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Albert J. Menkveld

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    2. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Collaboration, Management Science Reproducibility, 2023. "Reproducibility in Management Science," OSF Preprints mydzv, Center for Open Science.
    3. Christoph Huber & Christian König-Kersting & Matteo M. Marini, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck, revised Jun 2024.
    4. Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," I4R Discussion Paper Series 38, The Institute for Replication (I4R).
    5. van Dolder, Dennie & Vandenbroucke, Jurgen, 2024. "Behavioral risk profiling: Measuring loss aversion of individual investors," Journal of Banking & Finance, Elsevier, vol. 168(C).
    6. Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.
    7. Soebhag, Amar & Van Vliet, Bart & Verwijmeren, Patrick, 2024. "Non-standard errors in asset pricing: Mind your sorts," Journal of Empirical Finance, Elsevier, vol. 78(C).
    8. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Collaboration, Management Science Reproducibility, 2023. "Reproducibility in Management Science," OSF Preprints mydzv_v1, Center for Open Science.
    9. Breznau, Nate & Rinke, Eike Mark & Wuttke, Alexander & Nguyen, Hung H. V. & Adem, Muna & Adriaans, Jule & Alvarez-Benjumea, Amalia & Andersen, Henrik K. & Auer, Daniel & Azevedo, Flavio & Bahnsen, Oke, 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 119(44), pages 1-8.
    10. Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.

  2. Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.

    Cited by:

    1. Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," I4R Discussion Paper Series 38, The Institute for Replication (I4R).

  3. Bruno Biais & Christophe Bisière & Matthieu Bouvard & Catherine Casamatta & Albert J. Menkveld, 2020. "Equilibrium Bitcoin Pricing," EconPol Working Paper 48, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.

    Cited by:

    1. Haffar, Adlane & Le Fur, Éric, 2022. "Time-varying dependence of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 211-220.
    2. Foley, Sean & Frijns, Bart & Garel, Alexandre & Roh, Tai-Yong, 2022. "Who buys Bitcoin? The cultural determinants of Bitcoin activity," International Review of Financial Analysis, Elsevier, vol. 84(C).
    3. Simplice A. Asongu & Nicholas M. Odhiambo, 2023. "Female unemployment, mobile money innovations and doing business by females," Working Papers of the African Governance and Development Institute. 23/033, African Governance and Development Institute..
    4. Huang, Guan-Ying & Gau, Yin-Feng & Wu, Zhen-Xing, 2022. "Price discovery in fiat currency and cryptocurrency markets," Finance Research Letters, Elsevier, vol. 47(PA).
    5. Simplice A. Asongu & Peter Agyemang-Mintah & Joseph Nnanna & Yolande E. Ngoungou, 2023. "Mobile money innovations, income inequality and gender inclusion in sub-Saharan Africa," Working Papers 23/047, European Xtramile Centre of African Studies (EXCAS).
    6. Abadi, Joseph & Brunnermeier, Markus, 2024. "Token-based platform governance," Journal of Financial Economics, Elsevier, vol. 162(C).
    7. Aysan, Ahmet Faruk & Caporin, Massimiliano & Cepni, Oguzhan, 2024. "Not all words are equal: Sentiment and jumps in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    8. Rodney Garratt & Maarten RC van Oordt, 2024. "Crypto Exchange Tokens," BIS Working Papers 1201, Bank for International Settlements.
    9. Lee, Adrian D. & Li, Mengling & Zheng, Huanhuan, 2020. "Bitcoin: Speculative asset or innovative technology?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    10. Al Guindy, Mohamed, 2021. "Cryptocurrency price volatility and investor attention," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 556-570.
    11. Chen, Bin-xia & Sun, Yan-lin, 2024. "Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    12. Harald Uhlig & Taojun Xie, 2020. "Parallel Digital Currencies and Sticky Prices," NBER Working Papers 28300, National Bureau of Economic Research, Inc.
    13. Alexakis, Christos & Anselmi, Giulio & Petrella, Giovanni, 2024. "Flight to cryptos: Evidence on the use of cryptocurrencies in times of geopolitical tensions," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 498-523.
    14. Chen, Yi-Hsuan & Vinogradov, Dmitri V., 2021. "Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies," IRTG 1792 Discussion Papers 2021-006, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    15. Michael Sockin & Wei Xiong, 2021. "A Model of Cryptocurrencies," Working Papers 2021-67, Princeton University. Economics Department..
    16. Zhang, Xu & Naeem, Muhammad Abubakr & Du, Yuting & Rauf, Abdul, 2024. "Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    17. Jung, Woosung & Park, Haerang, 2024. "Common factors in the returns on cryptocurrencies," Finance Research Letters, Elsevier, vol. 65(C).
    18. Alexis Derviz, 2019. "Coexistence of Physical and Crypto Assets in a Stochastic Endogenous Growth Model," Working Papers 2019/7, Czech National Bank.
    19. Simplice A. Asongu & Yolande E. Ngoungou & Joseph Nnanna, 2023. "Mobile money innovations and health performance in sub-Saharan Africa," Working Papers of the African Governance and Development Institute. 23/038, African Governance and Development Institute..
    20. Zhang, Wei & Li, Yi, 2020. "Is idiosyncratic volatility priced in cryptocurrency markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    21. Lashkaripour, Mohammadhossein, 2024. "Some stylized facts about bitcoin halving," Finance Research Letters, Elsevier, vol. 69(PB).
    22. Victoria Dobrynskaya, 2020. "Is Downside Risk Priced In Cryptocurrency Market?," HSE Working papers WP BRP 79/FE/2020, National Research University Higher School of Economics.
    23. Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    24. Chowdhury, Md Shahedur R. & Damianov, Damian S., 2024. "Uncertainty and bubbles in cryptocurrencies: Evidence from newly developed uncertainty indices," International Review of Financial Analysis, Elsevier, vol. 91(C).
    25. Campbell R. Harvey & Daniel Rabetti, 2024. "International business and decentralized finance," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 55(7), pages 840-863, September.
    26. Radwanski, Juliusz, 2021. "The Equilibrium Value of Bitcoin," MPRA Paper 110746, University Library of Munich, Germany.
    27. Zimmerman, Peter, 2020. "Blockchain structure and cryptocurrency prices," Bank of England working papers 855, Bank of England.
    28. Hinzen, Franz J. & John, Kose & Saleh, Fahad, 2022. "Bitcoin’s limited adoption problem," Journal of Financial Economics, Elsevier, vol. 144(2), pages 347-369.
    29. Lambrecht, Marco & Sofianos, Andis & Xu, Yilong, 2021. "Does mining fuel bubbles? An experimental study on cryptocurrency markets," Working Papers 0703, University of Heidelberg, Department of Economics.
    30. Maarten R.C. van Oordt, 2024. "On Bubbles in Cryptocurrency Prices," Tinbergen Institute Discussion Papers 24-050/IV, Tinbergen Institute.
    31. Yulin Liu & Luyao Zhang, 2022. "Cryptocurrency Valuation: An Explainable AI Approach," Papers 2201.12893, arXiv.org, revised Jul 2023.
    32. Nikolaus Hautsch & Christoph Scheu & Stefan Voigt, 2024. "Building trust takes time: limits to arbitrage for blockchain-based assets," Review of Finance, European Finance Association, vol. 28(4), pages 1345-1381.
    33. Matteo Benetton & Giovanni Compiani, 2024. "Investors’ Beliefs and Cryptocurrency Prices," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 197-236.
    34. Arkorful, Gideon Bruce & Chen, Haiqiang & Gu, Ming & Liu, Xiaoqun, 2023. "What can we learn from the convenience yield of Bitcoin? Evidence from the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 141-153.
    35. Pourpourides, Panayiotis, 2023. "Long-Term Nexus of Macroeconomic and Financial Fundamentals with Cryptocurrencies," Cardiff Economics Working Papers E2023/23, Cardiff University, Cardiff Business School, Economics Section.
    36. Kogan, Shimon & Makarov, Igor & Niessner, Marina & Schoar, Antoinette, 2024. "Are cryptos different? Evidence from retail trading," Journal of Financial Economics, Elsevier, vol. 159(C).
    37. Chiu, Jonathan & Wong, Tsz-Nga, 2022. "Payments on digital platforms: Resiliency, interoperability and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 142(C).
    38. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
    39. Verdier, Marianne, 2024. "Digital payments and bank competition," Journal of Financial Stability, Elsevier, vol. 73(C).
    40. Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021. "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    41. Prateek Saxena, 2020. "Comments on “Cellular Structure for a Digital Fiat Currency” — Cellular DFC Design: Technological Perspectives," World Scientific Book Chapters, in: Bernard Yeung (ed.), DIGITAL CURRENCY ECONOMICS AND POLICY, chapter 11, pages 103-109, World Scientific Publishing Co. Pte. Ltd..
    42. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    43. Garratt, Rodney J. & van Oordt, Maarten R.C., 2022. "Entrepreneurial incentives and the role of initial coin offerings," Journal of Economic Dynamics and Control, Elsevier, vol. 142(C).
    44. Shaen Corbet & Les Oxley, 2023. "Investigating the Academic Response to Cryptocurrencies: Insights from Research Diversification as Separated by Journal Ranking," Review of Corporate Finance, now publishers, vol. 3(4), pages 487-528, September.
    45. Guglielmo Maria Caporale & Woo-Young Kang, 2020. "Bitcoin Price Co-Movements and Culture," CESifo Working Paper Series 8076, CESifo.
    46. Klaus Grobys, 2021. "When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1267-1279, August.
    47. Yae, James & Tian, George Zhe, 2024. "Volatile safe-haven asset: Evidence from Bitcoin," Journal of Financial Stability, Elsevier, vol. 73(C).
    48. Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019. "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers 13724, C.E.P.R. Discussion Papers.
    49. Cole, Benjamin M. & Dyhrberg, Anne H. & Foley, Sean & Svec, Jiri, 2022. "Can Bitcoin be Trusted? Quantifying the economic value of blockchain transactions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    50. Yae, James & Tian, George Zhe, 2022. "Out-of-sample forecasting of cryptocurrency returns: A comprehensive comparison of predictors and algorithms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    51. Chen, Yi-Hsuan & Kräussl, Roman & Verwijmeren, Patrick, 2023. "The pricing of digital art," CFS Working Paper Series 716, Center for Financial Studies (CFS).
    52. Julián A. Parra & Carlos Arango - Joaquín Bernal & José E. Gómez - Javier Gómez & Carlos León - Clara Machado & Daniel Osorio - Daniel Rojas & Nicolás Suárez - Eduardo Yanquen, 2019. "Criptoactivos: análisis y revisión de literatura," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, issue 92, pages 1-37, November.
    53. Şoiman, Florentina & Dumas, Jean-Guillaume & Jimenez-Garces, Sonia, 2023. "What drives DeFi market returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    54. Fantazzini, Dean & Calabrese, Raffaella, 2021. "Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure," MPRA Paper 110391, University Library of Munich, Germany.
    55. Michael Sockin & Wei Xiong, 2020. "A Model of Cryptocurrencies," NBER Working Papers 26816, National Bureau of Economic Research, Inc.
    56. Biktimirov, Ernest N. & Biktimirova, Liana E., 2023. "All topics are not created equal: Sentiment and hype of business media topics and the bitcoin market," Economics Letters, Elsevier, vol. 231(C).
    57. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    58. Caferra, Rocco & Morone, Andrea & Potì, Valerio, 2022. "Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour," Economics Letters, Elsevier, vol. 218(C).
    59. Fernando E. Alvarez & David Argente & Diana Van Patten, 2022. "Are Cryptocurrencies Currencies? Bitcoin as Legal Tender in El Salvador," NBER Working Papers 29968, National Bureau of Economic Research, Inc.
    60. Borri, Nicola & Shakhnov, Kirill, 2023. "Cryptomarket discounts," Journal of International Money and Finance, Elsevier, vol. 139(C).
    61. Armando Holzknecht & Jürgen Huber & Michael Kirchler & Tibor Neugebauer, 2024. "Speculating in zero-value assets: The greater fool game experiment," Working Papers 2024-09, Faculty of Economics and Statistics, Universität Innsbruck.
    62. Simplice A. Asongu & Sara le Roux, 2023. "The role of mobile money innovations in transforming unemployed women to self-employed women in sub-Saharan Africa," Working Papers 23/016, European Xtramile Centre of African Studies (EXCAS).
    63. Benedetti, Hugo & Nikbakht, Ehsan, 2021. "Returns and network growth of digital tokens after cross-listings," Journal of Corporate Finance, Elsevier, vol. 66(C).
    64. Ao Shu & Feiyang Cheng & Jianlei Han & Zini Liang & Zheyao Pan, 2023. "Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 5183-5210, December.
    65. Jlassi, Nabila Boukef & Jeribi, Ahmed & Lahiani, Amine & Mefteh-Wali, Salma, 2023. "Subsample analysis of stock market – cryptocurrency returns tail dependence: A copula approach for the tails," Finance Research Letters, Elsevier, vol. 58(PA).
    66. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2019. "Common Risk Factors in Cryptocurrency," NBER Working Papers 25882, National Bureau of Economic Research, Inc.
    67. Sakkas, Athanasios & Urquhart, Andrew, 2024. "Blockchain factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
    68. Joo, Young C. & Park, Sung Y., 2024. "Hedging Bitcoin with commodity futures: An analysis with copper, gas, gold, and crude oil futures," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    69. Scharnowski, Matthias & Scharnowski, Stefan & Zimmermann, Lukas, 2023. "Fan tokens: Sports and speculation on the blockchain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    70. Wüstenfeld, Jan & Geldner, Teo, 2022. "Economic uncertainty and national bitcoin trading activity," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    71. Hilliard, Jimmy E. & Hilliard, Jitka & Ngo, Julie T.D., 2024. "Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions," Journal of Commodity Markets, Elsevier, vol. 35(C).
    72. Son, Dong-Hoon, 2023. "On-demand ride-sourcing markets with cryptocurrency-based fare-reward scheme," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 171(C).
    73. Joubert, Thomas H.A., 2024. "Unraveling Bitcoin price unpredictability: The role of hard forks," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    74. Bhambhwani, Siddharth M. & Huang, Allen H., 2024. "Auditing decentralized finance," The British Accounting Review, Elsevier, vol. 56(2).
    75. Jermann, Urban J., 2021. "Cryptocurrencies and Cagan’s model of hyperinflation," Journal of Macroeconomics, Elsevier, vol. 69(C).
    76. Dong, Bingbing & Jiang, Lei & Liu, Jinyu & Zhu, Yifeng, 2022. "Liquidity in the cryptocurrency market and commonalities across anomalies," International Review of Financial Analysis, Elsevier, vol. 81(C).
    77. Wilko Bolt & Maarten R.C. Van Oordt, 2020. "On the Value of Virtual Currencies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 835-862, June.
    78. Grobys, Klaus & Dufitinema, Josephine & Sapkota, Niranjan & Kolari, James W., 2022. "What’s the expected loss when Bitcoin is under cyberattack? A fractal process analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    79. Liu, Yakun & Chen, Yan, 2024. "Skewness risk and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    80. Michael Sockin & Wei Xiong, 2023. "Decentralization through Tokenization," Journal of Finance, American Finance Association, vol. 78(1), pages 247-299, February.
    81. Podhorsky, Andrea, 2024. "Bursting the bitcoin bubble: Do market prices reflect fundamental bitcoin value?," International Review of Financial Analysis, Elsevier, vol. 93(C).
    82. Alexandra Mitschke, 2021. "Central Bank Digital Currencies and Monetary Policy Effectiveness in the Euro Area," Working Papers Dissertations 74, Paderborn University, Faculty of Business Administration and Economics.
    83. Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
    84. Pezzo, Luca & Wang, Lei & Shin, Seungho & Zirek, Duygu, 2023. "Dynamics of mining markets: Equilibrium implications for professional and casual miners," Global Finance Journal, Elsevier, vol. 57(C).
    85. Florentina c{S}oiman & Guillaume Dumas & Sonia Jimenez-Garces, 2022. "The return of (I)DeFiX," Papers 2204.00251, arXiv.org.

  4. Evangelos Benos & Wenqian Huang & Albert Menkveld & Michalis Vasios, 2019. "The cost of clearing fragmentation," BIS Working Papers 826, Bank for International Settlements.

