My published papers include (not complete):
Selected publications:
Hendershott, Terrence, Charles M. Jones, and Albert J. Menkveld, 2011, Does Algorithmic Trading Improve Liquidity? Journal of Finance, 66, 1-33 [slides
][abstract+pdf][more]
Foucault, Thierry and Albert J. Menkveld, 2008, Competition for Order Flow and Smart Order Routing Systems, Journal of Finance 63, 119-158 [slides][abstract+pdf].
Chan, Kalok A., Albert J. Menkveld, and Zhishu Yang, 2008, Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount, Journal of Finance 63, 159-196 [slides][abstract+pdf].
Other publications:
Menkveld, Albert J., 2011, Electronic Trading and Market Structure, UK Government Foresight Driver Review, DR 16, August 10, 2011, [pdf]
Menkveld, Albert J., Asani Sarker, and Michel van der Wel, 2011, Customer Flow, Intermediaries, and the Discovery of the Equilibrium Riskfree Rate, Journal of Financial and Quantitative Analysis, forthcoming [abstract+pdf]
Menkveld, Albert J., 2008, Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks, Journal of Financial Intermediation 17, 145-174
[abstract+pdf].
Menkveld, Albert J., Siem-Jan Koopman, and André Lucas, 2007, Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods, Journal of Business & Economic Statistics 25, 213-225 [slides][abstract+pdf].
Chan, Kalok A., Albert J. Menkveld, and Zhishu Yang, 2007, Are Domestic Investors More Informed than Foreign Investors? Evidence from the Perfectly Segmented Market in China, Journal of Financial Markets 10, 391-415
[abstract+pdf].