Albert S. Kyle

University of Maryland

Smith Chair Professor of Finance

College Park

College Park, MD 20742

United States

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 832

SSRN RANKINGS

Top 832

in Total Papers Downloads

28,278

CITATIONS
Rank 1,642

SSRN RANKINGS

Top 1,642

in Total Papers Citations

443

Scholarly Papers (29)

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
University of Cambridge - Finance, University of Maryland, Southern Methodist University (SMU) - Finance Department and Federal Reserve Board
Downloads 17,094 (157)
Citation 173

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

2.

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 1,048 (20,023)
Citation 17

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

3.

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 898 (25,200)
Citation 5

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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 558 (47,378)
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 190 (158,287)
Citation 1

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

5.

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
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, University of Maryland and New Economic School (NES)
Downloads 617 (42,028)
Citation 16

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

6.

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 616 (42,122)
Citation 5

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Market Microstructure, Smooth Trading, Auction Design, Market Design

7.

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 615 (42,216)
Citation 8

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8.

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 614 (42,306)
Citation 7

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

9.

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 598 (43,834)
Citation 8

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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 490 (55,872)
Citation 6

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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

Market Microstructure Invariance: A Dynamic Equilibrium Model

Number of pages: 46 Posted: 12 Feb 2019
Albert S. Kyle and Anna A. Obizhaeva
University of Maryland and New Economic School (NES)
Downloads 91 (282,556)
Citation 3

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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

11.

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 554 (48,391)
Citation 8

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

12.

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 511 (53,588)
Citation 9

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13.

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 427 (66,910)
Citation 9

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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

14.

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 Federal Reserve Board
Downloads 324 (92,160)
Citation 5

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trading activity, trade size, trade frequency

15.

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 307 (97,770)
Citation 10

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Portfolio Delegation, Information Acquisition, Strategic Trading, Price Informativeness

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 299 (100,092)
Citation 2

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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

17.

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 296 (101,746)
Citation 1

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

18.

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 296 (101,746)
Citation 2

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

19.

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 290 (104,048)
Citation 5

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

20.

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 235 (129,417)

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

21.

Beliefs Aggregation and Return Predictability

Number of pages: 69 Posted: 06 Nov 2015 Last Revised: 03 Apr 2018
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 231 (131,606)
Citation 1

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

22.

Smart Money, Noise Trading and Stock Price Behavior

NBER Working Paper No. t0071
Number of pages: 79 Posted: 04 Jul 2004 Last Revised: 13 Sep 2010
John Y. Campbell and Albert S. Kyle
Harvard University - Department of Economics and University of Maryland
Downloads 173 (172,277)
Citation 4

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23.

Automation, Intermediation and the Flash Crash

Journal of Investment Management, Forthcoming
Number of pages: 22 Posted: 17 Feb 2018
University of Cambridge - Finance, University of Maryland, Southern Methodist University (SMU) - Finance Department and Federal Reserve Board
Downloads 160 (184,236)
Citation 1

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

24.

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 160 (184,236)
Citation 5

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

25.

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 139 (206,886)

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

26.

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 120 (231,896)
Citation 6

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

27.

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 117 (236,291)
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

28.

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 107 (251,827)

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29.

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 103 (258,576)
Citation 2

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