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Home | People | Albert J. Menkveld

Albert J. Menkveld


Vrije Universiteit Amsterdam
Research field
Finance, Time Series Econometrics


Albert Menkveld is Professor of Finance at Vrije Universiteit Amsterdam and Fellow at the Tinbergen Institute. 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.
In 2018 he received a five-year Vici grant from the Netherlands Organization for Scientific Research (NWO), in 2010 a five-year NWO Vidi grant, in 2007 the Pierson medal ("Dutch Bates Clark") from the Royal Dutch Economic Association, in 2003 a Lamfalussy scholarship from the European Central Bank, and in 2001 the Josseph de la Vega Prize from the Federation of European Exchanges.
Albert is currently an Associate Editor at the Review of Asset Pricing Studies and a Research Fellow at the Centre for Economic Policy Research (CEPR). He was a member of the European Finance Association (EFA) Executive Committee in 2014-2016, Group of Economic Advisors of the European Securities and Market Authority (ESMA) in 2011-2014, and a member of the academic council of the Autorité des Marchés Financiers ("French SEC") since 2004-2016.


Hendershott, T., Menkveld, AlbertJ., Praz, R. and Seasholes, M. (2022). Asset Price Dynamics with Limited Attention Review of Financial Studies, 35(2):962--1008.

Jovanovic, B. and Menkveld, AlbertJ. (2021). Equilibrium bid-price dispersion Journal of Political Economy, :.

Menkveld, AlbertJ. and Vuillemey, G. (2021). The Economics of Central Clearing Annual Review of Financial Economics, 13:153--178.

Huang, W., Menkveld, AlbertJ. and Yu, S. (2020). Central Counterparty Exposure in Stressed Markets Management Science, :.

Menkveld, AlbertJ. and Yueshen, B.Z. (2019). The flash crash: A cautionary tale about highly fragmented markets Management Science, 65(10):4470--4488.

Hagströmer, B. and Menkveld, AlbertJ. (2019). Information Revelation in Decentralized Markets The Journal of Finance, 74(6):2751--2787.

Van Kervel, V. and Menkveld, AlbertJ. (2019). High-Frequency Trading around Large Institutional Orders The Journal of Finance, 74(3):1091--1137.

Menkveld, AlbertJ. (2018). High-frequency trading as viewed through an electron microscope Financial Analysts Journal, 74(2):24--31.

Menkveld, AlbertJ., Yueshen, B.Z. and Zhu, H. (2017). Shades of darkness: A pecking order of trading venues Journal of Financial Economics, 124(3):503--534.

Menkveld, AlbertJ. and Zoican, MariusA. (2017). Need for speed? Exchange latency and liquidity Review of Financial Studies, 30(4):1188--1228.

Menkveld, AlbertJ. (2016). The Economics of High-Frequency Trading: Taking Stock Annual Review of Financial Economics, 8:1--24.

Menkveld, A. and Hendershott, T. (2014). Price Pressures Journal of Financial Economics, 114(3):405--423.

Menkveld, A. (2013). High Frequency Trading and The New-Market Makers Journal of Financial Markets, 16(4):712--740.

Menkveld, A. and Wang, T. (2013). How do Designated Market Makers Create Value for Small-Cap Stocks? Journal of Financial Markets, 16(3):571--603.

Menkveld, A., Sarkar, A. 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(4):821--849.

Beltran-Lopez, H., Grammig, J. and Menkveld, AlbertJ. (2012). Limit order books and trade informativeness European Journal of Finance, 18(9):737--759.

Hendershott, T., Jones, M. and Menkveld, A. (2011). Does algorithmic trading improve liquidity The Journal of Finance, 66(1):1--33.

Lin, K.P., Menkveld, AlbertJ. and Yang, Z. (2009). Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years China Economic Review, 20(1):29--45.

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

Foucault, T. and Menkveld, A. (2008). Competition for Order Flow and smart Order Routing Systems The Journal of Finance, 63(1):119--158.

Chan, K., Menkveld, A. and Yang, Z. (2008). Information Asymmetry and Asset Prices: Evidence from the Foreign Share Discount The Journal of Finance, 63(1):159--196.

Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.

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

Hallerbach, WinfriedG. and Menkveld, AlbertJ. (2004). Analysing perceived downside risk: The component value-at-risk framework European Financial Management, 10(4):567--591.

Hupperets, E. and Menkveld, A. (2002). Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York Journal of Financial Markets, 5(1):57--82.

Thurik, A. and Menkveld, A. (1999). Firm size and efficiency in innovation Small Business Economics, 12(1):97--101.

van Dijk, B., den Hertog, R., Menkveld, A. and Thurik, A. (1997). Some new evidence on the determinants of large- and small-firm innovation Small Business Economics, 9(4):335--343.