iiinova — where your digital self keeps evolving

Albert J. Menkveld

@albertjmenkveld.com

Posts Replies Media

Albert J. Menkveld @albertjmenkveld.com · 05/10/2026

Prof. Thierry Foucault and I will teach next year's Summer School in Market Microstructure at Stockholm Business School (Mon-Fri, June 14-18, 2027). Our host will be Prof. Björn Hagströmer. We have just opened up for applications (deadline: December 1, 2026). See: microstructure-course.com.

022

Albert J. Menkveld @albertjmenkveld.com · 04/06/2026

It is a real honor to start serving on the Editorial Board of the Financial Analysts Journal (FAJ). I look forward to contributing to the role of FAJ in connecting academic research with investment practice.

010

Albert J. Menkveld @albertjmenkveld.com · 03/04/2026

HUGE NEWS FOR OUR GLOBAL RESEARCH TEAM! 🌍🏆 Our article "Nonstandard Errors" just received Top-Cited Article certification from Wiley. The article was published in the Journal of Finance. nonstandarderrors.com.

Wiley Top-Cited Article certification for Nonstandard Errors in the Journal of Finance.

020

Albert J. Menkveld @albertjmenkveld.com · 13/03/2026

How would AIs do our job? Well, remember *Nonstandard Errors*? In the original experiment, 164 research teams across the world were asked to test the same hypotheses on the same data. How would AI models perform? New paper: papers.ssrn.com/sol3/papers..... albertjmenkveld.com/blog/2026-03....

172

Albert J. Menkveld @albertjmenkveld.com · 26/02/2026

New. Released this morning. Does (fast) "news" trading crowd out (slow) value trading? New paper with both theoretical and empirical results. Light summary in blog post: albertjmenkveld.com/blog/2026-02.... Paper: papers.ssrn.com/sol3/papers.....

010

Albert J. Menkveld @albertjmenkveld.com · 06/11/2025

*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....

000

Albert J. Menkveld @albertjmenkveld.com · 09/07/2025

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....

012

Albert J. Menkveld @albertjmenkveld.com · 23/06/2025

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).

010

Albert J. Menkveld @albertjmenkveld.com · 03/06/2025

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.

000

Albert J. Menkveld @albertjmenkveld.com · 07/04/2025

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.

020

Albert J. Menkveld @albertjmenkveld.com · 17/01/2025

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/....

011