Economic Statistics, 25, 213--255, 0735-0015

K.A. Chan and A.J. Menkveld and Z. Yang. 2007. Are domestic investors more informed than foreign investors? Evidence from the Perfectly Segmented Market in China. Journal of Financial Markets, 10, 391--415, 1386-4181

Hallerbach, Winfried G. and Menkveld, Albert J.. 2004. Analysing perceived downside risk: The component value-at-risk framework. European Financial Management, 10, 567--591, 1468-036X

E.C.J. Hupperets and A.J. Menkveld. 2002. Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York. Journal of Financial Markets, 5, 57--82, 1386-4181

A.R. Thurik and A.J. Menkveld. 1999. Firm size and efficiency in innovation. Small Business Economics, 12, 97--101, 0921-898X

van Dijk, B. and den Hertog, R. and A.J. Menkveld and A.R. Thurik. 1997. Some new evidence on the determinants of large- and small-firm innovation. Small Business Economics, 9, 335--343, 0921-898X

Lin, Kuan Pin and Menkveld, Albert J. and Zhishu Yang. 2009. Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years. China Economic Review, 20, 29--45, 1043-951X