Albert S. Kyle

University of Maryland

Smith Chair Professor of Finance

College Park

College Park, MD 20742

United States

  • University of Maryland

SCHOLARLY PAPERS

35

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39,968

SSRN CITATIONS
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Top 1,940

in Total Papers Citations

371

CROSSREF CITATIONS

419

Scholarly Papers (35)

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1.

The Flash Crash: High-Frequency Trading in an Electronic Market

Journal of Finance, Forthcoming
Number of pages: 42 Posted: 27 May 2011 Last Revised: 10 Mar 2018
Andrei A. Kirilenko, Albert S. Kyle, Mehrdad Samadi and Tugkan Tuzun
University of Cambridge - Finance, University of Maryland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 19,819 (256)
Citation 732

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High-Frequency, High Frequency Trading, Algorithmic Trading, Flash Crash, Liquidity, Volatility, Price Impact, May 6, Intermediation, Market Making

2.

Market Microstructure Invariance: A Dynamic Equilibrium Model

Downloads 1,854 (15,281)
Citation 8

Market Microstructure Invariance: A Dynamic Equilibrium Model

Number of pages: 56 Posted: 12 Feb 2019 Last Revised: 31 Mar 2020
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 1,170 (30,161)
Citation 4

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Finance, financial economics, financial markets, market microstructure, liquidity, invariance, market impact, transaction costs, market efficiency, efficient markets hypothesis

Market Microstructure Invariance: A Dynamic Equilibrium Model

Number of pages: 46 Posted: 19 Mar 2016 Last Revised: 17 Aug 2017
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 684 (63,244)
Citation 5

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market microstructure, invariance, liquidity, bid-ask spread, market impact, transaction costs, market efficiency, efficient markets hypothesis, pricing accuracy, resiliency, order size

3.

Large Bets and Stock Market Crashes

Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 20 Apr 2019
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 1,737 (16,917)
Citation 21

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finance, market microstructure, invariance, crashes, liquidity, price impact, market depth, systemic risk

4.

Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

Number of pages: 50 Posted: 22 Nov 2015 Last Revised: 08 Aug 2018
Torben G. Andersen, Oleg Bondarenko, Albert S. Kyle and Anna A. Obizhaeva
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, University of Maryland and New Economic School (NES)
Downloads 1,319 (25,672)
Citation 21

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market microstructure, invariance, high-frequency trading, liquidity, volatility, volume, time series, intraday patterns

5.

Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance

Downloads 1,234 (28,351)
Citation 11

Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance

Number of pages: 31 Posted: 28 May 2016 Last Revised: 17 Aug 2017
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 933 (41,604)
Citation 9

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market microstructure, liquidity, bid-ask spread, trade size, market depth, dimensional analysis, econophysics

Dimensional Analysis and Market Microstructure Invariance

Number of pages: 16 Posted: 19 Aug 2016
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 301 (167,273)
Citation 7

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Market microstructure, invariance, transaction costs, bid-ask spread

6.

Market Microstructure Invariance: Empirical Hypotheses

Number of pages: 67 Posted: 27 Jan 2016 Last Revised: 30 Oct 2016
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 1,213 (29,027)
Citation 60

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market microstructure, liquidity, bid-ask spread, market impact, transaction costs, order size, invariance, structural estimation

7.

The Market Impact Puzzle

Number of pages: 19 Posted: 27 Feb 2018
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 1,064 (35,002)
Citation 3

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Market microstructure, invariance, liquidity, square root model, market impact, transaction costs, dimensional analysis, leverage neutrality, volume, volatility

8.

Market Microstructure Invariance: Theory and Empirical Tests

Number of pages: 76 Posted: 08 Oct 2010 Last Revised: 06 Dec 2014
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 1,010 (37,708)
Citation 6

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9.

