Search Results - "Menkveld, Albert J"

The Economics of High-Frequency Trading: Taking Stock by Menkveld, Albert J

“…I review the recent high-frequency trader (HFT) literature to single out the economic channels by which HFTs affect market quality. I first group the various…”
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Equilibrium Bitcoin Pricing by BIAIS, BRUNO, BISIÈRE, CHRISTOPHE, BOUVARD, MATTHIEU, CASAMATTA, CATHERINE, MENKVELD, ALBERT J.

“…ABSTRACT We offer a general equilibrium analysis of cryptocurrency pricing. The fundamental value of the cryptocurrency is its stream of net transactional…”
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Does Algorithmic Trading Improve Liquidity? by HENDERSHOTT, TERRENCE, JONES, CHARLES M., MENKVELD, ALBERT J.

“…Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market quality, and should it be encouraged? We provide the first analysis…”
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The Economics of Central Clearing by Menkveld, Albert J, Vuillemey, Guillaume

“…Central clearing counterparties (CCPs) have a variety of economic rationales. The Great Recession of 2007-2009 led regulators to mandate CCPs for most…”
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High frequency trading and the new market makers by Menkveld, Albert J.

“…This paper characterizes the trading strategy of a large high frequency trader (HFT). The HFT incurs a loss on its inventory but earns a profit on the bid–ask…”
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Price pressures by Hendershott, Terrence, Menkveld, Albert J.

“…We study price pressures, i.e., deviations from the efficient price due to risk-averse intermediaries supplying liquidity to asynchronously arriving investors…”
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High-Frequency Trading around Large Institutional Orders by VAN KERVEL, VINCENT, MENKVELD, ALBERT J.

“…Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a…”
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The Flash Crash: A Cautionary Tale About Highly Fragmented Markets by Menkveld, Albert J., Yueshen, Bart Zhou

“…A breakdown of cross-market arbitrage activity could make markets more fragile and result in price crashes. We provide suggestive evidence for this novel…”
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Shades of darkness: A pecking order of trading venues by Menkveld, Albert J., Yueshen, Bart Zhou, Zhu, Haoxiang

“…We characterize the dynamic fragmentation of U.S. equity markets using a unique data set that disaggregates dark transactions by venue types. The “pecking…”
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Central Counterparty Exposure in Stressed Markets by Huang, Wenqian, Menkveld, Albert J., Yu, Shihao

“…Time is valuable, particularly in stressed markets. Because central counterparties (CCPs) have become systemically important, we need to understand the…”
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Need for Speed? Exchange Latency and Liquidity by Menkveld, Albert J., Zoican, Marius A.

“…A faster exchange does not necessarily improve liquidity. On the one hand, speed enables a high-frequency market maker (HFM) to update quotes faster on…”
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The informativeness of domestic and foreign investors’ stock trades: Evidence from the perfectly segmented Chinese market by Chan, Kalok, Menkveld, Albert J., Yang, Zhishu

“…This paper uses the perfect market segmentation setting in China's stock market to compare the information content of the stock trades of domestic and foreign…”
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Competition for Order Flow and Smart Order Routing Systems by FOUCAULT, THIERRY, MENKVELD, ALBERT J.

“…We study the rivalry between Euronext and the London Stock Exchange (LSE) in the Dutch stock market to test hypotheses about the effect of market…”
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Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties by Menkveld, Albert J

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Asset Price Dynamics with Limited Attention by Hendershott, Terrence, Menkveld, Albert J, Praz, Rémy, Seasholes, Mark

“…Abstract We identify long-lived pricing errors through a model in which inattentive investors arrive stochastically to trade. The model’s parameters are…”
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Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount by CHAN, KALOK, MENKVELD, ALBERT J., YANG, ZHISHU

“…We examine the effect of information asymmetry on equity prices in the local A- and foreign B-share market in China. We construct measures of information…”
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High-Frequency Trading as Viewed through an Electron Microscope by Menkveld, Albert J.

“…The electron microscope improved our vision by a factor of 1 million, enabling us to see atoms. In this study, I aim for a similar leap by examining trades…”
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Information Revelation in Decentralized Markets by HAGSTRÖMER, BJÖRN, MENKVELD, ALBERT J.

“…How does information get revealed in decentralized markets? We test several hypotheses inspired by recent dealer-network theory. To do so, we construct an…”
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Computational Reproducibility in Finance: Evidence from 1,000 Tests by Pérignon, Christophe, Akmansoy, Olivier, Hurlin, Christophe, Dreber, Anna, Holzmeister, Felix, Huber, Jürgen, Johannesson, Magnus, Kirchler, Michael, Menkveld, Albert J, Razen, Michael, Weitzel, Utz

“…Abstract We analyze the computational reproducibility of more than 1,000 empirical answers to 6 research questions in finance provided by 168 research teams…”
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High-Frequency Traders and Market Structure by Menkveld, Albert J.

“…The arrival of high‐frequency traders (HFTs) coincided with the entry of new markets and, subsequently, strong fragmentation of the order flow. These trends…”
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