If you made any changes in Pure these will be visible here soon.

Personal profile

Personal information

Albert Menkveld is Professor of Finance at VU University 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).

Research

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.  Albert is Associate Editor at the Review of Asset Pricing Studies and a Research Fellow at the Centre for Economic Policy Research (CEPR).

Ancillary activities

No ancillary activities

Ancillary activities are updated daily

Fingerprint Dive into the research topics where A.J. Menkveld is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Liquidity Business & Economics
Traders Business & Economics
High-frequency trading Business & Economics
Intermediaries Business & Economics
Market share Business & Economics
Market makers Business & Economics
Order flow Business & Economics
Investors Business & Economics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 1996 2019

Price Pressures

Menkveld, A. J. & Hendershott, T., 2014, In : Journal of Financial Economics. 114, 3, p. 405-423

Research output: Contribution to JournalArticleAcademicpeer-review

Price pressure
Intermediaries
Deviation
Investors
Risk-averse

Does algorithmic trading improve liquidity

Hendershott, T., Jones, M. & Menkveld, A. J., 2011, In : The Journal of Finance. 66, 1, p. 1-33

Research output: Contribution to JournalArticleAcademicpeer-review

Algorithmic trading
Liquidity
Market quality
Finance
New York Stock Exchange

Competition for Order Flow and smart Order Routing Systems

Foucault, T. & Menkveld, A. J., 2008, In : The Journal of Finance. 63, 1, p. 119-158

Research output: Contribution to JournalArticleAcademicpeer-review

Order flow
Routing
Liquidity
Fragmentation
London Stock Exchange

Information Asymmetry and Asset Prices: Evidence from the Foreign Share Discount

Chan, K. A., Menkveld, A. J. & Yang, Z., 2008, In : The Journal of Finance. 63, 1, p. 159-196

Research output: Contribution to JournalArticleAcademicpeer-review

Asymmetry of information
Market share
Information asymmetry
Discount
Asset prices

High-Frequency Trading around Large Institutional Orders

Van Kervel, V. & Menkveld, A. J., 1 Jun 2019, In : Journal of Finance. 74, 3, p. 1091-1137 47 p.

Research output: Contribution to JournalArticleAcademicpeer-review

High-frequency trading
Traders
Suppliers
Trade intensity
Liquidity

Activities 2003 2016

  • 9 Lecture / Presentation
  • 2 Editorial work
  • 1 Membership

Review of Asset Pricing Studies (Journal)

A.J. Menkveld (Member of editorial board)
2016

Activity: Peer review and Editorial workEditorial workAcademic

Journal of Derivatives (Journal)

A.J. Menkveld (Member of editorial board)
20152016

Activity: Peer review and Editorial workEditorial workAcademic

Competition for Order Flow and Smart Order Routing Systems

T Foucault (Speaker), A.J. Menkveld (Speaker)
6 Jan 2006

Activity: Lecture / PresentationAcademic

Designated Market Makers for Small-Cap Stocks: Is One Enough?

A.J. Menkveld (Speaker)
23 Aug 2006

Activity: Lecture / PresentationAcademic

Prizes

NWO PhD grant

A.J. Menkveld (Recipient) & André Lucas (Recipient), 2005

PrizeAcademic

Liquidity
Financial markets
Market microstructure

NWO Research Talent grant

A.J. Menkveld (Recipient) & Shihao Yu (Recipient), 2017

PrizeAcademic

Costs and benefits
Social benefits
Social costs

VIDI - grant 0.75 million euro

A.J. Menkveld (Recipient), 2010

PrizeAcademic