Liquidity with High-Frequency Market Making

Swedish House of Finance Research Paper No. 14-06
Number of pages: 12 Posted: 27 Mar 2014 Last Revised: 28 Mar 2014
Jungsuk Han, Mariana Khapko and Albert S. Kyle
Seoul National University - College of Business Administration, University of Toronto - Finance Area and University of Maryland
Downloads 918 (43,150)
Citation 14

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high-frequency trading, market making, order cancellation, bid-ask spread, winner's curse, informed trading

10.

Toward a Fully Continuous Exchange

Number of pages: 39 Posted: 01 Mar 2017 Last Revised: 18 Aug 2017
Albert S. Kyle and Jeongmin Lee
University of Maryland and Washington University in St. Louis - John M. Olin Business School
Downloads 895 (44,633)
Citation 17

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Market Microstructure, Smooth Trading, Auction Design, Market Design

11.

Market Microstructure Invariants: Theory and Implications of Calibration

Number of pages: 36 Posted: 03 Jan 2012
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 760 (55,754)
Citation 8

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12.

Contagion as a Wealth Effect of Financial Intermediaries

Number of pages: 55 Posted: 06 Feb 2000
Albert S. Kyle and Wei Xiong
University of Maryland and Princeton University - Department of Economics
Downloads 654 (67,907)
Citation 88

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13.

Automation, Intermediation and the Flash Crash

Journal of Investment Management, Forthcoming
Number of pages: 22 Posted: 17 Feb 2018
Andrei A. Kirilenko, Albert S. Kyle, Mehrdad Samadi and Tugkan Tuzun
University of Cambridge - Finance, University of Maryland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 637 (70,253)
Citation 4

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High-Frequency, Automation, Volatility, Flash Crash, Intermediation, Market Making

14.

Flow Trading

Downloads 605 (74,917)

Flow Trading

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-82
Number of pages: 70 Posted: 24 Jun 2022 Last Revised: 04 Apr 2023
Eric B. Budish, Peter Cramton, Albert S. Kyle, Jeongmin Lee and David Malec
University of Chicago - Booth School of Business, University of Cologne, University of Maryland, Washington University in St. Louis - John M. Olin Business School and University of Cologne
Downloads 603 (74,320)

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market design, financial exchanges, portfolios, computation

Flow Trading

NBER Working Paper No. w31098
Number of pages: 69 Posted: 10 Apr 2023 Last Revised: 23 Jun 2023
Eric B. Budish, Peter Cramton, Albert S. Kyle, Jeongmin Lee and David Malec
University of Chicago - Booth School of Business, University of Cologne, University of Maryland, Washington University in St. Louis - John M. Olin Business School and University of Cologne
Downloads 2 (1,052,349)
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15.

News Articles and the Invariance Hypothesis

AFA 2012 Chicago Meetings Paper, Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 41 Posted: 16 Mar 2011 Last Revised: 14 Jan 2012
Albert S. Kyle, Anna A. Obizhaeva, Nitish Ranjan Sinha and Tugkan Tuzun
University of Maryland, New Economic School (NES), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 602 (75,401)
Citation 11

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16.

Smooth Trading with Overconfidence and Market Power

Review of Economic Studies, Forthcoming
Number of pages: 94 Posted: 10 Apr 2014 Last Revised: 31 Aug 2017
Albert S. Kyle, Anna A. Obizhaeva and Yajun Wang
University of Maryland, New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 561 (82,354)
Citation 28

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market microstructure, price impact, liquidity, transaction costs, double auctions, information aggregation, rational expectations, agreement-to-disagree, imperfect competition, Keynesian beauty contest, overconfidence, strategic trading, dynamic trading, flash crash

17.

Beliefs Aggregation and Return Predictability

Number of pages: 81 Posted: 06 Nov 2015 Last Revised: 30 Mar 2020
Albert S. Kyle, Anna A. Obizhaeva and Yajun Wang
University of Maryland, New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 527 (88,985)
Citation 1

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asset pricing, predictability, market microstructure, market efficiency, momentum, mean-reversion, anomalies, agreement to disagree

18.

