Albert J. Menkveld
@albertjmenkveld.com
academic | finance ∩ technology | microstructure | asset pricing | econometrics | Vrije Universiteit Amsterdam | https://albertjmenkveld.com
*New Paper Alert*: When Prices Dislocate
Large price jumps often make headlines. But what actually happens when prices move that much, that fast?
Blog post: albertjmenkveld.com/blog/2025-11...
Full paper: papers.ssrn.com/sol3/papers....
Large price jumps often make headlines. But what actually happens when prices move that much, that fast?
Blog post: albertjmenkveld.com/blog/2025-11...
Full paper: papers.ssrn.com/sol3/papers....
November 6, 2025 at 11:18 AM
*New Paper Alert*: When Prices Dislocate
Large price jumps often make headlines. But what actually happens when prices move that much, that fast?
Blog post: albertjmenkveld.com/blog/2025-11...
Full paper: papers.ssrn.com/sol3/papers....
Large price jumps often make headlines. But what actually happens when prices move that much, that fast?
Blog post: albertjmenkveld.com/blog/2025-11...
Full paper: papers.ssrn.com/sol3/papers....
Join us and register now. Seats are limited.
On Monday, September 15, I am co-organizing a conference to discuss facts.
Discuss *facts*?
Yes, facts can be debated these days, both in Science and outside of it. More information at www.knaw.nl/en/events/de....
On Monday, September 15, I am co-organizing a conference to discuss facts.
Discuss *facts*?
Yes, facts can be debated these days, both in Science and outside of it. More information at www.knaw.nl/en/events/de....
July 9, 2025 at 9:31 AM
Join us and register now. Seats are limited.
On Monday, September 15, I am co-organizing a conference to discuss facts.
Discuss *facts*?
Yes, facts can be debated these days, both in Science and outside of it. More information at www.knaw.nl/en/events/de....
On Monday, September 15, I am co-organizing a conference to discuss facts.
Discuss *facts*?
Yes, facts can be debated these days, both in Science and outside of it. More information at www.knaw.nl/en/events/de....
It was another wonderful edition of the *Summer School in Market Microstructure*. I always enjoy teaching this course with Thierry Foucault.
Next year, we will be at KU Leuven in Belgium. Consider putting your email on the email alert list on the course website (microstructure-course.com).
Next year, we will be at KU Leuven in Belgium. Consider putting your email on the email alert list on the course website (microstructure-course.com).
June 23, 2025 at 8:58 AM
It was another wonderful edition of the *Summer School in Market Microstructure*. I always enjoy teaching this course with Thierry Foucault.
Next year, we will be at KU Leuven in Belgium. Consider putting your email on the email alert list on the course website (microstructure-course.com).
Next year, we will be at KU Leuven in Belgium. Consider putting your email on the email alert list on the course website (microstructure-course.com).
Hoogleraar op TikTok. Met geldalarm.
Vandaag in de Telegraaf. Pas op voor finfluencers die één bepaald aandeel, of een nieuwe crypto product aanprijzen. Blijf zelf nadenken. Als je je beseft dat je het eigenlijk niet weet, investeer dan liever in een mandje van aandelen.
Vandaag in de Telegraaf. Pas op voor finfluencers die één bepaald aandeel, of een nieuwe crypto product aanprijzen. Blijf zelf nadenken. Als je je beseft dat je het eigenlijk niet weet, investeer dan liever in een mandje van aandelen.
June 3, 2025 at 9:28 AM
Hoogleraar op TikTok. Met geldalarm.
Vandaag in de Telegraaf. Pas op voor finfluencers die één bepaald aandeel, of een nieuwe crypto product aanprijzen. Blijf zelf nadenken. Als je je beseft dat je het eigenlijk niet weet, investeer dan liever in een mandje van aandelen.
Vandaag in de Telegraaf. Pas op voor finfluencers die één bepaald aandeel, of een nieuwe crypto product aanprijzen. Blijf zelf nadenken. Als je je beseft dat je het eigenlijk niet weet, investeer dan liever in een mandje van aandelen.
Last week the fear index, VIX, jumped by 71%. S&P 500 index dropped 10%. SPY volume jumped by 82% in a market that was 159% more illiquid.
Recently, I studied 10 crises in 1993-2024: papers.ssrn.com/sol3/papers..... The patterns are very similar. I offer an explanation based on fire sales.
Recently, I studied 10 crises in 1993-2024: papers.ssrn.com/sol3/papers..... The patterns are very similar. I offer an explanation based on fire sales.
April 7, 2025 at 9:05 AM
Last week the fear index, VIX, jumped by 71%. S&P 500 index dropped 10%. SPY volume jumped by 82% in a market that was 159% more illiquid.
Recently, I studied 10 crises in 1993-2024: papers.ssrn.com/sol3/papers..... The patterns are very similar. I offer an explanation based on fire sales.
Recently, I studied 10 crises in 1993-2024: papers.ssrn.com/sol3/papers..... The patterns are very similar. I offer an explanation based on fire sales.
How large are transaction costs for investors who trade large orders by splitting them up over time? Our model yields a liquidity surface. It further shows how the presence of large orders affects the welfare of market makers and small investors. Published this month: doi.org/10.1093/rof/....
January 17, 2025 at 9:46 AM
How large are transaction costs for investors who trade large orders by splitting them up over time? Our model yields a liquidity surface. It further shows how the presence of large orders affects the welfare of market makers and small investors. Published this month: doi.org/10.1093/rof/....