    Cited by:

    1. Inaki Aldasoro & Wenqian Huang & Esti Kemp, 2020. "Cross-border links between banks and non-bank financial institutions," BIS Quarterly Review, Bank for International Settlements, September.
    2. Evangelos Benos & Gerardo Ferrara & Angelo Ranaldo, 2022. "Collateral Cycles," Swiss Finance Institute Research Paper Series 22-91, Swiss Finance Institute.
    3. Gabrielle Demange & Thibaut Piquard, 2022. "On the Choice of Central Counterparties in the EU," Working papers 868, Banque de France.
    4. González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).

  5. Wenqian Huang & Albert Menkveld & Shihao Yu, 2019. "Central counterparty exposure in stressed markets," BIS Working Papers 833, Bank for International Settlements.

    Cited by:

    1. Injun Hwang & Baeho Kim, 2022. "A systemic change of measure from central clearing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1738-1754, September.
    2. Lei Song & Yu Chen, 2025. "Does a non-performing assets disposal fund help control systemic risk? Evidence from an interbank financial network in China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-45, December.
    3. Kubitza, Christian & Pelizzon, Loriana & Sherman, Mila Getmansky, 2023. "Loss sharing in central clearinghouses: winners and losers," Working Paper Series 2873, European Central Bank.
    4. González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).

  6. Albert Menkveld & Marius Andrei Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," Post-Print hal-01501352, HAL.

    Cited by:

    1. Brolley, Michael & Zoican, Marius, 2023. "On-demand fast trading on decentralized exchanges," Finance Research Letters, Elsevier, vol. 51(C).
    2. Songzi Du & Haoxiang Zhu, 2014. "Welfare and Optimal Trading Frequency in Dynamic Double Auctions," NBER Working Papers 20588, National Bureau of Economic Research, Inc.
    3. Li, Sida & Wang, Xin & Ye, Mao, 2021. "Who provides liquidity, and when?," Journal of Financial Economics, Elsevier, vol. 141(3), pages 968-980.
    4. Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
    5. Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    6. Zhengqiang Li & Tao Wang & Samuel Drapeau & Xuan Tao, 2024. "Evolution of Chinese futures markets from a high frequency perspective," Economics and Politics, Wiley Blackwell, vol. 36(3), pages 1416-1449, November.
    7. Banerjee, Anirban & Roy, Prince, 2023. "High-frequency traders’ evolving role as market makers," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    8. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
    9. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
    10. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
    11. Somayeh Kokabisaghi & Eric J Pauwels & Andre B Dorsman, 2019. "To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders," Papers 1912.04012, arXiv.org, revised Sep 2020.
    12. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," HEC Research Papers Series 1040, HEC Paris.
    13. Xiaoman, Jin & Qing, Li & Jun, Wang & Jingmei, Zhao, 2023. "Voice or noise? Repetitive information and stock performance," Finance Research Letters, Elsevier, vol. 52(C).
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    15. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    16. Chung, Kiseo & Kim, Seoyoung, 2024. "Technological disparity and its impact on market quality," Journal of Empirical Finance, Elsevier, vol. 75(C).
    17. Bernales, Alejandro, 2019. "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, vol. 45(C), pages 1-18.
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    19. Peter B. Lerner, 2022. "Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010," Mathematics, MDPI, vol. 10(14), pages 1-25, July.
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    21. Boilard, J.-F. & Kanazawa, K. & Takayasu, H. & Takayasu, M., 2018. "Empirical scaling relations of market event rates in foreign currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1152-1161.
    22. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
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    24. Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2024. "High-frequency trading in the stock market and the costs of options market making," Journal of Financial Economics, Elsevier, vol. 159(C).
    25. Sida Li & Xin Wang & Mao Ye, 2019. "Who Provides Liquidity, and When?," NBER Working Papers 25972, National Bureau of Economic Research, Inc.
    26. Yan Chen & Peter Cramton & John A. List & Axel Ockenfels, 2020. "Market Design, Human Behavior, and Management," NBER Working Papers 26873, National Bureau of Economic Research, Inc.
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    42. Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
    43. Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
    44. Eric M. Aldrich & Kristian López Vargas, 2020. "Experiments in high-frequency trading: comparing two market institutions," Experimental Economics, Springer;Economic Science Association, vol. 23(2), pages 322-352, June.
    45. Tomy Lee, 2019. "Latency in Fragmented Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 128-153, July.
    46. Alasdair Brown & Fuyu Yang, 2015. "Adverse Selection, Speed Bumps and Asset Market Quality," University of East Anglia Applied and Financial Economics Working Paper Series 070, School of Economics, University of East Anglia, Norwich, UK..
    47. John Coughlan & Alexei G. Orlov, 2023. "High‐frequency trading and market quality: Evidence from account‐level futures data," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1126-1160, August.
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    49. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2017. "High frequency trading and the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 124(1), pages 22-42.
    50. Gianluca Piero Maria Virgilio, 2019. "High-frequency trading: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 183-208, June.
    51. Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2024. "High-frequency trading in the stock market and the costs of options market making," LSE Research Online Documents on Economics 124228, London School of Economics and Political Science, LSE Library.
    52. Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
    53. Johann, Thomas & Putnins, Talis & Sagade, Satchit & Westheide, Christian, 2019. "Quasi-dark trading: The effects of banning dark pools in a world of many alternatives," SAFE Working Paper Series 253, Leibniz Institute for Financial Research SAFE.
    54. Aquilina, Matteo & Foley, Sean & O'Neill, Peter & Ruf, Thomas, 2024. "Sharks in the dark: Quantifying HFT dark pool latency arbitrage," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    55. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    56. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    57. Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.
    58. James Brugler & Carole Comerton-Forde & J Spencer Martin, 2022. "Secondary Market Transparency and Corporate Bond Issuing Costs [Asset pricing and the bid–ask spread]," Review of Finance, European Finance Association, vol. 26(1), pages 43-77.
    59. S. Sarah Zhang, 2018. "Need for speed: Hard information processing in a high‐frequency world," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 3-21, January.
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    61. Brolley, Michael & Zoican, Marius, 2023. "Liquid speed: A micro-burst fee for low-latency exchanges," Journal of Financial Markets, Elsevier, vol. 64(C).
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    63. Matteo Aquilina & Sean Foley & Peter O'Neill & Matteo Thomas Ruf, 2023. "Sharks in the dark: quantifying HFT dark pool latency arbitrage," BIS Working Papers 1115, Bank for International Settlements.
    64. Aldrich, Eric M & Friedman, Daniel, 2019. "Order Protection through Delayed Messaging," Santa Cruz Department of Economics, Working Paper Series qt4938f518, Department of Economics, UC Santa Cruz.
    65. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
    66. Michael Brolley & Marius Zoican, 2019. "Liquid Speed: On-Demand Fast Trading at Distributed Exchanges," Papers 1907.10720, arXiv.org.
    67. Rif, Alexandru & Utz, Sebastian, 2021. "Short-term stock price reversals after extreme downward price movements," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 123-133.
    68. Vincent Grégoire & Charles Martineau, 2022. "How is Earnings News Transmitted to Stock Prices?," Journal of Accounting Research, Wiley Blackwell, vol. 60(1), pages 261-297, March.
    69. Eibelshäuser, Steffen & Smetak, Fabian, 2022. "Frequent batch auctions and informed trading," SAFE Working Paper Series 344, Leibniz Institute for Financial Research SAFE.
    70. Haeringer, Guillaume & Melton, Hayden, 2020. "High Frequency Fairness," MPRA Paper 103907, University Library of Munich, Germany.
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  7. Vincent van Kervel & Albert J. Menkveld, 2017. "High-Frequency Trading around Large Institutional Orders," Tinbergen Institute Discussion Papers 17-092/IV, Tinbergen Institute.

    Cited by:

    1. Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
    2. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2010. "Diving into Dark Pools," Working Paper Series 2010-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    3. Bellia, Mario & Christensen, Kim & Kolokolov, Aleksey & Pelizzon, Loriana & Renò, Roberto, 2022. "Do designated market makers provide liquidity during a flash crash?," SAFE Working Paper Series 270, Leibniz Institute for Financial Research SAFE, revised 2022.
    4. Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    5. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
    6. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
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    8. Bogousslavsky, Vincent & Collin-Dufresne, Pierre & Sağlam, Mehmet, 2021. "Slow-moving capital and execution costs: Evidence from a major trading glitch," Journal of Financial Economics, Elsevier, vol. 139(3), pages 922-949.
    9. Matteo Aquilina & Eric Budish & Peter O'Neill, 2021. "Quantifying the high-frequency trading "arms race"," BIS Working Papers 955, Bank for International Settlements.
    10. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.
    11. Ziyi Xu & Xue Cheng, 2024. "Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders," Papers 2403.08202, arXiv.org.
    12. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2022. "Price revelation from insider trading: Evidence from hacked earnings news," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1162-1184.
    13. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2021. "Price Revelation from Insider Trading: Evidence from Hacked Earnings News," SocArXiv qe6tu, Center for Open Science.
    14. Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
    15. Foucault, T., 2016. "Where are the risks in high frequency trading?," Financial Stability Review, Banque de France, issue 20, pages 53-67, April.
    16. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    17. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
    18. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2020. "Informed trading in government bond markets," Bank of England working papers 871, Bank of England.
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    20. Han, Jinhui & Li, Xiaolong & Ma, Guiyuan & Kennedy, Adrian Patrick, 2023. "Strategic trading with information acquisition and long-memory stochastic liquidity," European Journal of Operational Research, Elsevier, vol. 308(1), pages 480-495.
    21. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise & Kim Peijnenburg, 2018. "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families," Post-Print hal-02279289, HAL.
    22. Chen, Marie & Garriott, Corey, 2020. "High-frequency trading and institutional trading costs," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 74-93.
    23. Viktor Manahov, 2021. "High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5385-5407, October.
    24. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2019. "Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal," Working Papers on Finance 1912, University of St. Gallen, School of Finance.
    25. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    26. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
    27. Neumeier, Christian & Gozluklu, Arie & Hoffmann, Peter & O’Neill, Peter & Suntheim, Felix, 2023. "Banning dark pools: Venue selection and investor trading costs," Journal of Financial Markets, Elsevier, vol. 65(C).
    28. Sagade, Satchit & Scharnowski, Stefan & Westheide, Christian, 2022. "Broker colocation and the execution costs of customer and proprietary orders," SAFE Working Paper Series 366, Leibniz Institute for Financial Research SAFE.
    29. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2019. "Transaction Cost Analytics for Corporate Bonds," Papers 1903.09140, arXiv.org, revised Dec 2021.
    30. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
    31. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    32. Andrea Barbon & Marco Di Maggio & Francesco A. Franzoni & Augustin Landier, 2017. "Brokers and Order Flow Leakage: Evidence from Fire Sales," Swiss Finance Institute Research Paper Series 17-61, Swiss Finance Institute, revised Jun 2018.
    33. Akey, Pat, 2021. "Price Revelation from Insider Trading: Evidence from Hacked Earnings News," SocArXiv qe6tu_v1, Center for Open Science.
    34. Jasmin Gider & Simon N. M. Schmickler & Christian Westheide, 2021. "High-Frequency Trading and Price Informativeness," CRC TR 224 Discussion Paper Series crctr224_2021_257, University of Bonn and University of Mannheim, Germany.
    35. Choi, Jin Hyuk & Larsen, Kasper & Seppi, Duane J., 2019. "Information and trading targets in a dynamic market equilibrium," Journal of Financial Economics, Elsevier, vol. 132(3), pages 22-49.
    36. Thorsten Hens & Terje Lensberg & Klaus Reiner Schenk‐Hoppé, 2018. "Front‐Running and Market Quality: An Evolutionary Perspective on High Frequency Trading," International Review of Finance, International Review of Finance Ltd., vol. 18(4), pages 727-741, December.
    37. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    38. Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.
    39. Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
    40. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
    41. van Kervel, Vincent & Kwan, Amy & Westerholm, P. Joakim, 2023. "Order splitting and interacting with a counterparty," Journal of Financial Markets, Elsevier, vol. 66(C).
    42. Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index," Post-Print hal-03282991, HAL.
    43. Liou, Jyh-Hwa & Liu, Yun-Ti & Cheng, Li-Chen, 2024. "Price spread prediction in high-frequency pairs trading using deep learning architectures," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    44. Rif, Alexandru & Utz, Sebastian, 2021. "Short-term stock price reversals after extreme downward price movements," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 123-133.
    45. Matteo Aquilina & Eric Budish, 2020. "Quantifying the High-Frequency Trading “Arms Race†: A Simple New Methodology and Estimates," Working Papers 2020-86, Becker Friedman Institute for Research In Economics.
    46. Yutong Lu & Gesine Reinert & Mihai Cucuringu, 2023. "Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets," Papers 2302.09382, arXiv.org, revised May 2024.
    47. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
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    49. Joel Peress & Daniel Schmidt, 2020. "Glued to the TV: Distracted Noise Traders and Stock Market Liquidity," Journal of Finance, American Finance Association, vol. 75(2), pages 1083-1133, April.
    50. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
    51. Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
    52. Benos, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2017. "Interactions among High-Frequency Traders," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1375-1402, August.
    53. Han, Jinhui & Ma, Guiyuan & Yam, Sheung Chi Phillip, 2022. "Relative performance evaluation for dynamic contracts in a large competitive market," European Journal of Operational Research, Elsevier, vol. 302(2), pages 768-780.
    54. Jurich, Stephen N. & Mishra, Ajay Kumar & Parikh, Bhavik, 2020. "Indecisive algos: Do limit order revisions increase market load?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    55. Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
    56. Deng, Mengdie & Lin, Tse-Chun & Zhou, Jiayu, 2024. "Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program," Journal of Financial Markets, Elsevier, vol. 67(C).
    57. Boguth, Oliver, 2022. "Price Informativeness and FOMC Reversals," SocArXiv zurfk_v1, Center for Open Science.
    58. Declerck, F., 2016. "High-frequency trading, geographical concerns and the curvature of the Earth," Financial Stability Review, Banque de France, issue 20, pages 153-160, April.

  8. Albert Menkveld & Boyan Jovanovic, 2016. "Dispersion and Skewness of Bid Prices," 2016 Meeting Papers 1395, Society for Economic Dynamics.

    Cited by:

    1. Tao Chen & Kam C. Chan & Haodong Chang, 2022. "Periodicity of trading activity in foreign exchange markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 445-465, June.
    2. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.

  9. Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.

    Cited by:

    1. Kubitza, Christian & Pelizzon, Loriana & Getmansky, Mila, 2018. "The pitfalls of central clearing in the presence of systematic risk," ICIR Working Paper Series 31/18, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    2. Fuchun Li & Héctor Pérez Saiz, 2016. "Measuring Systemic Risk Across Financial Market Infrastructures," Staff Working Papers 16-10, Bank of Canada.
    3. Bellia, Mario & Girardi, Giulio & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas, 2024. "The demand for central clearing: To clear or not to clear, that is the question!," Journal of Financial Stability, Elsevier, vol. 72(C).
    4. Kubitza, Christian & Pelizzon, Loriana & Sherman, Mila Getmansky, 2023. "Loss sharing in central clearinghouses: winners and losers," Working Paper Series 2873, European Central Bank.

  10. Haoxiang Zhu & Bart Yueshen & Albert Menkveld, 2015. "Shades of Darkness: A Pecking Order of Trading Venues," 2015 Meeting Papers 1164, Society for Economic Dynamics.

