Albert S. Kyle

University of Maryland

Smith Chair Professor of Finance

College Park

College Park, MD 20742

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 962

SSRN RANKINGS

Top 962

in Total Papers Downloads

20,788

CITATIONS
Rank 3,256

SSRN RANKINGS

Top 3,256

in Total Papers Citations

168

Scholarly Papers (24)

1.

The Flash Crash: High Frequency Trading in an Electronic Market

Journal of Finance, Forthcoming
Number of pages: 41 Posted: 27 May 2011 Last Revised: 10 Jan 2017
Brevan Howard Centre for Financial Analysis, Imperial College Business School, University of Maryland, Southern Methodist University (SMU) - Edwin L. Cox School of Business and Federal Reserve Board
Downloads 10,774 (154)
Citation 18

Abstract:

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

2.

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 611 (22,629)

Abstract:

3.

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 548 (36,328)
Citation 44

Abstract:

4.

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 484 (38,397)
Citation 4

Abstract:

5.

Large Bets and Stock Market Crashes

Number of pages: 43 Posted: 17 Mar 2012 Last Revised: 26 Feb 2016
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 422 (37,675)
Citation 1

Abstract:

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

6.

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
University of Maryland, New Economic School (NES), Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 395 (50,923)
Citation 2

Abstract:

7.
Downloads 283 ( 83,003)
Citation 18

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 283 (83,565)
Citation 18

Abstract:

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

Abstract:

Loss aversion, disposition effect; break-even effect

8.

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 268 (81,392)
Citation 3

Abstract:

Portfolio Delegation, Information Acquisition, Strategic Trading, Price Informativeness

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
Swedish House of Finance, University of Toronto - Finance Area and University of Maryland
Downloads 261 (58,640)

Abstract:

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

10.

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 216 (93,595)
Citation 2

Abstract:

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

11.

Trading Game Invariance in the TAQ Dataset

Number of pages: 43 Posted: 21 Mar 2010 Last Revised: 12 Jan 2012
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
University of Maryland, New Economic School (NES) and Federal Reserve Board
Downloads 216 (95,604)
Citation 1

Abstract:

trading activity, trade size, trade frequency

12.

Smooth Trading with Overconfidence and Market Power

Robert H. Smith School Research Paper No. RHS 2423207
Number of pages: 93 Posted: 10 Apr 2014 Last Revised: 26 Jan 2016
Albert S. Kyle, Anna A. Obizhaeva and Yajun Wang
University of Maryland, New Economic School (NES) and University of Maryland - Robert H. Smith School of Business
Downloads 170 (81,057)

Abstract:

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

13.

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
Government of the United States of America - Office of Financial Research, University of Maryland and University of Maryland - Decision and Information Technologies Department
Downloads 135 (156,320)
Citation 1

Abstract:

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

14.

Smart Money, Noise Trading and Stock Price Behavior

NBER Working Paper No. t0071
Number of pages: 79 Posted: 04 Jul 2004
John Y. Campbell and Albert S. Kyle
Harvard University - Department of Economics and University of Maryland
Downloads 134 (154,503)
Citation 74

Abstract:

Dimensional Analysis and Market Microstructure Invariance

Number of pages: 16 Posted: 28 May 2016
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 98 (216,104)

Abstract:

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 31 (383,466)

Abstract:

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

16.

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
Swedish House of Finance and University of Maryland
Downloads 111 (140,154)

Abstract:

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

17.

Do Complex Economies Require Complex Financial Systems?

46th Annual AREUEA Conference Paper
Number of pages: 1 Posted: 01 Dec 2010
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 88 (217,864)

Abstract:

18.

Information and Competition with Symmetry

Number of pages: 36 Posted: 03 Jan 2017 Last Revised: 11 Jan 2017
Albert S. Kyle and Jeongmin Lee
University of Maryland and Washington University in Saint Louis - John M. Olin Business School
Downloads 0 (304,173)

Abstract:

Rational expectations equilibrium, private information, endowment shocks, price informativeness, strategic trading, competition, noise trading

19.

Microstructure Invariance in U.S. Stock Market Trades

FEDS Working Paper No. 2016-034
Number of pages: 49 Posted: 04 May 2016
Albert S. Kyle, Anna A. Obizhaeva and Tugkan Tuzun
University of Maryland, New Economic School (NES) and Federal Reserve Board
Downloads 0 (235,451)

Abstract:

market microstructure, transactions data, market frictions, trade size, tick size, order shredding, clustering, TAQ data

20.

Market Microstructure Invariance: A Dynamic Equilibrium Model

Number of pages: 23 Posted: 19 Mar 2016
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 0 (169,378)

Abstract:

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

21.

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
Ulsan National Institute of Science and Technology, University of Maryland, Hanyang University and New Economic School (NES)
Downloads 0 (281,863)

Abstract:

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

22.

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 0 (70,967)

Abstract:

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

23.

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

Number of pages: 46 Posted: 22 Nov 2015 Last Revised: 19 Mar 2016
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, University of Maryland and New Economic School (NES)
Downloads 0 (84,320)

Abstract:

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

24.

Beliefs Aggregation and Return Predictability with Smooth Trading

Number of pages: 46 Posted: 06 Nov 2015
Albert S. Kyle, Anna A. Obizhaeva and Yajun Wang
University of Maryland, New Economic School (NES) and University of Maryland - Robert H. Smith School of Business
Downloads 0 (217,864)

Abstract:

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