Microstructure Invariance in U.S. Stock Market Trades

Number of pages: 60 Posted: 21 Mar 2010 Last Revised: 18 Aug 2017
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
University of Maryland, New Economic School (NES) and Board of Governors of the Federal Reserve System
Downloads 429 (113,862)
Citation 6

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trading activity, trade size, trade frequency

19.

Information and Competition with Speculation and Hedging

Number of pages: 51 Posted: 03 Jan 2017 Last Revised: 09 Oct 2017
Jeongmin Lee and Albert S. Kyle
Washington University in St. Louis - John M. Olin Business School and University of Maryland
Downloads 408 (121,022)
Citation 3

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competition, informational efficiency, strategic trading, private information, vanishing noise equilibrium, rational expectations equilibrium

20.

Adverse Selection and Liquidity: From Theory to Practice

Number of pages: 45 Posted: 30 Aug 2018
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 381 (130,557)
Citation 1

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market microstructure, invariance, liquidity, adverse selection, market impact, bid-ask spread, bet size, market efficiency, dimensional analysis, leverage neutrality

21.

Prospect Theory and Liquidation Decisions

Downloads 368 (134,439)

Prospect Theory and Liquidation Decisions

Number of pages: 30 Posted: 19 May 2005
Albert S. Kyle, Hui Ou-Yang and Wei Xiong
University of Maryland, Cheung Kong Graduate School of Business and Princeton University - Department of Economics
Downloads 368 (134,610)
Citation 15

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Loss aversion, disposition effect; break-even effect

Prospect Theory and Liquidation Decisions

Journal of Economic Theory, Forthcoming
Posted: 21 May 2005
Albert S. Kyle, Hui Ou-Yang and Wei Xiong
University of Maryland, Cheung Kong Graduate School of Business and Princeton University - Department of Economics

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Loss aversion, disposition effect; break-even effect

22.

A Model of Portfolio Delegation and Strategic Trading

Number of pages: 47 Posted: 17 Mar 2009 Last Revised: 16 Jul 2010
Albert S. Kyle, Hui Ou-Yang and Bin Wei
University of Maryland, Cheung Kong Graduate School of Business and Federal Reserve Bank of Atlanta
Downloads 355 (141,175)
Citation 7

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Portfolio Delegation, Information Acquisition, Strategic Trading, Price Informativeness

23.

Market Microstructure Invariants: Empirical Evidence from Portfolio Transitions

Number of pages: 44 Posted: 03 Jan 2012
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 343 (146,578)
Citation 9

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asset pricing, market microstructure, portfolio transitions, order size, market impact, bid-ask spread, asset management, invariance

24.

When Are Financial Markets Perfectly Competitive?

Number of pages: 53 Posted: 03 Jun 2018 Last Revised: 23 Sep 2018
Jeongmin Lee and Albert S. Kyle
Washington University in St. Louis - John M. Olin Business School and University of Maryland
Downloads 336 (149,791)
Citation 5

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market competitiveness, strategic trading, price-taking, rational expectations equilibrium, private information, liquidity, market design.

25.

Speculative Equilibrium with Differences in Higher-Order Beliefs

Swedish House of Finance Research Paper No. 14-01
Number of pages: 33 Posted: 24 Feb 2014 Last Revised: 31 Jan 2017
Jungsuk Han and Albert S. Kyle
Seoul National University - College of Business Administration and University of Maryland
Downloads 332 (151,682)
Citation 2

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higher-order beliefs,common knowledge, speculation, bubbles, overconfidence, asymmetric information

26.

Trading in Crowded Markets

Number of pages: 56 Posted: 03 Apr 2018 Last Revised: 20 Sep 2023
Albert S. Kyle, Anna A. Obizhaeva and Yajun Wang
University of Maryland, New Economic School (NES) and City University of NY, Baruch College, Zicklin School of Business
Downloads 297 (170,656)

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Asset Pricing, Market Liquidity, Market Microstructure, Crowding, Price Impact, Strategic Trading, Transaction Costs

27.