    Cited by:

    1. Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.
    2. Justin Cox, 2020. "Market fragmentation and post-earnings announcement drift," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 587-610, July.
    3. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang & Xinran Zhang, 2021. "Tracking Retail Investor Activity," Journal of Finance, American Finance Association, vol. 76(5), pages 2249-2305, October.
    4. Eaton, Gregory W. & Green, T. Clifton & Roseman, Brian S. & Wu, Yanbin, 2022. "Retail trader sophistication and stock market quality: Evidence from brokerage outages," Journal of Financial Economics, Elsevier, vol. 146(2), pages 502-528.
    5. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
    6. Jonathan Brogaard & Jing Pan, 2022. "Dark Pool Trading and Information Acquisition," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2625-2666.
    7. Justin Cox & Kathleen P. Fuller & Robert Van Ness, 2024. "Where does ex‐dividend trading occur: An examination of trading venues around dividends," The Financial Review, Eastern Finance Association, vol. 59(1), pages 31-55, February.
    8. Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
    9. Duong, Huu Nhan & Kalev, Petko S. & Tian, Xiao Jason, 2022. "Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    10. Bayona, Anna & Dumitrescu, Ariadna & Manzano, Carolina, 2023. "Information and optimal trading strategies with dark pools," Economic Modelling, Elsevier, vol. 126(C).
    11. Kitagawa, Norio, 2021. "Macroeconomic uncertainty and management forecast accuracy," Journal of Contemporary Accounting and Economics, Elsevier, vol. 17(3).
    12. Darrell Duffie & Haoxiang Zhu, 2015. "Size Discovery," NBER Working Papers 21696, National Bureau of Economic Research, Inc.
    13. Jurich, Stephen N., 2021. "Does off-exchange trading decrease in the presence of uncertainty?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 201-213.
    14. Lei Wu & Kuan Xu & Qingbin Meng, 2020. "Information Flow and Price Discovery Dynamics," Working Papers daleconwp2020-02, Dalhousie University, Department of Economics.
    15. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
      • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
    16. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2022. "Stock splits and retail trading," The Financial Review, Eastern Finance Association, vol. 57(4), pages 731-750, November.
    17. Paul J. Irvine & Egle Karmaziene, 2023. "Competing for Dark Trades," Tinbergen Institute Discussion Papers 23-020/IV, Tinbergen Institute.
    18. Robert Garrison & Pankaj K. Jain & Mark Paddrik, 2024. "Cross‐Asset Tandem Trading and Extraordinary Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1508-1542, September.
    19. Shan Lu & Jichang Zhao & Huiwen Wang, 2018. "The Power of Trading Polarity: Evidence from China Stock Market Crash," Papers 1802.01143, arXiv.org.
    20. Jacob Thomas & Frank Zhang & Wei Zhu, 2021. "Dark Trading and Post-Earnings-Announcement Drift," Management Science, INFORMS, vol. 67(12), pages 7785-7811, December.
    21. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
    22. Neumeier, Christian & Gozluklu, Arie & Hoffmann, Peter & O’Neill, Peter & Suntheim, Felix, 2023. "Banning dark pools: Venue selection and investor trading costs," Journal of Financial Markets, Elsevier, vol. 65(C).
    23. Zhao, Le & Nguyen, Vinh Huy & Li, Chen, 2024. "The volatility-liquidity dynamics of single-stock ETFs," Finance Research Letters, Elsevier, vol. 69(PB).
    24. Valseth, Siri, 2020. "Informed trading in hybrid bond markets," Global Finance Journal, Elsevier, vol. 44(C).
    25. Nguyet Nguyen, 2022. "Informed Trading in Dark Pools: Fair-Access Dark Venue vs. Restricted-Access Dark Venues," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-37, June.
    26. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    27. Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
    28. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2023. "Spoilt for choice: Determinants of market shares in fragmented equity markets," Journal of Financial Markets, Elsevier, vol. 64(C).
    29. Egginton, Jared F. & McBrayer, Garrett A. & Watson, Ethan D., 2023. "Shades of trade: Dark trading and price efficiency," Journal of Banking & Finance, Elsevier, vol. 155(C).
    30. Fany Declerck & Laurence Lescourret, 2015. "Dark pools et trading haute fréquence : une évolution utile ?," Revue d'économie financière, Association d'économie financière, vol. 0(4), pages 113-126.
    31. Hendershott, Terrence & Wee, Marvin & Wen, Yuanji, 2022. "Transparency in fragmented markets: Experimental evidence," Journal of Financial Markets, Elsevier, vol. 59(PA).
    32. Bernales, Alejandro & Ladley, Daniel & Litos, Evangelos & Valenzuela, Marcela, 2021. "Dark trading and alternative execution priority rules," LSE Research Online Documents on Economics 118866, London School of Economics and Political Science, LSE Library.
    33. Choi, Jin Hyuk & Larsen, Kasper & Seppi, Duane J., 2019. "Information and trading targets in a dynamic market equilibrium," Journal of Financial Economics, Elsevier, vol. 132(3), pages 22-49.
    34. Johann, Thomas & Putnins, Talis & Sagade, Satchit & Westheide, Christian, 2019. "Quasi-dark trading: The effects of banning dark pools in a world of many alternatives," SAFE Working Paper Series 253, Leibniz Institute for Financial Research SAFE.
    35. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
    36. Wenqian Huang & Peter O'Neill & Angelo Ranaldo & Shihao Yu, 2023. "HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading," Swiss Finance Institute Research Paper Series 23-48, Swiss Finance Institute.
    37. Degryse, Hans & Karagiannis, Nikolaos & Tombeur, Geoffrey & Wuyts, Gunther, 2021. "Two shades of opacity: Hidden orders and dark trading," Journal of Financial Intermediation, Elsevier, vol. 47(C).
    38. Ibikunle, Gbenga & Rzayev, Khaladdin, 2023. "Volatility and dark trading: Evidence from the Covid-19 pandemic," The British Accounting Review, Elsevier, vol. 55(4).
    39. Baldauf, Markus & Mollner, Joshua & Yueshen, Bart Zhou, 2024. "Siphoned apart: A portfolio perspective on order flow segmentation," Journal of Financial Economics, Elsevier, vol. 154(C).
    40. Huszár, Zsuzsa R. & Prado, Melissa Porras, 2019. "An analysis of over-the-counter and centralized stock lending markets," Journal of Financial Markets, Elsevier, vol. 43(C), pages 31-53.
    41. Ye, Linlin, 2024. "Understanding the impacts of dark pools on price discovery," Journal of Financial Markets, Elsevier, vol. 68(C).
    42. Ibikunle, Gbenga & Li, Youwei & Mare, Davide & Sun, Yuxin, 2021. "Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    43. Reed, Adam V. & Samadi, Mehrdad & Sokobin, Jonathan S., 2020. "Shorting in Broad Daylight: Short Sales and Venue Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(7), pages 2246-2269, November.
    44. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
    45. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).

  11. Albert J. Menkveld, 2014. "Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties," Tinbergen Institute Discussion Papers 14-065/IV/DSF75, Tinbergen Institute.

    Cited by:

    1. Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
    2. Bruno, Salvatore & Chincarini, Ludwig B. & Ohara, Frank, 2018. "Portfolio construction and crowding," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 190-206.
    3. Yang, Chunpeng & Zhou, Liyun, 2016. "Individual stock crowded trades, individual stock investor sentiment and excess returns," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 39-53.
    4. Liyun Zhou & Chunpeng Yang, 2019. "Differences in the effects of seller-initiated versus buyer-initiated crowded trades in stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 859-890, December.
    5. Chincarini, Ludwig B. & Moneta, Fabio, 2021. "The challenges of oil investing: Contango and the financialization of commodities," Energy Economics, Elsevier, vol. 102(C).
    6. Paul Glasserman & Ciamac C. Moallemi & Kai Yuan, 2016. "Hidden Illiquidity with Multiple Central Counterparties," Operations Research, INFORMS, vol. 64(5), pages 1143-1158, October.
    7. Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.

  12. Albert J. Menkveld & Emiliano Pagnotta & Marius A. Zoican, 2013. "Central Clearing and Asset Prices," Tinbergen Institute Discussion Papers 13-181/IV/DSF67, Tinbergen Institute.

    Cited by:

    1. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2014. "Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse," NBER Working Papers 20459, National Bureau of Economic Research, Inc.

  13. 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).

    Cited by:

    1. Chung, Kee H. & Park, Seongkyu “Gilbert” & Ryu, Doojin, 2016. "Trade duration, informed trading, and option moneyness," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 395-411.
    2. Będowska-Sójka, Barbara, 2020. "Do aggressive orders affect liquidity? An evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 54(C).
    3. Ben Omrane, Walid & Tao, Yusi & Welch, Robert, 2017. "Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 9-30.
    4. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    5. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
    6. Doojin Ryu, 2015. "Information content of inter-transaction time: A structural approach," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 697-711, August.
    7. J. Christopher Westland, 2023. "Determinants of liquidity in cryptocurrency markets," Digital Finance, Springer, vol. 5(2), pages 261-293, June.

  14. 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.

    Cited by:

    1. Vasilios Mavroudis, 2019. "Market Manipulation as a Security Problem," Papers 1903.12458, arXiv.org.
    2. Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
    3. Watson, Ethan D. & Woods, Donovan, 2022. "Exchange introduction and market competition: The entrance of MEMX and MIAX," Global Finance Journal, Elsevier, vol. 54(C).
    4. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    5. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    6. Yacine Aït-Sahalia & Mehmet Saglam, 2013. "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers 19531, National Bureau of Economic Research, Inc.
    7. Ziyi Xu & Xue Cheng, 2023. "The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper," Papers 2304.13985, arXiv.org, revised Feb 2024.
    8. Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    9. Yun Chen-Shue & Yukun Li & Jiongmin Yong, 2024. "A Limit Order Book Model for High Frequency Trading with Rough Volatility," Papers 2412.16850, arXiv.org.
    10. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014. "Rock around the clock: an agent-based model of low- and high-frequency trading," Working Papers hal-01070542, HAL.
    11. Marios Panayides & Barbara Rindi & Ingrid M.Werner, 2017. "Trading Fees and Intermarket Competition," BAFFI CAREFIN Working Papers 1751, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    12. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2019. "Optimal make-take fees for market making regulation," Working Papers hal-02379592, HAL.
    13. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
    14. Zhengqiang Li & Tao Wang & Samuel Drapeau & Xuan Tao, 2024. "Evolution of Chinese futures markets from a high frequency perspective," Economics and Politics, Wiley Blackwell, vol. 36(3), pages 1416-1449, November.
    15. Banerjee, Anirban & Roy, Prince, 2023. "High-frequency traders’ evolving role as market makers," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    16. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
    17. Brian F Tivnan & David Rushing Dewhurst & Colin M Van Oort & John H Ring IV & Tyler J Gray & Brendan F Tivnan & Matthew T K Koehler & Matthew T McMahon & David M Slater & Jason G Veneman & Christopher, 2020. "Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-24, January.
    18. Matthew Zook & Michael H Grote, 2017. "The microgeographies of global finance: High-frequency trading and the construction of information inequality," Environment and Planning A, , vol. 49(1), pages 121-140, January.
    19. Benos, Evangelos & Sagade, Satchit, 2016. "Price discovery and the cross-section of high-frequency trading," Journal of Financial Markets, Elsevier, vol. 30(C), pages 54-77.
    20. Álvaro Cartea & José Penalva, 2012. "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-46.
    21. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
    22. Kang, Jongho & Kang, Jangkoo & Kwon, Kyung Yoon, 2022. "Market versus limit orders of speculative high-frequency traders and price discovery," Research in International Business and Finance, Elsevier, vol. 63(C).
    23. Alexandru-Ioan Stan, 2018. "Computational speed and high-frequency trading profitability: an ecological perspective," Electronic Markets, Springer;IIM University of St. Gallen, vol. 28(3), pages 381-395, August.
    24. Robert J. Kauffman & Yuzhou Hu & Dan Ma, 2015. "Will high-frequency trading practices transform the financial markets in the Asia Pacific Region?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-27, December.
    25. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
    26. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
    27. George Jiang & Ingrid Lo & Giorgio Valente, 2014. "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market," Staff Working Papers 14-56, Bank of Canada.
    28. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
    29. Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Working Papers hal-01512781, HAL.
    30. Nidhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2019. "When do regulatory interventions work?," Working Papers id:13040, eSocialSciences.
    31. Chang, Danting, 2021. "Fundamental anomalies and the size puzzle in China: A data mining approach," Finance Research Letters, Elsevier, vol. 42(C).
    32. Seddon, Jonathan J.J.M. & Currie, Wendy L., 2017. "A model for unpacking big data analytics in high-frequency trading," Journal of Business Research, Elsevier, vol. 70(C), pages 300-307.
    33. Chen, Shi & Härdle, Wolfgang & Schienle, Melanie, 2021. "High-dimensional statistical learning techniques for time-varying limit order book networks," IRTG 1792 Discussion Papers 2021-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    34. Ekinci, Cumhur & Ersan, Oguz, 2018. "A new approach for detecting high-frequency trading from order and trade data," Finance Research Letters, Elsevier, vol. 24(C), pages 313-320.
    35. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2015. "Measuring the Liquidity Part of Volume," Post-Print hal-01632766, HAL.
    36. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    37. Nidhi Aggarwal & Susan Thomas, 2014. "The causal impact of algorithmic trading on market quality," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-023, Indira Gandhi Institute of Development Research, Mumbai, India.
    38. Frino, Alex & Mollica, Vito & Webb, Robert I. & Zhang, Shunquan, 2017. "The impact of latency sensitive trading on high frequency arbitrage opportunities," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 91-102.
    39. Yergeau, Gabriel, 2016. "Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation," Working Papers 16-3, HEC Montreal, Canada Research Chair in Risk Management.
    40. Kaawach, Said & Kowalewski, Oskar & Talavera, Oleksandr, 2024. "Automatic versus manual investing: Role of past performance," Journal of Financial Stability, Elsevier, vol. 74(C).
    41. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
    42. Erdinc Akyildirim & Shaen Corbet & Guzhan Gulay & Duc Khuong Nguyen & Ahmet Sensoy, 2019. "Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market," Working Papers 2019-011, Department of Research, Ipag Business School.
    43. Wolfgang Kuhle, 2023. "Latency arbitrage and the synchronized placement of orders," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-18, December.
    44. Jakub Kučera, 2013. "Definition, Benefits and Risks of High-Frequency Trading [Vymezení, přínosy a rizika vysokofrekvenčního obchodování]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2013(5), pages 3-30.
    45. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2019. "Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models," The Financial Review, Eastern Finance Association, vol. 54(3), pages 417-449, August.
    46. Bernales, Alejandro, 2019. "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, vol. 45(C), pages 1-18.
    47. Bastien Baldacci & Philippe Bergault, 2021. "Optimal incentives in a limit order book: a SPDE control approach," Papers 2112.00375, arXiv.org, revised Oct 2022.
    48. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2022. "Price revelation from insider trading: Evidence from hacked earnings news," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1162-1184.
    49. Albert Menkveld & Marius Andrei Zoican, 2016. "Need for Speed? Exchange Latency and Liquidity," Working Papers hal-01253615, HAL.
    50. Bonnie F. Van Ness & Robert A. Van Ness & Serhat Yildiz, 2017. "The role of HFTs in order flow toxicity and stock price variance, and predicting changes in HFTs’ liquidity provisions," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 739-762, October.
    51. Morten Linnemann Bech & Anamaria Illes & Ulf Lewrick & Andreas Schrimpf, 2016. "Hanging up the phone - electronic trading in fixed income markets and its implications," BIS Quarterly Review, Bank for International Settlements, March.
    52. O’Hara, Maureen, 2015. "High frequency market microstructure," Journal of Financial Economics, Elsevier, vol. 116(2), pages 257-270.
    53. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2021. "Price Revelation from Insider Trading: Evidence from Hacked Earnings News," SocArXiv qe6tu, Center for Open Science.
    54. Ya‐Kai Chang & Robin K. Chou, 2022. "Algorithmic trading and market quality: Evidence from the Taiwan index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1837-1855, October.
    55. Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
    56. Chordia, Tarun & Miao, Bin, 2020. "Market efficiency in real time: Evidence from low latency activity around earnings announcements," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    57. Nimalendran, Mahendrarajah & Ray, Sugata, 2014. "Informational linkages between dark and lit trading venues," Journal of Financial Markets, Elsevier, vol. 17(C), pages 230-261.
    58. Comerton-Forde, Carole & Jones, Charles M. & Putniņš, Tālis J., 2016. "Shorting at close range: A tale of two types," Journal of Financial Economics, Elsevier, vol. 121(3), pages 546-568.
    59. Hendershott, Terrence & Seasholes, Mark S., 2014. "Liquidity provision and stock return predictability," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 140-151.
    60. Xuekui Zhang & Yuying Huang & Ke Xu & Li Xing, 2023. "Novel modelling strategies for high-frequency stock trading data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
    61. Chelley-Steeley, Patricia L. & Lambertides, Neophytos, 2022. "Trading activity around chapter 11 filing," International Review of Financial Analysis, Elsevier, vol. 82(C).
    62. Markus Baldauf & Joshua Mollner, 2015. "High-Frequency Trading and Market Performance," Discussion Papers 15-017, Stanford Institute for Economic Policy Research.
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    247. Benjamin Clapham & Martin Haferkorn & Kai Zimmermann, 2023. "The Impact of High-Frequency Trading on Modern Securities Markets," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 65(1), pages 7-24, February.
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  15. Albert J. Menkveld & Boyan Jovanovic, 2010. "Middlemen in Limit Order Markets," 2010 Meeting Papers 955, Society for Economic Dynamics.

