HFT around large II orders

When high-frequency traders (HFTs) enter markets, the bid-ask spread declines. Several academic studies have reported such a result. Investors pay less for each market order they send. All good and everyone happy. 

Everyone?

Vincent van Kervel and Albert J. Menkveld have done the research and present the facts in a well written paper. There is also the blog by Albert Menkveld This paper is good, and often much needed, factual input for discussions about market structure.

50 shades of dark pools

In this study, professor Albert Menkveld studies the dark pools and the different forms in which they appear. 

Bringing your volume to a dark pool, reduces your costs but there is a trade-off. It takes longer to execute. Read the full paper here

Are crowded trades a systemic risk for CCP's

In an on-going study, Professor Albert Menkveld of the VU in Amsterdam studied the risk that 'crowded trades' i.e. transactions where the users of the CCP all find themselves on the same side pose to the CCP. 

Read the full study here

Study on price pressure and liquidity providing

It's nice when providers of academic research have their own blog to outline and summarize their papers. Albert Menkveld, professor in Finance at the VU in Amsterdam has a let's say "Zen" designed blog and saves us the trouble of writing a long article ourselves. So click here for the abstract from the blog and in there, the related study.