My working papers include:
Menkveld, Albert J., and Ting Wang, 2011, Liquileaks
[abstract+pdf
]
Menkveld, Albert J., 2011, High-Frequency Trading and The New-Market Makers (EFA 2011/ AFA 2012 paper) [slides][abstract+pdf]
Jovanovic, Boyan, and Albert J. Menkveld, 2011, Middlemen in Limit-Order Markets (WFA 2011 paper) [slides][abstract+pdf]
Hendershott, Terrence, and Albert J. Menkveld, 2011, Price Pressures (WFA 2010 paper) [slides][abstract+pdf][more]
Hendershott, Terrence, Sunny X. Li, Albert J. Menkveld, and Mark S. Seasholes, 2010, Risk Sharing, Costly Participation, and Monthly Returns
[abstract+pdf]
Menkveld, Albert J., and Ting Wang, 2008, How Do Designated Market Makers Create Value for Small-Cap Stocks (AFA 2008 paper) [slides][abstract+pdf]