    Cited by:

    1. Yacine Aït-Sahalia & Mehmet Saglam, 2013. "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers 19531, National Bureau of Economic Research, Inc.
    2. Dan LI & Norman SCHUERHOFF, 2014. "Dealer Networks," Swiss Finance Institute Research Paper Series 14-50, Swiss Finance Institute.
    3. Nidhi Aggarwal & Susan Thomas, 2014. "The causal impact of algorithmic trading on market quality," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-023, Indira Gandhi Institute of Development Research, Mumbai, India.
    4. Emiliano Pagnotta & Thomas Philippon, 2011. "Competing on Speed," NBER Working Papers 17652, National Bureau of Economic Research, Inc.
    5. R. Cesari & M. Marzo & P. Zagaglia, 2012. "Effective Trade Execution," Working Papers wp836, Dipartimento Scienze Economiche, Universita' di Bologna.
    6. Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," HEC Research Papers Series 968, HEC Paris.
    7. Bruno Biais & Thierry Foucault, 2014. "HFT and Market Quality," Bankers, Markets & Investors, ESKA Publishing, issue 128, pages 5-19, January-F.
    8. Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
    9. Hasbrouck, Joel & Saar, Gideon, 2013. "Low-latency trading," Journal of Financial Markets, Elsevier, vol. 16(4), pages 646-679.
    10. Robert P. Bartlett, III & Justin McCrary, 2015. "Dark Trading at the Midpoint: Pricing Rules, Order Flow, and High Frequency Liquidity Provision," NBER Working Papers 21286, National Bureau of Economic Research, Inc.
    11. Rodolfo E. Manuelli & Adrian Peralta-Alva, 2011. "\\"Frictions in financial and labor markets\\": a summary of the 35th Annual Economic Policy Conference," Review, Federal Reserve Bank of St. Louis, vol. 93(July), pages 273-292.
    12. Donald B. Keim & Massimo Massa & Bastian von Beschwitz, 2018. "First to \"Read\" the News: New Analytics and Algorithmic Trading," International Finance Discussion Papers 1233, Board of Governors of the Federal Reserve System (U.S.).
    13. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
    14. Gehrig, Thomas & Ritzberger, Klaus, 2022. "Intermediation and price volatility," Journal of Economic Theory, Elsevier, vol. 201(C).
    15. Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
    16. Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
    17. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.

  16. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).

    Cited by:

    1. Pierre-Olivier Weill & Johan Hombert & Bruno Biais, 2012. "Trading and liquidity with limited cognition," 2012 Meeting Papers 118, Society for Economic Dynamics.
    2. Beetsma, R.M.W.J. & Giuliodori, M. & de Jong, F.C.J.M. & Widijanto, D., 2014. "Price effects of sovereign debt auctions in the Euro-zone : The role of the crisis," Other publications TiSEM 8e7aa91b-fe20-460e-9ff2-e, Tilburg University, School of Economics and Management.
    3. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," HEC Research Papers Series 1040, HEC Paris.
    4. Stefan Nagel, 2011. "Evaporating Liquidity," NBER Working Papers 17653, National Bureau of Economic Research, Inc.
    5. Martin Evans, 2014. "Forex Trading and the WMR Fix," Working Papers gueconwpa~14-14-03, Georgetown University, Department of Economics.
    6. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2011. "Dark Pool Trading Strategies," Working Papers 421, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    7. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
    8. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2009. "Crises and Liquidity in Over-the-Counter Markets," NBER Working Papers 15414, National Bureau of Economic Research, Inc.
    9. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2016. "Hot money in bank credit flows to emerging markets during the banking globalization era," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 29-52.
    10. Gautier, Pieter & Hu, Bo & Watanabe, Makoto, 2016. "Marketmaking Middlemen," CEPR Discussion Papers 11437, C.E.P.R. Discussion Papers.
    11. Conrad, Jennifer & Wahal, Sunil & Xiang, Jin, 2015. "High-frequency quoting, trading, and the efficiency of prices," Journal of Financial Economics, Elsevier, vol. 116(2), pages 271-291.
    12. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
    13. Rinne, Kalle & Suominen, Matti, 2017. "How some bankers made a million by trading just two securities?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 304-315.
    14. So, Eric C. & Wang, Sean, 2014. "News-driven return reversals: Liquidity provision ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 114(1), pages 20-35.
    15. ap Gwilym, O. & Kita, A. & Wang, Q., 2014. "Speculate against speculative demand," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 212-221.
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  17. Albert J. Menkveld & Asani Sarkar & Michel Van der Wel, 2009. "Are market makers uninformed and passive? Signing trades in the absence of quotes," Staff Reports 395, Federal Reserve Bank of New York.

    Cited by:

    1. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2011. "On the Effects of Private Information on Volatility," Tinbergen Institute Discussion Papers 11-077/4, Tinbergen Institute.
    2. Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick, 2014. "Order flow and volatility: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 185-201.

  18. 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).

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    1. Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
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    3. Lauterbach, Beni & Mugerman, Yevgeny & Shemesh, Joshua, 2024. "Prospect theory in M&A: Do historical purchase prices affect merger offer premiums and announcement returns?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    4. Bruno Biais & Fany Declerck & Sophie Moinas, 2016. "Who supplies liquidity, how and when?," BIS Working Papers 563, Bank for International Settlements.
    5. Benos, Evangelos & Sagade, Satchit, 2012. "High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market," Bank of England working papers 469, Bank of England.
    6. Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan, 2020. "Microstructure invariance in U.S. stock market trades," Journal of Financial Markets, Elsevier, vol. 49(C).
    7. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    8. Yacine Aït-Sahalia & Mehmet Saglam, 2013. "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers 19531, National Bureau of Economic Research, Inc.
    9. Bellia, Mario & Christensen, Kim & Kolokolov, Aleksey & Pelizzon, Loriana & Renò, Roberto, 2022. "Do designated market makers provide liquidity during a flash crash?," SAFE Working Paper Series 270, Leibniz Institute for Financial Research SAFE, revised 2022.
    10. Gomber, Peter & Gsell, Markus, 2009. "Algorithmic trading engines versus human traders: Do they behave different in securities markets?," CFS Working Paper Series 2009/10, Center for Financial Studies (CFS).
    11. Wing Wah Tham & Elvira Sojli & Johannes A. Skjeltorp, 2018. "Cross-Sided Liquidity Externalities," Management Science, INFORMS, vol. 64(6), pages 2901-2929, June.
    12. Tamer Khraisha & Keren Arthur, 2018. "Can we have a general theory of financial innovation processes? A conceptual review," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-27, December.
    13. Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2022. "Contagious margin calls: How COVID-19 threatened global stock market liquidity," Journal of Financial Markets, Elsevier, vol. 59(PA).
    14. Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    15. Maryam Farboodi & Laura Veldkamp, 2017. "Long Run Growth of Financial Technology," NBER Working Papers 23457, National Bureau of Economic Research, Inc.
    16. Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021. "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, vol. 23(C).
    17. Salman Bahoo & Marco Cucculelli & Xhoana Goga & Jasmine Mondolo, 2024. "Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis," SN Business & Economics, Springer, vol. 4(2), pages 1-46, February.
    18. Banerjee, Anirban & Roy, Prince, 2023. "High-frequency traders’ evolving role as market makers," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    19. Allen, Franklin & Haas, Marlene D. & Nowak, Eric & Tengulov, Angel, 2021. "Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze," Journal of Financial Economics, Elsevier, vol. 142(1), pages 166-194.
    20. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
    21. Grzegorz Zimon & Dominik Zimon, 2020. "The Impact of Purchasing Group on the Profitability of Companies Operating in the Renewable Energy Sector—The Case of Poland," Energies, MDPI, vol. 13(24), pages 1-15, December.
    22. Benos, Evangelos & Sagade, Satchit, 2016. "Price discovery and the cross-section of high-frequency trading," Journal of Financial Markets, Elsevier, vol. 30(C), pages 54-77.
    23. Robert Garrison & Pankaj Jain & Mark Paddrik, 2019. "Cross-Asset Market Order Flow, Liquidity, and Price Discovery," Working Papers 19-04, Office of Financial Research, US Department of the Treasury.
    24. Tao Xiong & Miao Li, 2024. "A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 281-301, February.
    25. Manahov, Viktor, 2016. "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 281-296.
    26. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4931-4942.
    27. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    28. Álvaro Cartea & José Penalva, 2012. "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-46.
    29. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
    30. Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," TSE Working Papers 09-037, Toulouse School of Economics (TSE).
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    32. Philipp N. Herrmann & Dennis O. Kundisch & Mohammad S. Rahman, 2015. "Beating Irrationality: Does Delegating to IT Alleviate the Sunk Cost Effect?," Management Science, INFORMS, vol. 61(4), pages 831-850, April.
    33. Kang, Jongho & Kang, Jangkoo & Kwon, Kyung Yoon, 2022. "Market versus limit orders of speculative high-frequency traders and price discovery," Research in International Business and Finance, Elsevier, vol. 63(C).
    34. Ahmed Baig & Nasim Sabah & Drew Winters, 2019. "Have Stock Prices become more Uniformly Distributed?," Economics Bulletin, AccessEcon, vol. 39(2), pages 1242-1250.
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    36. Robert J. Kauffman & Yuzhou Hu & Dan Ma, 2015. "Will high-frequency trading practices transform the financial markets in the Asia Pacific Region?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-27, December.
    37. Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
    38. Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 43-56, November.
    39. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
    40. Stephanie Ligot & Roland Gillet & Iryna Veryzhenko, 2021. "Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency," Post-Print hal-03621248, HAL.
    41. Ivan Breskovic & Ivona Brandic & Jorn Altmann, 2013. "Maximizing Liquidity in Cloud Markets through Standardization of Computational Resources," TEMEP Discussion Papers 2013100, Seoul National University; Technology Management, Economics, and Policy Program (TEMEP), revised Feb 2013.
    42. Ben Ammar, Imen & Hellara, Slaheddine, 2022. "High-frequency trading, stock volatility, and intraday crashes," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 337-344.
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    22. Merikivi, J. & Verhagen, T. & Feldberg, J.F.M., 2010. "Having belief(s) in social virtual worlds: A decomposed approach," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    23. Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2022. "High-frequency trading in the stock market and the costs of option market making," LSE Research Online Documents on Economics 118885, London School of Economics and Political Science, LSE Library.
    24. Hoorn, J.J. van, 2010. "A note on the worst case complexity for the capacitated vehicle routing problem," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    25. Suleyman Cetintas & Luo Si & Sugato Chakravarty & Hans Aagard & Kyle Bowen, 2011. "Learning to Identify Students’ Relevant and IrrelevantQuestions in a Micro-blogging Supported Classroom," Working Papers 1010, Purdue University, Department of Consumer Sciences.
    26. Ghebrihiwet, N. & Motchenkova, E.I., 2010. "Leniency programs in the presence of judicial errors," Serie Research Memoranda 0008, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    27. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
    28. Laurent Germain & Brian Kluger & Crina Pungulescu & David Stolin & Daniel Weaver, 2010. "Intra†Dealer Integration," European Financial Management, European Financial Management Association, vol. 16(4), pages 507-527, September.
    29. Otsubo, Yoichi, 2014. "International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 36-51.
    30. Sitters, R.A., 2009. "Efficient algorithms for average completion time scheduling," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

  22. 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.

    Cited by:

    1. Roberto Patuelli & Norbert Schanne & Daniel A. Griffith & Peter Nijkamp, 2009. "Persistence of Regional Unemployment: Application of a Spatial Filtering Approach to Local Labour Markets in Germany," Working Paper series 49_09, Rimini Centre for Economic Analysis, revised Nov 2011.
    2. Gromicho, J.A.S. & Hoorn, J.J. van & Timmer, G.T., 2009. "Exponentially better than brute force: solving the jobshop scheduling problem optimally by dynamic programming," Serie Research Memoranda 0056, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    3. Lee, K.M.C. & Kraeussl, R.G.W. & Paas, L.J., 2010. "Personality and investment: Personality differences affect investors' adaptation to losses," Serie Research Memoranda 0007, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    4. Gheasi, M. & Nijkamp, P. & Rietveld, P., 2009. "Migration and tourist flows," Serie Research Memoranda 0059, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Ching-Mann Huang & Tsai-Yin Lin & Chih-Hsien Yu & Si-Ying Hoe, 2006. "Volatility–Volume Relationships Among Types of Traders Considering the Investment Limitation to Foreign Investors," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 575-596.
    6. Steenbruggen, J. & Borzacchiello, M.T. & Nijkamp, P. & Scholten, H.J., 2010. "Real-time data from mobile phone networks for urban incidence and traffic management - a review of application and opportunities," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    7. Lijesen, M.G., 2010. "Empirical applications of spatial competition; an interpretative literature review," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    8. Amélie Charles & Olivier Darné, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Post-Print hal-00771080, HAL.
    9. Fifield, Suzanne G.M. & Jetty, Juliana, 2008. "Further evidence on the efficiency of the Chinese stock markets: A note," Research in International Business and Finance, Elsevier, vol. 22(3), pages 351-361, September.
    10. Merikivi, J. & Verhagen, T. & Feldberg, J.F.M., 2010. "Having belief(s) in social virtual worlds: A decomposed approach," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    11. Hoorn, J.J. van, 2010. "A note on the worst case complexity for the capacitated vehicle routing problem," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    12. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.
    13. Ghebrihiwet, N. & Motchenkova, E.I., 2010. "Leniency programs in the presence of judicial errors," Serie Research Memoranda 0008, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    14. Sitters, R.A., 2009. "Efficient algorithms for average completion time scheduling," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

  23. Thierry Foucault & Albert J. Menkveld, 2006. "Competition for Order Flow Smart Order Routing Systems," Post-Print halshs-00009932, HAL.

    Cited by:

    1. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
    2. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Papers 0910.1166, arXiv.org, revised May 2010.
    3. G. Wuyts, 2007. "Stock Market Liquidity.Determinants and Implications," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 279-316.
    4. Degryse, H.A., 2007. "Competition on financial markets : Does market design matter?," Other publications TiSEM ee5530b2-34f7-4d95-ad62-f, Tilburg University, School of Economics and Management.

  24. Foucault, Thierry & Menkveld, Albert J., 2006. "Competition for Order Flow and Smart Order Routing Systems," CEPR Discussion Papers 5523, C.E.P.R. Discussion Papers.

