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Albert J. Menkveld

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This is information that was supplied by Albert Menkveld in registering through RePEc. If you are Albert J. Menkveld , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Albert
Middle Name: J.
Last Name: Menkveld
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RePEc Short-ID: pme346

Email:
Homepage: http://www.albertjmenkveld.org
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Affiliation

(in no particular order)

Works

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Working papers

  1. Albert J. Menkveld, 2011. "High Frequency Trading and the New-Market Makers," Tinbergen Institute Discussion Papers 11-076/2/DSF21, Tinbergen Institute, revised 15 Aug 2011.
  2. Beltran-Lopez, Hélena & Grammig, Joachim G. & Menkveld, Albert J., 2011. "Limit order books and trade informativeness," CFS Working Paper Series 2011/09, Center for Financial Studies (CFS).
  3. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).
  4. Albert J. Menkveld & Boyan Jovanovic, 2010. "Middlemen in Limit Order Markets," 2010 Meeting Papers 955, Society for Economic Dynamics.
  5. Michel van der Wel & Albert Menkveld & Asani Sarkar, 2009. "Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes," Tinbergen Institute Discussion Papers 09-046/3, Tinbergen Institute.
  6. Menkveld, Albert J. & Sarkar, Asani & van der Wel, Michel, 2008. "Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate," CFS Working Paper Series 2008/47, Center for Financial Studies (CFS).
  7. Hendershott, Terrence & Jones, Charles M. & Menkveld, Albert J., 2008. "Does algorithmic trading improve liquidity?," CFS Working Paper Series 2008/41, Center for Financial Studies (CFS).
  8. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro News, Riskfree Rates, and the Intermediary," Tinbergen Institute Discussion Papers 07-086/2, Tinbergen Institute.
  9. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures," Staff Reports 307, Federal Reserve Bank of New York.
  10. Menkveld, Albert J., 2006. "Splitting orders in overlapping markets: a study of cross-listed stocks," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  11. Foucault, Thierry & Menkveld, Albert, 2006. "Competition for order flow and smart order routing systems," Les Cahiers de Recherche 831, HEC Paris.
  12. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  13. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  14. Beltran, Héléna & Grammig, Joachim & Menkveld, Albert J., 2005. "Understanding the limit order book: Conditioning on trade informativeness," CFR Working Papers 05-05, University of Cologne, Centre for Financial Research (CFR).
  15. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society.
  16. Menkveld, Albert J. & Cheung, Yiu Chung & de Jong, Frank, 2004. "Euro area sovereign yield dynamics: the role of order imbalance," Working Paper Series 0385, European Central Bank.
  17. Albert J. Menkveld & Siem Jan Koopman & Andr� Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.
  18. Bert Menkveld, 2001. "Splitting Orders in Fragmented Markets," Tinbergen Institute Discussion Papers 01-059/2, Tinbergen Institute.
  19. Erik Hupperets & Bert Menkveld, 2000. "Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York," Tinbergen Institute Discussion Papers 00-018/2, Tinbergen Institute.
  20. Audretsch, D.B. & van Leeuwen, G. & Menkveld, B. & Thurik, R., 1999. "Are Small Firms Really Sub-Optimal?: Compensating Factor Differentials in Small Dutch Manufacturing Firms," Papers 9902/e, NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
  21. Winfried Hallerbach & Bert Menkveld, 1999. "Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry," Tinbergen Institute Discussion Papers 99-023/2, Tinbergen Institute.
  22. Bert Menkveld & Ton Vorst, 1998. "A Pricing Model for American Options with Stochastic Interest Rates," Tinbergen Institute Discussion Papers 98-028/2, Tinbergen Institute.
  23. Audretsch, D-B & Menkveld, A-J & Thurik, A-R, 1996. "The Decision Between Internal and External R&D," Papers 9603/e, NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.
  24. Franses, P.H. & Van Ieperen, R. & Kofman, P. & Martens, M. & Menkveld, B., 1994. "Volatility Patterns and Spillovers in Bund Futures," Monash Econometrics and Business Statistics Working Papers 16/94, Monash University, Department of Econometrics and Business Statistics.