Smart Money, Noise Trading and Stock Price Behavior

NBER Working Paper No. t0071
Number of pages: 79 Posted: 04 Jul 2004 Last Revised: 13 Mar 2023
John Y. Campbell and Albert S. Kyle
Harvard University - Department of Economics and University of Maryland
Downloads 241 (210,555)
Citation 16

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28.

Invariance of Buy-Sell Switching Points

Robert H. Smith School Research Paper No. RHS 2730770
Number of pages: 27 Posted: 11 Feb 2016 Last Revised: 30 Oct 2016
Kyoung-hun Bae, Albert S. Kyle, Eun Jung Lee and Anna A. Obizhaeva
Ulsan National Institute of Science and Technology, University of Maryland, Hanyang University and New Economic School (NES)
Downloads 222 (228,925)
Citation 6

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finance, market microstructure, invariance, trading volume, volatility, liquidity, price impact, market depth

29.

Knowledge Representation and Information Management for Financial Risk Management: Report of a Workshop

Number of pages: 81 Posted: 04 Dec 2010
Mark D. Flood, Albert S. Kyle and Louiqa Raschid
R. H. Smith School of Business, U. of Maryland, University of Maryland and University of Maryland - Decision and Information Technologies Department
Downloads 194 (257,959)
Citation 6

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risk management, ontologies, knowledge representation, formal logics, systemic risk, constraint languages, networks, simulation, data integrity, operational risk, data security

30.

Microstructure Invariance in U.S. Stock Market Trades

FEDS Working Paper No. 2016-34
Number of pages: 49 Posted: 04 May 2016 Last Revised: 21 Sep 2016
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
University of Maryland, New Economic School (NES) and Board of Governors of the Federal Reserve System
Downloads 183 (271,815)
Citation 4

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market microstructure, transactions data, market frictions, trade size, tick size, order shredding, clustering, Trades and Quotes (TAQ) data

31.

The Cumulant Risk Premium

Number of pages: 60 Posted: 19 Jan 2023
Albert S. Kyle and Karamfil Todorov
University of Maryland and Bank for International Settlements
Downloads 146 (334,449)

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Cumulants, leverage, ETF, CAPM, factor models, VIX

32.

Market Microstructure Invariance: A Meta-Model Approach

Number of pages: 32 Posted: 17 Oct 2022
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 140 (340,135)

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Market microstructure, invariance, liquidity, bid-ask spread, market impact, transaction costs, market efficiency, efficient markets hypothesis, pricing accuracy, resiliency

33.

Do Complex Economies Require Complex Financial Systems?

46th Annual AREUEA Conference Paper
Number of pages: 1 Posted: 01 Dec 2010
Douglas T. Breeden, Chester S. Spatt, Markus K. Brunnermeier and Albert S. Kyle
Duke University Fuqua School of Business, Carnegie Mellon University - David A. Tepper School of Business, Princeton University - Department of Economics and University of Maryland
Downloads 132 (355,919)

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34.

Invariance of Switching Points

Number of pages: 44 Posted: 15 Feb 2023
Kyounghun Bae, Albert S. Kyle, Eun Jung Lee and Anna A. Obizhaeva
Hanyang University, University of Maryland, Hanyang University and New Economic School (NES)
Downloads 35 (728,819)

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trading, institutional investors, retail investors, asset pricing, volume.

35.

When Does Agreement to Disagree Generate Positive Return Autocorrelation?

Number of pages: 39 Posted: 24 May 2023 Last Revised: 26 May 2023
Albert S. Kyle and Yajun Wang
University of Maryland and City University of NY, Baruch College, Zicklin School of Business
Downloads 17 (877,050)

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Return Autocorrelation, Momentum, Price Drift, Disagreement