    Cited by:

    1. Vasilios Mavroudis, 2019. "Market Manipulation as a Security Problem," Papers 1903.12458, arXiv.org.
    2. Watson, Ethan D. & Woods, Donovan, 2022. "Exchange introduction and market competition: The entrance of MEMX and MIAX," Global Finance Journal, Elsevier, vol. 54(C).
    3. Jean-Edouard Colliard & Thierry Foucault, 2012. "Trading Fees and Efficiency in Limit Order Markets," The Review of Financial Studies, Society for Financial Studies, vol. 25(11), pages 3389-3421.
    4. Degryse, H.A. & van Achter, M. & Wuyts, G., 2007. "Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network," Other publications TiSEM a63f4ee1-35ab-4fe3-a4ba-2, Tilburg University, School of Economics and Management.
    5. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2017. "Dark pool trading strategies, market quality and welfare," Journal of Financial Economics, Elsevier, vol. 124(2), pages 244-265.
    6. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2010. "Diving into Dark Pools," Working Paper Series 2010-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    7. Chakrabarty, Bidisha & Cox, Justin & Upson, James E., 2022. "Tick Size Pilot Program and price discovery in U.S. stock markets," Journal of Financial Markets, Elsevier, vol. 59(PB).
    8. Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018. "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 179-199.
    9. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
    10. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
    11. Stephanie Ligot & Roland Gillet & Iryna Veryzhenko, 2021. "Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency," Post-Print hal-03621248, HAL.
    12. Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "The effect of fragmentation in trading on market quality in the UK equity market," CeMMAP working papers 42/13, Institute for Fiscal Studies.
    13. Pham, Thu Phuong & Westerholm, P. Joakim, 2013. "An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume," Working Papers 17210, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
    14. Li, Sida & Ye, Mao & Zheng, Miles, 2023. "Refusing the best price?," Journal of Financial Economics, Elsevier, vol. 147(2), pages 317-337.
    15. Daniel Chen & Darrell Duffie, 2021. "Market Fragmentation," American Economic Review, American Economic Association, vol. 111(7), pages 2247-2274, July.
    16. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
    17. Kai-Uwe Kühn & Szabolcs Lorincz & Vincent Verouden & Annemiek Wilpshaar, 2012. "Economics at DG Competition, 2011–2012," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 41(4), pages 251-270, December.
    18. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    19. Mike Buckle & Jing Chen & Qian Guo & Xiaoxi Li, 2018. "The impact of multilateral trading facilities on price discovery," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 27(4), pages 145-165, November.
    20. Vives, Xavier & Cespa, Giovanni, 2018. "Exchange Competition, Entry, and Welfare," CEPR Discussion Papers 13415, C.E.P.R. Discussion Papers.
    21. Ismael Lemhadri, 2018. "Market Impact in a Latent Order Book," Papers 1802.06101, arXiv.org, revised Sep 2020.
    22. Foucault, Thierry & Kadan, Ohad & Kandel, Eugene, 2009. "Liquidity cycles and make/take fees in electronic markets," HEC Research Papers Series 920, HEC Paris.
    23. Kei Kawakami, 2013. "Optimal Market Size," Department of Economics - Working Papers Series 1168, The University of Melbourne.
    24. Comerton-Forde, Carole & Putniņš, Tālis J., 2015. "Dark trading and price discovery," Journal of Financial Economics, Elsevier, vol. 118(1), pages 70-92.
    25. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2014. "The impact of dark trading and visible fragmentation on market quality," Other publications TiSEM a51b5d9e-2687-4972-930f-4, Tilburg University, School of Economics and Management.
    26. Garvey, Ryan & Huang, Tao & Wu, Fei, 2016. "Why do traders choose dark markets?," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 12-28.
    27. Ryan Garvey & Tao Huang & Fei Wu, 2021. "Is faster or slower trading better? An examination of order type execution speed and costs," European Financial Management, European Financial Management Association, vol. 27(2), pages 326-363, March.
    28. Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
    29. Boilard, J.-F. & Kanazawa, K. & Takayasu, H. & Takayasu, M., 2018. "Empirical scaling relations of market event rates in foreign currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1152-1161.
    30. Rahi, Rohit & Zigrand, Jean-Pierre, 2013. "Market quality and contagion in fragmented markets," LSE Research Online Documents on Economics 60971, London School of Economics and Political Science, LSE Library.
    31. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    32. Markus Baldauf & Joshua Mollner, 2015. "High-Frequency Trading and Market Performance," Discussion Papers 15-017, Stanford Institute for Economic Policy Research.
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    34. Kei Kawakami, 2017. "Welfare Consequences of Information Aggregation and Optimal Market Size," American Economic Journal: Microeconomics, American Economic Association, vol. 9(4), pages 303-323, November.
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    36. van Kervel, V.L., 2013. "Competition between stock exchanges and optimal trading," Other publications TiSEM 5c608a0f-527d-441d-a910-e, Tilburg University, School of Economics and Management.
    37. Wafa Chabeb & Adel Boubaker, 2021. "Liquidity of Tunisian Stock Market: A Panel Var Estimation," Accounting and Finance Research, Sciedu Press, vol. 10(3), pages 1-93, August.
    38. Jurich, Stephen N., 2021. "Does off-exchange trading decrease in the presence of uncertainty?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 201-213.
    39. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2011. "Dark Pool Trading Strategies," Working Papers 421, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    40. Ban Zheng & Eric Moulines & Fr'ed'eric Abergel, 2012. "Price Jump Prediction in Limit Order Book," Papers 1204.1381, arXiv.org.
    41. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
    42. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2014. "Dark Pool Trading Strategies, Market Quality and Welfare," Working Papers 530, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    43. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    44. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
    45. Diamond, Stephen F. & Kuan, Jennifer W., 2018. "Are the stock markets “rigged”? An empirical analysis of regulatory change," International Review of Law and Economics, Elsevier, vol. 55(C), pages 33-40.
    46. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
    47. Pelizzon, Loriana & Sagade, Satchit & Vozian, Katia, 2020. "Resiliency: Cross-venue dynamics with Hawkes processes," SAFE Working Paper Series 291, Leibniz Institute for Financial Research SAFE.
    48. Gbenga Ibikunle & Davide Mare & Yuxin Sun, 2020. "The paradoxical effects of market fragmentation on adverse selection risk and market efficiency," The European Journal of Finance, Taylor & Francis Journals, vol. 26(14), pages 1439-1461, September.
    49. Haoyang Liu & Zhaogang Song & James Vickery, 2021. "Defragmenting Markets: Evidence from Agency MBS," Working Papers 21-25, Federal Reserve Bank of Philadelphia.
    50. Brolley, Michael & Cimon, David A., 2020. "Order-Flow Segmentation, Liquidity, and Price Discovery: The Role of Latency Delays," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(8), pages 2555-2587, December.
    51. Gomber, Peter & Jäger, Benedikt, 2014. "MiFID: Eine systematische Analyse der Zielerreichung," SAFE White Paper Series 14, Leibniz Institute for Financial Research SAFE.
    52. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011. "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)," Other publications TiSEM f9895511-3b4b-4db5-bf34-1, Tilburg University, School of Economics and Management.
    53. Takanobu Mizuta, 2019. "An agent-based model for designing a financial market that works well," Papers 1906.06000, arXiv.org.
    54. Degryse, Hans & Karagiannis, Nikolaos, 2019. "Priority Rules," CEPR Discussion Papers 14127, C.E.P.R. Discussion Papers.
    55. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
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    57. Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2020. "Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk," SAFE Working Paper Series 234, Leibniz Institute for Financial Research SAFE, revised 2020.
    58. Andreas Storkenmaier & Martin Wagener & Christof Weinhardt, 2012. "Public information in fragmented markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 179-215, June.
    59. He, Peng William & Jarnecic, Elvis & Liu, Yubo, 2015. "The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X," Journal of Financial Markets, Elsevier, vol. 22(C), pages 27-49.
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    61. Gan, Quan & Leung, Henry & Zhou, Zhou, 2021. "Do intra-day auctions improve market liquidity?," Finance Research Letters, Elsevier, vol. 40(C).
    62. M. Moses Antony RAJENDRAN, & Alexandru Mircea Nedelea, 2017. "Re - Modeling Of Global Financial Markets, Assets And Services Of Financial Institutions For Public Benefits," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 6(1), pages 1-57, January.
    63. Kohler, Alexander & von Wyss, Rico, 2012. "Fragmentation in European Equity Markets and Market Quality – Evidence from the Analysis of Trade-Throughs," Working Papers on Finance 1210, University of St. Gallen, School of Finance.
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    65. Umut c{C}etin & Henri Waelbroeck, 2020. "Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics," Papers 2003.04425, arXiv.org.
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    76. Furuhata, Masabumi & Dessouky, Maged & Ordóñez, Fernando & Brunet, Marc-Etienne & Wang, Xiaoqing & Koenig, Sven, 2013. "Ridesharing: The state-of-the-art and future directions," Transportation Research Part B: Methodological, Elsevier, vol. 57(C), pages 28-46.
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    81. Clapham, Benjamin & Gomber, Peter & Panz, Sven, 2017. "Coordination of circuit breakers? Volume migration and volatility spillover in fagmented markets," SAFE Working Paper Series 196, Leibniz Institute for Financial Research SAFE.
    82. Franklin Allen & Julapa Jagtiani, 2020. "A Survey of Fintech Research and Policy Discussion," Working Papers 20-21, Federal Reserve Bank of Philadelphia.
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    112. Thierry Foucault, 2006. "Liquidity, cost of capital and the organization of trading in stock markets," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 113-123.
    113. Breckenfelder, Johannes, 2013. "Competition between high-frequency traders, and market quality," MPRA Paper 66715, University Library of Munich, Germany, revised Dec 2013.
    114. Ibikunle, Gbenga & Li, Youwei & Mare, Davide & Sun, Yuxin, 2021. "Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    115. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
    116. Purba Mukerji & Christine Chung & Timothy Walsh & Bo Xiong, 2019. "The Impact of Algorithmic Trading in a Simulated Asset Market," JRFM, MDPI, vol. 12(2), pages 1-11, April.
    117. Cebiroglu, Gökhan & Hautsch, Nikolaus & Walsh, Christopher, 2019. "Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?," CFS Working Paper Series 625, Center for Financial Studies (CFS).
    118. Michael Chlistalla & Marco Lutat, 2011. "Competition in securities markets: the impact on liquidity," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(2), pages 149-172, June.
    119. Corey Garriott & Anna Pomeranets & Joshua Slive & Thomas Thorn, 2013. "Fragmentation in Canadian Equity Markets," Bank of Canada Review, Bank of Canada, vol. 2013(Autumn), pages 20-29.
    120. Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.
    121. Syamala, Sudhakara Reddy & Wadhwa, Kavita, 2020. "Trading performance and market efficiency: Evidence from algorithmic trading," Research in International Business and Finance, Elsevier, vol. 54(C).
    122. Foley, Sean & Putniņš, Tālis J., 2016. "Should we be afraid of the dark? Dark trading and market quality," Journal of Financial Economics, Elsevier, vol. 122(3), pages 456-481.
    123. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2022. "Diving into dark pools," Financial Management, Financial Management Association International, vol. 51(4), pages 961-994, December.

  25. 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).

    Cited by:

    1. Stange, Sebastian & Kaserer, Christoph, 2008. "The impact of order size on stock liquidity: a representative study," CEFS Working Paper Series 2008-09, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    2. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
    3. Cumhur Ekinci, 2005. "Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange," Finance 0510025, University Library of Munich, Germany, revised 24 Oct 2005.

  26. Menkveld, Albert J. & Cheung, Yiu Chung & de Jong, Frank, 2004. "Euro area sovereign yield dynamics: the role of order imbalance," Working Paper Series 385, European Central Bank.

    Cited by:

    1. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.
    2. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price formation on the EuroMTS platform," Applied Economics Letters, Taylor & Francis Journals, vol. 18(3), pages 229-233.
    3. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    4. Panagiotis Panagiotou & Xu Jiang & Angel Gavilan, 2023. "The determinants of liquidity commonality in the Euro-area sovereign bond market," The European Journal of Finance, Taylor & Francis Journals, vol. 29(10), pages 1144-1186, July.
    5. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957.
    6. Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010. "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," CESifo Working Paper Series 3281, CESifo.
    7. Fricke, Christoph & Menkhoff, Lukas, 2010. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Hannover Economic Papers (HEP) dp-449, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    8. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    9. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Department of Economics.
    10. Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020. "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, vol. 48(C).

  27. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society.

    Cited by:

    1. Cumhur Ekinci, 2005. "Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange," Finance 0510025, University Library of Munich, Germany, revised 24 Oct 2005.

  28. Albert J. Menkveld & Siem Jan Koopman & André 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.

    Cited by:

    1. 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.
    2. Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 947-960, June.
    3. K.C. Chen & Guangzhong Li & Lifan Wu, 2010. "Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 242-269, January.
    4. Yaseen S. Alhaj-Yaseen & Dana Ladd, 2019. "Which sentiments do US investors follow when trading ADRs?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 506-527, July.

  29. Bert Menkveld, 2001. "Splitting Orders in Fragmented Markets," Tinbergen Institute Discussion Papers 01-059/2, Tinbergen Institute.

    Cited by:

    1. Gehrig, Thomas & Foucault, Thierry, 2006. "Stock Price Informativeness, Cross-Listings and Investment Decisions," CEPR Discussion Papers 5722, C.E.P.R. Discussion Papers.
    2. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.

  30. Menkveld, A.J., 2001. "Splitting Orders in Fragmented Markets; evidence from cross-listed stocks," Econometric Institute Research Papers EI 2001-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.

  31. 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.

    Cited by:

    1. Fan, Rui & Talavera, Oleksandr & Tran, Vu, 2023. "Information flows and the law of one price," International Review of Financial Analysis, Elsevier, vol. 85(C).
    2. 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.
    3. Korczak, Piotr & Phylaktis, Kate, 2010. "Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 566-584, September.
    4. Fernandes, Marcelo & Scherrer, Cristina Mabel, 2013. "Price discovery in dual-class shares across multiple markets," Textos para discussão 344, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    5. Bert Menkveld, 2001. "Splitting Orders in Fragmented Markets," Tinbergen Institute Discussion Papers 01-059/2, Tinbergen Institute.
    6. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Price discovery of cross-listed firms," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 177-188.
    7. Gehrig, Thomas & Foucault, Thierry, 2006. "Stock Price Informativeness, Cross-Listings and Investment Decisions," CEPR Discussion Papers 5722, C.E.P.R. Discussion Papers.
    8. Grammig, Joachim G. & Peter, Franziska J., 2008. "International price discovery in the presence of market microstructure effects," CFR Working Papers 08-10, University of Cologne, Centre for Financial Research (CFR).
    9. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2010. "The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 498-508, March.
    10. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    11. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    12. Ibikunle, Gbenga & Aquilina, Matteo & Diaz-Rainey, Ivan & Sun, Yuxin, 2021. "City goes dark: Dark trading and adverse selection in aggregate markets," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 1-22.
    13. Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2012. "The Choice of Trading Venue and Relative Price Impact of Institutional Trading: ADRs versus the Underlying Securities in their Local Markets," Working Papers 1012, Purdue University, Department of Consumer Sciences.
    14. Lei Wu & Kuan Xu & Qingbin Meng, 2020. "Information Flow and Price Discovery Dynamics," Working Papers daleconwp2020-02, Dalhousie University, Department of Economics.
    15. Dan Gabriel ANGHEL & Elena Valentina ŢILICĂ & Victor DRAGOTĂ, 2020. "Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 92-114, July.
    16. de Jong, Frank & Schotman, Peter C, 2003. "Price Discovery in Fragmented Markets," CEPR Discussion Papers 3987, C.E.P.R. Discussion Papers.
    17. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
    18. Pascual, Roberto & Pascual Fuste, Bartolomé & Climent, Francisco, 2001. "Cross-listing, price discovery and the informativeness of the trading process," DEE - Working Papers. Business Economics. WB wb014511, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    19. Albert J. Menkveld & Siem Jan Koopman & André 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.
    20. Timotheos Angelidis & Alexandros Benos, "undated". "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics.
    21. Kehrle, Kerstin & Peter, Franziska J., 2013. "Who moves first? An intensity-based measure for information flows across stock exchanges," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1629-1642.
    22. Donald Lien & Zijun Wang, 2019. "Quantile information share," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 38-55, January.
    23. Gilbert, Chris L. & Yan, Jieqin, 2014. "Copper Price Discovery on Comex, the LME and the SHFE, 2001-2013," DEE - Working Papers. Business Economics. WB wb140402, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    24. de Jong, F.C.J.M. & Schotman, P.C., 2010. "Price discovery in fragmented markets," Other publications TiSEM 4650a9e7-c4cf-41cf-a771-e, Tilburg University, School of Economics and Management.
    25. Senteney, David L. & Bazaz, Mohammad S. & Senteney, Michael H., 2016. "Cross-market information transfers of ADR firms: An investigation of emerging market economies," Research in International Business and Finance, Elsevier, vol. 37(C), pages 655-677.
    26. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
    27. Kohler, Alexander & von Wyss, Rico, 2012. "Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID," Working Papers on Finance 1209, University of St. Gallen, School of Finance.
    28. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
    29. Menkveld, A.J., 2001. "Splitting Orders in Fragmented Markets; evidence from cross-listed stocks," Econometric Institute Research Papers EI 2001-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    30. Suleyman Cetintas & Luo Si & Sugato Chakravarty & Hans Aagard & Kyle Bowen, 2011. "Learning to Identify Students’ Relevant and IrrelevantQuestions in a Micro-blogging Supported Classroom," Working Papers 1010, Purdue University, Department of Consumer Sciences.
    31. Pascual-Fuster, Bartolome & Perez-Rodriguez, Jorge V., 2007. "Volatility transmission for cross-listed firms and the role of international exposure," Japan and the World Economy, Elsevier, vol. 19(3), pages 303-328, August.
    32. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
    33. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2015. "The determinants of price discovery: Evidence from US-Canadian cross-listed shares," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 457-468.
    34. Lok, Emily & Kalev, Petko S., 2006. "The intraday price behaviour of Australian and New Zealand cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 377-397.
    35. Dimpfl, Thomas Ernst Herbert & Peter, Franziska Julia, 2015. "Price discovery in the markets for credit risk: A Markov switching approach," SFB 649 Discussion Papers 2015-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    36. Donald Lien & Zijun Wang, 2016. "Estimation of Market Information Shares: A Comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(11), pages 1108-1124, November.
    37. Turnbull, D. Alasdair S. & White, Robert W. & Smith, Brian F., 2010. "In search of liquidity: The block broker's choice of where to trade cross-listed stocks," Journal of Economics and Business, Elsevier, vol. 62(1), pages 20-34, January.
    38. Cepoi, Cosmin-Octavian & Anghel, Dan-Gabriel & Pop, Ionuţ Daniel, 2021. "Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks," Economic Modelling, Elsevier, vol. 98(C), pages 302-318.