Articles

  1. Menkveld, Albert J. & Wang, Ting, 2013. "How do designated market makers create value for small-caps?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 571-603.
  2. Hélena Beltran-Lopez & Joachim Grammig & Albert J. Menkveld, 2012. "Limit order books and trade informativeness," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 737-759, October.
  3. Menkveld, Albert J. & Sarkar, Asani & Wel, Michel van der, 2012. "Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(04), pages 821-849, August.
  4. Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011. "Does Algorithmic Trading Improve Liquidity?," Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, 02.
  5. Lin, Kuan-Pin & Menkveld, Albert J. & Yang, Zhishu, 2009. "Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years," China Economic Review, Elsevier, vol. 20(1), pages 29-45, March.
  6. Thierry Foucault & Albert J. Menkveld, 2008. "Competition for Order Flow and Smart Order Routing Systems," Journal of Finance, American Finance Association, vol. 63(1), pages 119-158, 02.
  7. Menkveld, Albert J., 2008. "Splitting orders in overlapping markets: A study of cross-listed stocks," Journal of Financial Intermediation, Elsevier, vol. 17(2), pages 145-174, April.
  8. Kalok Chan & Albert J. Menkveld & Zhishu Yang, 2008. "Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount," Journal of Finance, American Finance Association, vol. 63(1), pages 159-196, 02.
  9. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2007. "The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market," Journal of Financial Markets, Elsevier, vol. 10(4), pages 391-415, November.
  10. Menkveld, Albert J. & Koopman, Siem Jan & Lucas, Andre, 2007. "Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 213-225, April.
  11. Winfried G. Hallerbach & Albert J. Menkveld, 2004. "Analysing Perceived Downside Risk: the Component Value-at-Risk Framework," European Financial Management, European Financial Management Association, vol. 10(4), pages 567-591.
  12. Hupperets, Erik C. J. & Menkveld, Albert J., 2002. "Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York," Journal of Financial Markets, Elsevier, vol. 5(1), pages 57-82, January.
  13. Audretsch, David B. & van Leeuwen, George & Menkveld, Bert & Thurik, Roy, 2001. "Market dynamics in the Netherlands: Competition policy and the role of small firms," International Journal of Industrial Organization, Elsevier, vol. 19(5), pages 795-821, April.
  14. Menkveld, A J & Thurik, A R, 1999. " Firm Size and Efficiency in Innovation: Reply," Small Business Economics, Springer, vol. 12(1), pages 97-101, February.

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (3) 2006-04-08 2006-04-29 2006-04-29
  2. NEP-CFN: Corporate Finance (3) 1999-05-10 2006-04-29 2006-04-29
  3. NEP-CNA: China (2) 2006-04-29 2006-04-29
  4. NEP-ECM: Econometrics (1) 2009-10-31
  5. NEP-EEC: European Economics (2) 2005-10-04 2006-04-29
  6. NEP-FIN: Finance (6) 1999-05-10 2005-10-04 2006-04-08 2006-04-29 2006-04-29 2006-04-29. Author is listed
  7. NEP-FMK: Financial Markets (8) 2000-06-29 2005-10-04 2006-04-08 2006-04-29 2006-04-29 2006-04-29 2006-04-29 2006-06-03. Author is listed
  8. NEP-MAC: Macroeconomics (1) 2008-02-23
  9. NEP-MST: Market Microstructure (4) 2007-12-01 2008-02-23 2009-07-03 2009-10-31. Author is listed
  10. NEP-SEA: South East Asia (2) 2006-04-29 2006-04-29
  11. NEP-TRA: Transition Economics (2) 2006-04-29 2006-04-29

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