  32. 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.

    Cited by:

    1. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    2. Swidan, Hassan & Merkert, Rico & Kwon, Oh Kang, 2019. "Designing optimal jet fuel hedging strategies for airlines – Why hedging will not always reduce risk exposure," Transportation Research Part A: Policy and Practice, Elsevier, vol. 130(C), pages 20-36.
    3. Jingguo Wang & Aby Chaudhury & H. Raghav Rao, 2008. "Research Note ---A Value-at-Risk Approach to Information Security Investment," Information Systems Research, INFORMS, vol. 19(1), pages 106-120, March.

  33. Roy Thurik & Gerco van Leeuwen & David Audretsch & Bert Menkveld, 1999. "Are small firms really sub-optimal?: compensating factor differentials in small Dutch manufacturing firms," Scales Research Reports H199902, EIM Business and Policy Research.

    Cited by:

    1. Bechmann, Sebastian & Dahms, Vera & Fischer, Agnes & Frei, Marek & Leber, Ute & Möller, Iris, 2011. "Beschäftigung, Arbeit und Unternehmertum in deutschen Kleinbetrieben : Ergebnisse aus dem IAB-Betriebspanel 2010," IAB-Forschungsbericht 201107, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].

  34. Bert Menkveld & Ton Vorst, 1998. "A Pricing Model for American Options with Stochastic Interest Rates," Tinbergen Institute Discussion Papers 98-028/2, Tinbergen Institute.

    Cited by:

    1. Huang, Haishi, 2010. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers 07/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).

  35. 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.

    Cited by:

    1. Hagedoorn, John & Wang, Ning, 2010. "Is there complementarity or substitutability between internal and external R&D strategies?," MERIT Working Papers 2010-005, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    2. Priit Vahter & James Love & Stephen Roper, 2012. "Openness and innovation performance: are small firms different?," The Centre for Small and Medium Sized Enterprises Research Paper Series 113, Centre for Small and Medium Sized Enterprises, Warwick Business School, University of Warwick.
    3. Justin Doran & Eoin O'Leary, 2011. "External Interaction, Innovation and Productivity: An Application of the Innovation Value Chain to Ireland," Spatial Economic Analysis, Taylor & Francis Journals, vol. 6(2), pages 199-222.
    4. Marco van Gelderen & Roy Thurik & Micheal Frese, 2000. "Strategies, uncertainty and performance of small business startups," Scales Research Reports H200001, EIM Business and Policy Research.
    5. Haddoud, Mohamed Yacine & Kock, Ned & Onjewu, Adah-Kole Emmanuel & Jafari-Sadeghi, Vahid & Jones, Paul, 2023. "Technology, innovation and SMEs' export intensity: Evidence from Morocco," Technological Forecasting and Social Change, Elsevier, vol. 191(C).
    6. Guan, JianCheng & Pang, Lanxin, 2017. "Industry specific effects on innovation performance in China," China Economic Review, Elsevier, vol. 44(C), pages 125-137.
    7. Gamal Atallah, 2004. "The Allocation of Resources to Cooperative and Noncooperative R&D," CIRANO Working Papers 2004s-01, CIRANO.
    8. Hagedoorn, John & Wang, Ning, 2012. "Is there complementarity or substitutability between internal and external R&D strategies?," Research Policy, Elsevier, vol. 41(6), pages 1072-1083.
    9. Roper, Stephen & Love, James H., 2002. "Innovation and export performance: evidence from the UK and German manufacturing plants," Research Policy, Elsevier, vol. 31(7), pages 1087-1102, September.
    10. David Audretsch & Patrick Houweling & A. Thurik, 2000. "Firm Survival in the Netherlands," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 16(1), pages 1-11, February.
    11. D.B. Audretsch & P. Houweling & A.R. Thurik, 1998. "Industry Evolution: Diversity, Selection and the Role of Learning," Tinbergen Institute Discussion Papers 98-014/3, Tinbergen Institute.
    12. Jun Hou & Pierre Mohnen, 2013. "Complementarity between In-house R&D and Technology Purchasing: Evidence from Chinese Manufacturing Firms," Oxford Development Studies, Taylor & Francis Journals, vol. 41(3), pages 343-371, September.
    13. James Love & Stephen Roper & Priit Vahter, 2013. "Paradigm Shift or Business as Usual? Dynamic Complementarities in Innovation Strategies," Research Papers 0006, Enterprise Research Centre.
    14. Claudio A. Piga & Marco Vivarelli, 2004. "Internal and External R&D: A Sample Selection Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(4), pages 457-482, September.
    15. Kenta Nakamura & Hiroyuki Odagiri, 2005. "R&D boundaries of the firm: An estimation of the double-hurdle model on commissioned R&D, joint R&D, and licensing in Japan," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 14(7), pages 583-615.
    16. Love, James H. & Roper, Stephen, 2000. "Location And Network Effects On Innovation Success: Evidence For Uk, German And Irish Manufacturing Firms," ERSA conference papers ersa00p67, European Regional Science Association.
    17. Christian Peukert, 2012. "External Technology Supply and Client-Side Innovation," International Studies in Entrepreneurship, in: David B. Audretsch & Erik E. Lehmann & Albert N. Link & Alexander Starnecker (ed.), Technology Transfer in a Global Economy, edition 127, chapter 0, pages 161-184, Springer.
    18. Luigi Cantone & Pierpaolo Testa & Svend Hollensen & Giuseppe Fabio Cantone, 2019. "Outsourcing New Product Development Fostered By Disruptive Technological Innovation: A Decision-Making Model," International Journal of Innovation Management (ijim), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-45, January.
    19. Hasnas, Irina & Lambertini, Luca & Palestini, Arsen, 2013. "Open Innovation in a dynamic Cournot duopoly," DICE Discussion Papers 111, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    20. Antonelli, Cristiano, 2002. "The Governance of Knowledge Commons," Department of Economics and Statistics Cognetti de Martiis LEI & BRICK - Laboratory of Economics of Innovation "Franco Momigliano", Bureau of Research in Innovation, Complexity and Knowledge, Collegio 200203, University of Turin.
    21. Masatoshi Kato & Yuji Honjo, 2015. "Entrepreneurial human capital and the survival of new firms in high- and low-tech sectors," Journal of Evolutionary Economics, Springer, vol. 25(5), pages 925-957, November.
    22. Boris Lokshin & René Belderbos & Martin Carree, 2008. "The Productivity Effects of Internal and External R&D: Evidence from a Dynamic Panel Data Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(3), pages 399-413, June.
    23. Caroline Mothe & Uyen T. Nguyen-Thi & Phu Nguyen-Van, 2015. "Assessing complementarity in organizational innovations for technological innovation: the role of knowledge management practices," Applied Economics, Taylor & Francis Journals, vol. 47(29), pages 3040-3058, June.
    24. Agustí Segarra & Mercedes Teruel, 2014. "High-growth firms and innovation: an empirical analysis for Spanish firms," Small Business Economics, Springer, vol. 43(4), pages 805-821, December.
    25. Ana Redondo-Cano & M. Canet-Giner, 2010. "Outsourcing agrochemical services: economic or strategic logic?," Service Business, Springer;Pan-Pacific Business Association, vol. 4(3), pages 237-252, December.
    26. Nishaal Gooroochurn & Aoife Hanley, 2006. "A Tale of Two Literatures: Transaction Cost and Property Rights in Innovation Outsourcing," Occasional Papers 17, Industrial Economics Division.
    27. Masatoshi Kato, 2016. "Internal R&D and External Knowledge Acquisition of Start-up Firms: Exploring the Role of Entrepreneurial Human Capital," Discussion Paper Series 145, School of Economics, Kwansei Gakuin University, revised Jul 2016.
    28. Silverio Alarcón & Mercedes Sánchez, 2013. "External and Internal R&D, Capital Investment and Business Performance in the Spanish Agri-Food Industry," Journal of Agricultural Economics, Wiley Blackwell, vol. 64(3), pages 654-675, September.
    29. Stanko, Michael A. & Olleros, Xavier, 2013. "Industry growth and the knowledge spillover regime: Does outsourcing harm innovativeness but help profit?," Journal of Business Research, Elsevier, vol. 66(10), pages 2007-2016.
    30. Caroline Mothe & Uyen T. Nguyen-Thi & Phu Nguyen-Van, 2014. "Are organizational innovation practices complements or substitutes for technological innovation performance?," Working Papers of BETA 2014-12, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    31. James Love & Stephen Roper, 2002. "Internal Versus External R&D: A Study of R&D Choice with Sample Selection," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 9(2), pages 239-255.
    32. Vassilis Kanellopoulos & Kostas Tsekouras, 2023. "Innovation efficiency and firm performance in a benchmarking context," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(1), pages 137-151, January.
    33. Alarcón, Silverio & Sánchez, Mercedes, 2016. "Is there a virtuous circle relationship between innovation activities and exports? A comparison of food and agricultural firms," Food Policy, Elsevier, vol. 61(C), pages 70-79.
    34. Boris Lokshin & Rene Belderbos & Martin Carree, 2006. "Internal and external R&D： complements or substitutes? Evidence from a dynamic panel data model," Hi-Stat Discussion Paper Series d06-163, Institute of Economic Research, Hitotsubashi University.
    35. Love, James H. & Roper, Stephen, 2001. "Location and network effects on innovation success: evidence for UK, German and Irish manufacturing plants," Research Policy, Elsevier, vol. 30(4), pages 643-661, April.
    36. Berchicci, Luca, 2013. "Towards an open R&D system: Internal R&D investment, external knowledge acquisition and innovative performance," Research Policy, Elsevier, vol. 42(1), pages 117-127.

  36. 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.

    Cited by:

    1. Franke, Günter & Hess, Dieter, 1995. "Anonymous electronic trading versus floor trading," Discussion Papers, Series II 285, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    2. Kaiser, Ulrich, 1997. "The determinants of BUND-future price changes: An ordered probit analysis using DTB and LIFFE data," ZEW Discussion Papers 97-09, ZEW - Leibniz Centre for European Economic Research.
    3. John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, December.

Articles

  1. Evangelos Benos & Wenqian Huang & Albert Menkveld & Michalis Vasios, 2024. "The Cost of Clearing Fragmentation," Management Science, INFORMS, vol. 70(6), pages 3581-3596, June.
    See citations under working paper version above.
  2. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
    • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    See citations under working paper version above.
  3. Bruno Biais & Christophe Bisière & Matthieu Bouvard & Catherine Casamatta & Albert J. Menkveld, 2023. "Equilibrium Bitcoin Pricing," Journal of Finance, American Finance Association, vol. 78(2), pages 967-1014, April.
    See citations under working paper version above.
  4. Terrence Hendershott & Albert J Menkveld & Rémy Praz & Mark Seasholes, 2022. "Asset Price Dynamics with Limited Attention," The Review of Financial Studies, Society for Financial Studies, vol. 35(2), pages 962-1008.

    Cited by:

    1. Neupane, Suman & Fan, Zhebin & Yanes Sanchez, Daniel & Neupane, Biwesh, 2024. "Diverse investor reactions to the COVID-19 Pandemic: Insights from an emerging market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    2. Albuquerque, Rui & Costa, José & Faias, Jose, 2022. "Price elasticity of demand and risk-bearing capacity in sovereign bond auctions," CEPR Discussion Papers 17095, C.E.P.R. Discussion Papers.
    3. Kropiński, Paweł & Bosek, Bartłomiej & Pudo, Mikołaj, 2024. "State ownership, probability of informed trading, and profitability potential: Evidence from the Warsaw Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    4. Yu, Miao & Hu, Xiaolu & Zhong, Angel, 2024. "Network centrality, information diffusion and asset pricing," International Review of Financial Analysis, Elsevier, vol. 93(C).
    5. Baldauf, Markus & Mollner, Joshua & Yueshen, Bart Zhou, 2024. "Siphoned apart: A portfolio perspective on order flow segmentation," Journal of Financial Economics, Elsevier, vol. 154(C).
    6. Boguth, Oliver, 2022. "Price Informativeness and FOMC Reversals," SocArXiv zurfk_v1, Center for Open Science.

  5. Boyan Jovanovic & Albert J. Menkveld, 2022. "Equilibrium Bid-Price Dispersion," Journal of Political Economy, University of Chicago Press, vol. 130(2), pages 426-461.

    Cited by:

    1. Wang, Chaojun, 2023. "The limits of multi-dealer platforms," Journal of Financial Economics, Elsevier, vol. 149(3), pages 434-450.
    2. Gehrig, Thomas & Ritzberger, Klaus, 2022. "Intermediation and price volatility," Journal of Economic Theory, Elsevier, vol. 201(C).

  6. Albert J. Menkveld & Guillaume Vuillemey, 2021. "The Economics of Central Clearing," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 153-178, November.

    Cited by:

    1. Christine Parlour, 2023. "An Introduction to Web3 with Implications for Financial Services," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2023(3), May.
    2. Inaki Aldasoro & Luitgard A M Veraart, 2022. "Systemic Risk in Markets with Multiple Central Counterparties," BIS Working Papers 1052, Bank for International Settlements.
    3. Bellia, Mario & Girardi, Giulio & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas, 2024. "The demand for central clearing: To clear or not to clear, that is the question!," Journal of Financial Stability, Elsevier, vol. 72(C).
    4. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
    5. Manac, Radu-Dragomir & Banti, Chiara & Kellard, Neil, 2024. "How does standardization affect OTC markets in the long term? Evidence from the small bang reform in the CDS market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 96(C).
    6. Kubitza, Christian & Pelizzon, Loriana & Sherman, Mila Getmansky, 2023. "Loss sharing in central clearinghouses: winners and losers," Working Paper Series 2873, European Central Bank.
    7. Onur, Esen & Reiffen, David & Sharma, Rajiv, 2024. "The impact of margin requirements on voluntary clearing decisions," Journal of Financial Markets, Elsevier, vol. 68(C).
    8. Cristina Di Luigi & Antonio Perrella & Alessio Ruggieri, 2024. "The fundamental role of the repo market and central clearing," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 48, Bank of Italy, Directorate General for Markets and Payment System.
    9. Melinda Friesz & Kira Muratov-Szabó & Andrea Prepuk & Kata Váradi, 2021. "Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint," Risks, MDPI, vol. 9(8), pages 1-19, August.
    10. Dorinel Bastide & St'ephane Cr'epey & Samuel Drapeau & Mekonnen Tadese, 2023. "Resolving a Clearing Member's Default, A Radner Equilibrium Approach," Papers 2310.02608, arXiv.org, revised Oct 2024.
    11. Khetan, Umang & Neamțu, Ioana & Sen, Ishita, 2023. "The market for sharing interest rate risk: quantities behind prices," Bank of England working papers 1031, Bank of England.
    12. Daisuke Miyakawa & Takemasa Oda & Taihei Sone, 2023. "Regulatory Reforms and Price Heterogeneity in an OTC Derivative Market," Bank of Japan Working Paper Series 23-E-12, Bank of Japan.
    13. Huang, Wenqian & Zhu, Haoxiang, 2024. "CCP auction design," Journal of Economic Theory, Elsevier, vol. 217(C).
    14. Grothe, Magdalena & Pancost, N. Aaron & Tompaidis, Stathis, 2023. "Collateral competition: Evidence from central counterparties," Journal of Financial Economics, Elsevier, vol. 149(3), pages 536-556.
    15. Ari Kutai & Daniel Nathan & Milena Wittwer, 2024. "Exchanges for government bonds? Evidence during COVID-19," Bank of Israel Working Papers 2024.03, Bank of Israel.
    16. Vuillemey, Guillaume, 2023. "Mitigating fire sales with a central clearing counterparty," Journal of Financial Intermediation, Elsevier, vol. 55(C).
    17. González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).
    18. Bardoscia, Marco & Caccioli, Fabio & Gao, Haotian, 2022. "Efficiency of central clearing under liquidity stress," Bank of England working papers 1002, Bank of England.
    19. Stéphane Crépey, 2022. "Positive XVAs," Post-Print hal-03910135, HAL.

  7. Wenqian Huang & Albert J. Menkveld & Shihao Yu, 2021. "Central Counterparty Exposure in Stressed Markets," Management Science, INFORMS, vol. 67(6), pages 3596-3617, June.
    See citations under working paper version above.
  8. Vincent Van Kervel & Albert J. Menkveld, 2019. "High‐Frequency Trading around Large Institutional Orders," Journal of Finance, American Finance Association, vol. 74(3), pages 1091-1137, June.
    See citations under working paper version above.
  9. Björn Hagströmer & Albert J. Menkveld, 2019. "Information Revelation in Decentralized Markets," Journal of Finance, American Finance Association, vol. 74(6), pages 2751-2787, December.

    Cited by:

    1. Shrestha, Keshab & Philip, Sheena & Peranginangin, Yessy, 2020. "Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process," American Business Review, Pompea College of Business, University of New Haven, vol. 23(2), pages 393-407, November.
    2. Joseph, Andreas & Vasios, Michalis, 2022. "OTC Microstructure in a period of stress: A Multi-layered network approach," Journal of Banking & Finance, Elsevier, vol. 138(C).
    3. Murat Tiniç & Ahmet Sensoy & Muge Demir & Duc Khuong Nguyen, 2021. "Broker Network Connectivity and the Cross-Section of Expected Stock Returns," Working Papers 2021-002, Department of Research, Ipag Business School.
    4. Kondor, Peter & Pinter, Gabor, 2022. "Clients’ connections: measuring the role of private information in decentralized markets," LSE Research Online Documents on Economics 110861, London School of Economics and Political Science, LSE Library.
    5. Khapko, Mariana & Zoican, Marius, 2021. "Do speed bumps curb low-latency investment? Evidence from a laboratory market," Journal of Financial Markets, Elsevier, vol. 55(C).
    6. Batten, Jonathan A. & Lončarski, Igor & Szilagyi, Peter G., 2021. "Strategic insider trading in foreign exchange markets," Journal of Corporate Finance, Elsevier, vol. 69(C).
    7. Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
    8. Rainone, Edoardo, 2020. "The network nature of over-the-counter interest rates," Journal of Financial Markets, Elsevier, vol. 47(C).
    9. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
      • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
    10. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2019. "Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal," Working Papers on Finance 1912, University of St. Gallen, School of Finance.
    11. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    12. Donald Lien & Pi-Hsia Hung, 2023. "Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 213-263, July.
    13. Lifang Li & Valentina Galvani, 2021. "Informed Trading and Momentum in the Corporate Bond Market [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, vol. 25(6), pages 1773-1816.
    14. Joel Hasbrouck, 2021. "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 395-430.
    15. Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.
    16. Joseph, Andreas & Vasios, Michalis & Maizels, Olga & Shreyas, Ujwal & Tanner, John, 2019. "OTC microstructure in a period of stress: a multi‑layered network approach," Bank of England working papers 832, Bank of England.
    17. Kamate, Vidya & Kumar, Abhishek, 2024. "Dealer networks, client sophistication and pricing in OTC derivatives," Journal of International Money and Finance, Elsevier, vol. 140(C).
    18. Pintér, Gábor & Wang, Chaojun & Zou, Junyuan, 2022. "Information chasing versus adverse selection," Bank of England working papers 971, Bank of England.

  10. Albert J Menkveld, 2017. "Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(2), pages 209-242.

    Cited by:

    1. Kubitza, Christian & Pelizzon, Loriana & Getmansky, Mila, 2018. "The pitfalls of central clearing in the presence of systematic risk," ICIR Working Paper Series 31/18, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    2. Mark Paddrik & H. Peyton Young, 2021. "Assessing the Safety of Central Counterparties," Working Papers 21-02, Office of Financial Research, US Department of the Treasury, revised 14 Jul 2021.
    3. Injun Hwang & Baeho Kim, 2022. "A systemic change of measure from central clearing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1738-1754, September.
    4. Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2020. "OTC premia," Journal of Financial Economics, Elsevier, vol. 136(1), pages 86-105.
    5. Radoslav Raykov, 2024. "Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns," Staff Working Papers 24-46, Bank of Canada.
    6. Berlinger, Edina & Dömötör, Barbara & Illés, Ferenc, 2019. "Anti-cyclical versus risk-sensitive margin strategies in central clearing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 117-131.
    7. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
    8. Acharya, Viral & Iyer, Aaditya M. & Sundaram, Rangarajan K, 2020. "Risk-Sharing and the Creation of Systemic Risk," CEPR Discussion Papers 15269, C.E.P.R. Discussion Papers.
    9. Kubitza, Christian & Pelizzon, Loriana & Sherman, Mila Getmansky, 2023. "Loss sharing in central clearinghouses: winners and losers," Working Paper Series 2873, European Central Bank.
    10. Radoslav Raykov, 2024. "Decomposing Large Banks’ Systemic Trading Losses," Staff Working Papers 24-6, Bank of Canada.
    11. Benos, Evangelos & Huang, Wenqian & Menkveld, Albert & Vasios, Michalis, 2019. "The cost of clearing fragmentation," Bank of England working papers 800, Bank of England, revised 22 Nov 2019.
    12. Capponi, Agostino & Cheng, Wan-Schwin Allen & Giglio, Stefano & Haynes, Richard, 2022. "The collateral rule: Evidence from the credit default swap market," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 58-86.
    13. Wenqian Huang & Albert J. Menkveld & Shihao Yu, 2021. "Central Counterparty Exposure in Stressed Markets," Management Science, INFORMS, vol. 67(6), pages 3596-3617, June.
    14. Stepan Gorban & Anna A. Obizhaeva & Yajun Wang, 2020. "Trading in Crowded Markets," Working Papers w0275, New Economic School (NES).
    15. Benoit, Sylvain, 2024. "Smart systemic-risk scores," Journal of International Money and Finance, Elsevier, vol. 140(C).
    16. Radoslav Raykov, 2021. "Systemic Risk and Portfolio Diversification: Evidence from the Futures Market," Staff Working Papers 21-50, Bank of Canada.
    17. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Discussion Paper 2020-028, Tilburg University, Center for Economic Research.
    18. Mariana Khapko & Marius Zoican, 2020. "How Fast Should Trades Settle?," Management Science, INFORMS, vol. 66(10), pages 4573-4593, October.
    19. Cucic, Dominic, 2022. "Central clearing and loss allocation rules," Journal of Financial Markets, Elsevier, vol. 59(PA).
    20. González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).
    21. Injun Hwang & Baeho Kim, 2020. "Heterogeneity and netting efficiency under central clearing: A stochastic network analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 192-208, February.

  11. Albert J. Menkveld & Marius A. Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1188-1228.
    See citations under working paper version above.
  12. Menkveld, Albert J. & Yueshen, Bart Zhou & Zhu, Haoxiang, 2017. "Shades of darkness: A pecking order of trading venues," Journal of Financial Economics, Elsevier, vol. 124(3), pages 503-534.
    See citations under working paper version above.
  13. Albert J. Menkveld, 2016. "The Economics of High-Frequency Trading: Taking Stock," Annual Review of Financial Economics, Annual Reviews, vol. 8(1), pages 1-24, October.

    Cited by:

    1. Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
    2. Li, Sida & Wang, Xin & Ye, Mao, 2021. "Who provides liquidity, and when?," Journal of Financial Economics, Elsevier, vol. 141(3), pages 968-980.
    3. Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
    4. Peter Cziraki & Evgeny Lyandres & Roni Michaely, 2019. "What Do Insiders Know? Evidence from Insider Trading Around Share Repurchases and SEOs," Swiss Finance Institute Research Paper Series 19-11, Swiss Finance Institute, revised Mar 2019.
    5. Ziyi Xu & Xue Cheng, 2023. "The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper," Papers 2304.13985, arXiv.org, revised Feb 2024.
    6. Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    7. Gil Hersch, 2023. "Procedural Fairness in Exchange Matching Systems," Journal of Business Ethics, Springer, vol. 188(2), pages 367-377, November.
    8. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
    9. Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
      • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
      • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
      • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
      • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
      • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
      • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
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    Cited by:

    1. Manahov, Viktor, 2016. "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 281-296.
    2. Chakrabarty, Bidisha & Moulton, Pamela C. & Wang, Xu (Frank), 2022. "Attention: How high-frequency trading improves price efficiency following earnings announcements," Journal of Financial Markets, Elsevier, vol. 57(C).
    3. Tom Grimstvedt Meling, 2021. "Anonymous Trading in Equities," Journal of Finance, American Finance Association, vol. 76(2), pages 707-754, April.
    4. Jonathan Brogaard & Jing Pan, 2022. "Dark Pool Trading and Information Acquisition," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2625-2666.
    5. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "High Frequency Trading: Strategic Competition Between Slow and Fast Traders," Economics Department Working Paper Series n296-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    6. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
    7. Viktor Manahov, 2021. "High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5385-5407, October.
    8. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    9. Serbera, Jean-Philippe & Paumard, Pascal, 2016. "The fall of high-frequency trading: A survey of competition and profits," Research in International Business and Finance, Elsevier, vol. 36(C), pages 271-287.
    10. Haas, Marlene & Khapko, Mariana & Zoican, Marius, 2021. "Speed and learning in high-frequency auctions," Journal of Financial Markets, Elsevier, vol. 54(C).
    11. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.
    12. Irtisam, Rasheek & Sokolov, Konstantin, 2023. "Do stock exchanges specialize? Evidence from the New Jersey transaction tax proposal," Journal of Banking & Finance, Elsevier, vol. 154(C).
    13. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
    14. Nihad Aliyev & Matteo Aquilina & Khaladdin Rzayev & Sonya Zhu, 2024. "Through stormy seas: how fragile is liquidity across asset classes and time?," BIS Working Papers 1229, Bank for International Settlements.
    15. Ekinci, Cumhur & Ersan, Oğuz, 2022. "High-frequency trading and market quality: The case of a “slightly exposed” market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    16. Zhenwei Li & Jing Han & Yuping Song, 2020. "On the forecasting of high‐frequency financial time series based on ARIMA model improved by deep learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1081-1097, November.

  16. 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.

    Cited by:

    1. Chung, Kee H. & Chuwonganant, Chairat, 2023. "COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading," Journal of Financial Markets, Elsevier, vol. 64(C).
    2. Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrandd, Jean-Pierre, 2018. "Designating market maker behaviour in limit order book markets," LSE Research Online Documents on Economics 90424, London School of Economics and Political Science, LSE Library.
    3. De Winne, Rudy & Gresse, Carole & Platten, Isabelle, 2014. "Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 31-43.
    4. Daniel Kirste & Alexander Poddey & Niclas Kannengießer & Ali Sunyaev, 2024. "On the influence of conventional and automated market makers on market quality in cryptoeconomic systems," Electronic Markets, Springer;IIM University of St. Gallen, vol. 34(1), pages 1-18, December.
    5. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
    6. Johannes Atle Skjeltorp & Bernt Arne Ødegaard, 2015. "When Do Listed Firms Pay for Market Making in Their Own Stock?," Financial Management, Financial Management Association International, vol. 44(2), pages 241-266, June.
    7. Kee H. Chung & Chairat Chuwonganant & Youngsoo Kim, 2022. "Preopening price indications and market quality: Evidence from NYSE Rule 48," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 205-228, June.
    8. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
    9. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Yuferova, Darya, 2020. "Designated Market Makers: Competition and Incentives," SAFE Working Paper Series 247, Leibniz Institute for Financial Research SAFE, revised 2020.
    10. Theissen, Erik & Westheide, Christian, 2022. "One for the money, two for the show? The number of designated market makers and liquidity," CFR Working Papers 22-10, University of Cologne, Centre for Financial Research (CFR).
    11. Petar-Pierre Matek & Maša Galiæ, 2024. "The impact of designated market-makers on liquidity in frontier markets: Evidence from Zagreb and Ljubljana Stock Exchanges," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 42(1), pages 95-121.
    12. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2009. "Crises and Liquidity in Over-the-Counter Markets," NBER Working Papers 15414, National Bureau of Economic Research, Inc.
    13. Anand, Amber & Venkataraman, Kumar, 2016. "Market conditions, fragility, and the economics of market making," Journal of Financial Economics, Elsevier, vol. 121(2), pages 327-349.
    14. Iwanaga, Yasuhiro & Hirose, Takehide, 2022. "Liquidity shock and stock returns in the Japanese equity market," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    15. Gautier, Pieter & Hu, Bo & Watanabe, Makoto, 2016. "Marketmaking Middlemen," CEPR Discussion Papers 11437, C.E.P.R. Discussion Papers.
    16. Arman Abgaryan & Utkarsh Sharma & Joshua Tobkin, 2024. "Proof of Efficient Liquidity: A Staking Mechanism for Capital Efficient Liquidity," Papers 2401.04521, arXiv.org, revised Feb 2024.
    17. Lamoureux, Christopher G. & Wang, Qin, 2015. "Measuring private information in a specialist market," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 92-119.
    18. Roman Matkovskyy & Akanksha Jalan & Michael Dowling & Taoufik Bouraoui, 2021. "From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks," Post-Print hal-04273124, HAL.
    19. Clark-Joseph, Adam D. & Ye, Mao & Zi, Chao, 2017. "Designated market makers still matter: Evidence from two natural experiments," Journal of Financial Economics, Elsevier, vol. 126(3), pages 652-667.
    20. Y. Peter Chung & S. Thomas Kim & Kenji Kutsuna & Richard L. Smith, 2020. "Which firms benefit from market making?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 33-63, March.
    21. Jagannathan, Ravi & Pelizzon, Loriana & Schaumburg, Ernst & Getmansky Sherman, Mila & Yuferova, Darya, 2021. "Recovery from fast crashes: Role of mutual funds," SAFE Working Paper Series 227, Leibniz Institute for Financial Research SAFE, revised 2021.
    22. Theissen, Erik & Westheide, Christian, 2021. "Call of duty: Designated market maker participation in call auctions," SAFE Working Paper Series 319, Leibniz Institute for Financial Research SAFE.
    23. Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
    24. Bagnara, Matteo & Jappelli, Ruggero, 2022. "Liquidity derivatives," SAFE Working Paper Series 358, Leibniz Institute for Financial Research SAFE.
    25. Theissen, Erik & Westheide, Christian, 2023. "One for the money, two for the show? The number of designated market makers and liquidity," Economics Letters, Elsevier, vol. 224(C).

  17. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    See citations under working paper version above.
  18. H�lena 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.
    See citations under working paper version above.
  19. 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(4), pages 821-849, August.

    Cited by:

    1. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
    2. George Jiang & Ingrid Lo & Giorgio Valente, 2014. "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market," Staff Working Papers 14-56, Bank of Canada.
    3. Valseth, Siri, 2013. "Price discovery in government bond markets," Journal of Financial Markets, Elsevier, vol. 16(1), pages 127-151.
    4. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
    5. Wu, Lei & Liu, Chunlin & Meng, Qingbin & Zeng, Hongchao, 2018. "Price discovery in China's inter-bank bond market," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 84-98.
    6. Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick, 2014. "Order flow and volatility: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 185-201.
    7. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018, January-A.
    8. Tarun Chordia & Alexander Kurov & Dmitriy Muravyev & Avanidhar Subrahmanyam, 2021. "The joint cross section of stocks and options," Management Science, INFORMS, vol. 67(3), pages 1758-1778, March.
    9. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
    10. van der Wel, M., 2020. "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management 124748, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
    11. Piccotti, Louis R., 2018. "Jumps, cojumps, and efficiency in the spot foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 49-67.
    12. Deuskar, Prachi & Johnson, Timothy C., 2021. "Funding liquidity and market liquidity in government bonds," Journal of Banking & Finance, Elsevier, vol. 129(C).
    13. Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn, 2022. "Sidedness in the interbank market," Journal of Financial Markets, Elsevier, vol. 59(PA).
    14. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.

  20. 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, February.
    See citations under working paper version above.
  21. 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.

    Cited by:

    1. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
    2. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
    3. Luo, Weiwei & Brooks, Robert D. & Silvapulle, Param, 2011. "Effects of the open policy on the dependence between the Chinese 'A' stock market and other equity markets: An industry sector perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 49-74, February.
    4. Richard C. K. Burdekin & Pierre L. Siklos, 2011. "Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010," Working Papers 232011, Hong Kong Institute for Monetary Research.
    5. Cesario Mateus & Miramir Bagirov & Irina Mateus, 2024. "Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets," International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 83-103, March.
    6. Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 37(C), pages 89-102.
    7. Hu, Zhijun & Kutan, Ali M. & Sun, Ping-Wen, 2018. "Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 207-220.
    8. Zhang, Bing & Li, Xiao-Ming, 2014. "Has there been any change in the comovement between the Chinese and US stock markets?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 525-536.
    9. Liao, Jia & Qian, Qi & Xu, Xiangyun, 2018. "Whether the fluctuation of China’s financial markets have impact on global commodity prices?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1030-1040.
    10. Alhaj-Yaseen, Yaseen S. & Barkoulas, John T. & Ouandlous, Arav, 2020. "Liberalization and asymmetric information flow dynamics in the Chinese equity markets," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    11. Weber, Enzo & Zhang, Yanqun, 2012. "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 382-394.
    12. Shuangqi Li & Qi‐an Chen, 2021. "Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2871-2890, April.
    13. Anders Johansson, 2010. "China's financial market integration with the world," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 8(3), pages 293-314.
    14. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
    15. Geeta Duppati & Yang (Greg) Hou & Frank Scrimgeour, 2017. "The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1389675-138, January.
    16. Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
    17. Erdogan, Oral & Tata, Kenan & Karahasan, B. Can & Sengoz, M. Hakan, 2013. "Dynamics of the co-movement between stock and maritime markets," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 282-290.
    18. Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum, 2015. "Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 217-230.
    19. Ye, George L., 2014. "The interactions between China and US stock markets: New perspectives," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 331-342.
    20. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 88-105.
    21. Cheema, Muhammad A. & Nartea, Gilbert V., 2017. "Momentum, idiosyncratic volatility and market dynamics: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 46(PA), pages 109-123.
    22. Du, Yuxin & Teixeira, Aurora A.C., 2012. "A bibliometric account of Chinese economics research through the lens of the China Economic Review," China Economic Review, Elsevier, vol. 23(4), pages 743-762.
    23. Ijaz Younis & Cheng Longsheng & Muhammad Farhan Basheer & Ahmed Shafique Joyo, 2020. "Stock market comovements among Asian emerging economies: A wavelet-based approach," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-23, October.
    24. Zhou, Xiangyi & Zhang, Weijin & Zhang, Jie, 2012. "Volatility spillovers between the Chinese and world equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 247-270.
    25. Li, Hong, 2012. "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 358-368.
    26. Yertai Tanai & Kuan-Pin Lin, 2013. "Mongolian and World Equity Markets: Volatilities and Correlations," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 136-164, December.
    27. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
    28. Pan, Qunxing & Mei, Xiaowen & Gao, Tianqing, 2022. "Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    29. Ma, Xiuying & Yang, Zhihua & Xu, Xiangyun & Wang, Chengqi, 2018. "The impact of Chinese financial markets on commodity currency exchange rates," Global Finance Journal, Elsevier, vol. 37(C), pages 186-198.

  22. 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, February.
    See citations under working paper version above.
  23. 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, February.
    See citations under working paper version above.
  24. 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.
    See citations under working paper version above.
  25. 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.

    Cited by:

    1. 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.
    2. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    3. Korczak, Piotr & Phylaktis, Kate, 2010. "Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 566-584, September.
    4. Piotr Korczak & Kate Phylaktis, 2009. "Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks," Bristol Economics Discussion Papers 09/612, School of Economics, University of Bristol, UK.
    5. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2022. "The Profitability of Lead-Lag Arbitrage at High-Frequency," Working Papers 22-5, HEC Montreal, Canada Research Chair in Risk Management.
    6. Naohiko Baba & Yasuaki Amatatsu, 2008. "Price discovery from cross-currency and FX swaps: a structural analysis," BIS Working Papers 264, Bank for International Settlements.
    7. Daures-Lescourret, Laurence & Fulop, Andras, 2022. "Standardization, transparency initiatives, and liquidity in the CDS market," Journal of Financial Markets, Elsevier, vol. 59(PA).
    8. Sait Ozturk & Michel van der Wel, 2014. "Intraday Price Discovery in Fragmented Markets," Tinbergen Institute Discussion Papers 14-027/III, Tinbergen Institute.
    9. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
    10. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    11. 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.
    12. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    13. Tao Chen, 2020. "Trade‐size clustering and informed trading in global markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 579-597, October.
    14. Eun Jung Lee, 2015. "High Frequency Trading in the Korean Index Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 31-51, January.
    15. Joel Hasbrouck, 2021. "Rejoinder on: Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 465-471.
    16. Dimpfl, Thomas & Schweikert, Karsten, 2023. "Information shares for markets with partially overlapping trading hours," Journal of Banking & Finance, Elsevier, vol. 154(C).
    17. Frijns, Bart & Schotman, Peter, 2009. "Price discovery in tick time," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 759-776, December.
    18. Alhaj-Yaseen, Yaseen S. & Lam, Eddery & Barkoulas, John T., 2014. "Price discovery for cross-listed firms with foreign IPOs," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 80-87.
    19. Ibikunle, Gbenga & McGroarty, Frank & Rzayev, Khaladdin, 2020. "More heat than light: Investor attention and bitcoin price discovery," International Review of Financial Analysis, Elsevier, vol. 69(C).
    20. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2016. "Hot money in bank credit flows to emerging markets during the banking globalization era," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 29-52.
    21. Thomas Dimpfl & Robert Jung, 2011. "Financial market spillovers around the globe," Global Financial Markets Working Paper Series 20-2011, Friedrich-Schiller-University Jena.
    22. de Jong, F.C.J.M. & Schotman, P.C., 2010. "Price discovery in fragmented markets," Other publications TiSEM 4650a9e7-c4cf-41cf-a771-e, Tilburg University, School of Economics and Management.
    23. Zhou, Hao & Elliott, Robert J. & Kalev, Petko S., 2019. "Information or noise: What does algorithmic trading incorporate into the stock prices?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 27-39.
    24. Jaiswal-Dale, Ameeta & Jithendranathan, Thadavillil, 2009. "Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks," Journal of Multinational Financial Management, Elsevier, vol. 19(5), pages 395-408, December.
    25. Gregory Boadu-Sebbe, 2022. "Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings," CERGE-EI Working Papers wp738, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    26. Cartea, Álvaro & Karyampas, Dimitrios, 2009. "Volatility and covariation of financial assets: a high-frequency analysis," DEE - Working Papers. Business Economics. WB wb097609, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    27. Marc Pomp & Suncica Vujic, 2008. "Rising health spending, new medical technology and the Baumol effect," CPB Discussion Paper 115, CPB Netherlands Bureau for Economic Policy Analysis.
    28. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series 1602, European Central Bank.
    29. Manahov, Viktor & Hudson, Robert & Gebka, Bartosz, 2014. "Does high frequency trading affect technical analysis and market efficiency? And if so, how?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 131-157.
    30. Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
    31. Baba, Naohiko & Sakurai, Yuji, 2011. "When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1450-1463, June.
    32. 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.
    33. Yasuaki Amatatsu & Naohiko Baba, 2007. "Price Discovery from Cross-Currency and FX Swaps: A Structural Analysis," Bank of Japan Working Paper Series 07-E-12, Bank of Japan.
    34. Peter Koudijs, 2013. "The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment," NBER Working Papers 18831, National Bureau of Economic Research, Inc.
    35. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
    36. Otsubo, Yoichi, 2014. "International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 36-51.
    37. Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).

  26. 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.

    Cited by:

    1. Lin Liao & Yukun Pan & Daifei (Troy) Yao, 2023. "Capital market liberalisation and voluntary corporate social responsibility disclosure: Evidence from a quasi‐natural experiment in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2677-2715, June.
    2. Feng, Xunan & Johansson, Anders C., 2014. "Escaping political extraction: Political participation, institutions, and cash holdings in China," China Economic Review, Elsevier, vol. 30(C), pages 98-112.
    3. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.
    4. He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2012. "Subscribing to Transparency," TSE Working Papers 12-351, Toulouse School of Economics (TSE), revised Nov 2013.
    5. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
    6. Bian, Jiangze & Chan, Kalok & Han, Bing & Shi, Donghui, 2023. "Cross-border equity flows and information transmission: Evidence from Chinese stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
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    1. Hu, Xiangling & Motwani, Jaideep G., 2014. "Minimizing downside risks for global sourcing under price-sensitive stochastic demand, exchange rate uncertainties, and supplier capacity constraints," International Journal of Production Economics, Elsevier, vol. 147(PB), pages 398-409.
    2. Andrés García Mirantes & Javier Población & Gregorio Serna, 2012. "The Stochastic Seasonal Behaviour of Natural Gas Prices," European Financial Management, European Financial Management Association, vol. 18(3), pages 410-443, June.
    3. Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
    4. Yingying Kang & Rajan Batta & Changhyun Kwon, 2014. "Value-at-Risk model for hazardous material transportation," Annals of Operations Research, Springer, vol. 222(1), pages 361-387, November.
    5. Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009. "A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions," European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361, March.

  28. 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.
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  29. 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.

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    1. Patrick Piget & Mohamed Kossaï, 2013. "The Relationship between Information and Communication Technology Use and Firm Performance in Developing Countries: A Case Study of Electrical and Electronic Goods Manufacturing SMEs in Tunisia," African Development Review, African Development Bank, vol. 25(3), pages 330-343, September.
    2. Fackler, Daniel & Fuchs, Michaela & Hölscher, Lisa & Schnabel, Claus, 2018. "Do startups provide employment opportunities for disadvantaged workers?," FAU Discussion Papers in Economics 09/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    3. Lopez-Acevedo, Gladys, 2002. "Technology and firm performance in Mexico," Policy Research Working Paper Series 2778, The World Bank.
    4. Brixy, Udo & Kohaut, Susanne & Schnabel, Claus, 2005. "How fast do newly founded firms mature? : empirical analyses on job quality in start-ups," IAB-Discussion Paper 200502, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    5. Yeo, Benjamin & Grant, Delvin, 2018. "Predicting service industry performance using decision tree analysis," International Journal of Information Management, Elsevier, vol. 38(1), pages 288-300.
    6. Stuart S. Rosenthal & William C. Strange, 2003. "Geography, Industrial Organization, and Agglomeration," Center for Policy Research Working Papers 56, Center for Policy Research, Maxwell School, Syracuse University.
    7. Onofri, Alejandro & Giannakas, Konstantinos, 2001. "The Strategic Role Of Public R&D In Agriculture," 2001 Annual meeting, August 5-8, Chicago, IL 20699, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Olav Sorenson & Michael S. Dahl & Rodrigo Canales & M. Diane Burton, 2021. "Do Startup Employees Earn More in the Long Run?," Organization Science, INFORMS, vol. 32(3), pages 587-604, May.
    9. Cucculelli, Marco & Marchionne, Francesco, 2012. "Market opportunities and owner identity: Are family firms different?," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 476-495.
    10. Brixy, Udo & Kohaut, Susanne & Schnabel, Claus, 2004. "Do newly founded firms pay lower wages? : first evidence from Germany," IAB-Discussion Paper 200404, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    11. Roy Thurik & David Audretsch & F. Stam, 2011. "Unraveling the Shift to the Entrepreneurial Economy," Scales Research Reports H201113, EIM Business and Policy Research.
    12. Grant, Delvin & Yeo, Benjamin, 2018. "A global perspective on tech investment, financing, and ICT on manufacturing and service industry performance," International Journal of Information Management, Elsevier, vol. 43(C), pages 130-145.
    13. Majumdar, Sumit K., 2015. "Competitor entry impact on jobs and wages in incumbent firms: retrospective evidence from a natural experiment," Business and Politics, Cambridge University Press, vol. 17(2), pages 291-326, August.
    14. Sumit K. Majumdar & Rabih Moussawi & Ulku Yaylacicegi, 2014. "Do Incumbents’ Mergers Influence Entrepreneurial Entry? An Evaluation," Entrepreneurship Theory and Practice, , vol. 38(3), pages 601-633, May.
    15. Schnabel, Claus & Kohaut, Susanne & Brixy, Udo, 2008. "Employment stability of entrants in newly founded firms: a matching approach using linked employer-employee data from Germany," Discussion Papers 56, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Labour and Regional Economics.
    16. Katja Bringmann & Ann Verhetsel & Thomas Vanoutrive & Jo Reynaerts, 2013. "The impact of venture capital linkages on start-ups' cluster embeddedness," ERSA conference papers ersa13p298, European Regional Science Association.
    17. Pierre Blanchard & Jean-Pierre Huiban & Claude Mathieu, 2014. "The shadow of death model revisited with an application to French firms," Applied Economics, Taylor & Francis Journals, vol. 46(16), pages 1883-1893, June.
    18. Roy Thurik & David Audretsch & Isabel Grilo, 2012. "Globalization, entrepreneurship and the region," Scales Research Reports H201201, EIM Business and Policy Research.
    19. Kostas Tsekouras & Efthalia Dimara & Dimitris Skuras & Dimitris Tzelepis, 2009. "Back to basics: The Comanor–Wilson MES index revisited," Small Business Economics, Springer, vol. 32(1), pages 111-120, January.
    20. Urbano, David & Aparicio, Sebastian, 2016. "Entrepreneurship capital types and economic growth: International evidence," Technological Forecasting and Social Change, Elsevier, vol. 102(C), pages 34-44.
    21. World Bank, 2001. "Mexico : Technology, Wages and Employment, Volume 1. Main Document," World Bank Publications - Reports 15432, The World Bank Group.
    22. Claus Schnabel & Susanne Kohaut & Udo Brixy, 2011. "Employment stability in newly founded firms: a matching approach using linked employer–employee data from Germany," Small Business Economics, Springer, vol. 36(1), pages 85-100, January.
    23. David B. Audretsch & Apexa Mamtora & Hugo Menendez, 2018. "Creating an entrepreneurial society in Europe," The Journal of Technology Transfer, Springer, vol. 43(6), pages 1437-1448, December.
    24. Manuela Presutti & Cristina Boari & Antonio Majocchi, 2013. "Inter-organizational geographical proximity and local start-ups' knowledge acquisition: a contingency approach," Entrepreneurship & Regional Development, Taylor & Francis Journals, vol. 25(5-6), pages 446-467, June.

  30. Albert Menkveld & Ton Vorst, 2000. "A Pricing Model for American Options with Gaussian Interest Rates," Annals of Operations Research, Springer, vol. 100(1), pages 211-226, December.

    Cited by:

    1. João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
    2. Taiga Saito & Shivam Gupta, 2022. "Big Data Applications with Theoretical Models and Social Media in Financial Management," CIRJE F-Series CIRJE-F-1205, CIRJE, Faculty of Economics, University of Tokyo.
    3. Taiga Saito & Shivam Gupta, 2022. "Big data applications with theoretical models and social media in financial management," CARF F-Series CARF-F-550, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2021. "The American put with finite-time maturity and stochastic interest rate," Papers 2104.08502, arXiv.org, revised Feb 2024.
    5. Jérôme Detemple & Weidong Tian, 2002. "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, vol. 48(7), pages 917-937, July.
    6. Huang, Haishi, 2010. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers 07/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
    7. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2022. "The American put with finite‐time maturity and stochastic interest rate," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1170-1213, October.

  31. 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.

    Cited by:

    1. Ingrid Verheul & Sander Wennekers & David Audretsch & Roy Thurik, 2001. "An Eclectic Theory of Entrepreneurship: Policies, Institutions and Culture," Tinbergen Institute Discussion Papers 01-030/3, Tinbergen Institute.
    2. Alexander Cobham, "undated". "Making Bad Decisions: firm size and investment under uncertainty," QEH Working Papers qehwps39, Queen Elizabeth House, University of Oxford.

  32. Philip Hans Franses & Reinoud leperen & Paul Kofman & Martin Martens & Bert Menkveld, 1997. "Volatility Transmission And Patterns In Bund Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 459-482, December.

    Cited by:

    1. Yang, Joey Wenling, 2011. "Transaction duration and asymmetric price impact of trades--Evidence from Australia," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 91-102, January.
    2. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Post-Print hal-01529770, HAL.
    3. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
    4. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," Working Papers hal-04141310, HAL.
    5. Stevenson, Alan & Boyd, Milton S., 2001. "Lead Lag Relationships Between Resource Prices and Corresponding Resource Company Share Prices," 2001 Conference (45th), January 23-25, 2001, Adelaide, Australia 125959, Australian Agricultural and Resource Economics Society.
    6. Christopher L. Gilbert & Herbert A. Rijken, 2006. "How is Futures Trading Affected by the Move to a Computerized Trading System? Lessons from the LIFFE FTSE 100 Contract," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7‐8), pages 1267-1297, September.
    7. Deqing Diane Li & YingChou Lin & John Jin, 2012. "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 41-51.

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