Albert “Pete” Kyle Directory Page

Albert “Pete” Kyle

Albert “Pete” Kyle

Distinguished University Professor

Charles E. Smith Chair in Finance

PhD in Economics, University of Chicago

Contact

4433 Van Munching Hall

Albert S. (Pete) Kyle has been the Charles E. Smith Chair Professor of Finance at the University of Maryland’s Robert H. Smith School of Business since 2006. He earned his B.S. degree in mathematics from Davidson College (summa cum laude, 1974), studied philosophy and economics at Oxford University as a Rhodes Scholar from Texas (Merton College, 1974-1976, and Nuffiled College, 1976-1977), and completed his Ph.D. in economics at the University of Chicago in 1981. He has been a professor at Princeton University (1981-1987), the University of California Berkeley (1987-1992), and Duke University (1992-2006).

Kyle’s research focuses on market microstructure, including topics such as high frequency trading, informed speculative trading, market manipulation, price volatility, the informational content of market prices, market liquidity, and contagion.

His teaching interests include market microstructure, institutional asset management, venture capital and private equity, corporate finance, option pricing, and asset pricing. 

He is a Fellow of the American Finance Association in (2013) and a Fellow of the Econometric Society (2002). He has been a board member of the American Finance Association (2004-2006). He holds an honorary doctoral degree from the Stockholm School of Economics (2013). He was a staff member of the Presidential Task Force on Market Mechanisms (Brady Commission, 1987), a consultant to the SEC (Office of Inspector General), CFTC, and U.S. Department of Justice, a member of NASDAQ’s economic advisory board (2004-2007), a member of the FINRA economic advisory board (2010-2014), and a member of the CFTC’s Technology Advisory Committee (2010-2012).

News

Smith’s Pete Kyle Selected for Prestigious Wharton-Jacobs Levy Prize
Albert “Pete” Kyle to be honored with the prestigious Wharton-Jacobs Levy Prize for his influential 1985 Econometrica paper on market…
Read News Story : Smith’s Pete Kyle Selected for Prestigious Wharton-Jacobs Levy Prize
Making It Everyone’s Business

How Maryland Smith Is Collaborating to Bring Business to More Students

Read News Story : Making It Everyone’s Business
2019 Summer Reading List

SMITH BRAIN TRUST – The University of Maryland’s Robert H. Smith School of Business proudly presents its 16th annual Summer…

Read News Story : 2019 Summer Reading List

Research

Overconfident Investors Are Creating Momentum. Here’s How To Capitalize On It.

Research Finds Knowing When To Buy and Sell Means Looking for That Thrust

Read the article : Overconfident Investors Are Creating Momentum. Here’s How To Capitalize On It.

Insights

Smith Research Identifies Flaw in SEC Move to Help Investors in Retail Stock Trading Surge

Read the article : Smith Research Identifies Flaw in SEC Move to Help Investors in Retail Stock Trading Surge
Smith Experts React to Fed Recession Prediction

Read the article : Smith Experts React to Fed Recession Prediction
The Rise in Four-figure Car Loan Payments Could Mean a Recession Is Coming

Read the article : The Rise in Four-figure Car Loan Payments Could Mean a Recession Is Coming

In Press

Albert S. Kyle, Anna A. Obizhaeva, and Yajun Wang. In Press. “Smooth Trading with Overconfidence and Market Power.” The Review of Economic Studies.

Jungsuk Han and Albert S. Kyle. In Press. “Speculative Equilibrium with Differences in Higher Order Beliefs.” Management Science.

2017

Andrei Kirilenko, Albert S. Kyle, Mehrdad Samadi, and Tugkan Tuzun. 2017. “"The Flash Crash: High-Frequency Trading in an Electronic Market".” Journal of Finance, 3, 72: 967-998, June 2017.

Albert S. Kyle. 2017. “Chapter 4: How to Implement Contingent Capital.” In After the Flood: How the Great Recession Changed Economic Thought, 73-121. Chicago and London: University of Chicago Press.

2016

Albert S. Kyle, Anna A. Obizhaeva, and Mark Kritzman. 2016. “A Practitioner’s Guide to Market Microstruture Invariance.” Journal of Portfolio Management, 43: 43-53, Fall 2016.

Albert S. Kyle and Anna A. Obizhaeva. 2016. ““Market Microstructure Invariance: Empirical Hypotheses”.” Econometrica, 4, 86: 1345-1404.

2010

Darrell Duffie, Albert S. Kyle, and Chester S. Spatt. 2010. “Statement of the Financial Economists Roundtable Reforming the OTC Derivatives Markets.” Journal of Applied Corporate Finance, 3, 22: 40-47, Summer 2010.

2008

Albert S. Kyle and S. Viswanathan. 2008. “Price Manipulation In Financial Markets: How to Define Illegal Price Manipulation.” American Economic Review Papers and Proceedings, 98: 274-279, May 2008.

2006

Albert S. Kyle, Hui Ou-Yang, and Wei Xiong. 2006. “Prospect Theory and Liquidation Decisions.” Journal of Economic Theory , 1, 129: 273-288, July 2006.

2001

Albert S. Kyle and Wei Xiong. 2001. “Contagion as a Wealth Effect.” Journal of Finance, 4, 56: 1401–1440, Aug 2001.

1997

Albert S. Kyle and F. Albert Wang. 1997. “Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test?.” Journal of Finance , 5, 52: 2073–2090, Dec 1997.

1993

John Y. Campbell and Albert S. Kyle. 1993. “Smart Money, Noise Trading and Stock Price Behaviour.” The Review of Economic Studies, 60: 1-34, Jan 1993.

1991

Albert S. Kyle and Jean-Luc Vila. 1991. “Noise Trading and Takeovers.” The RAND Journal of Economics, 22: 54-71, Spring 1991.

1989

Peter R. Hartley and Albert S. Kyle. 1989. “Equilibrium Investment in an Industry with Moderate Investment Economies of Scale.” The Economic Journal, 99: 392-407, Jun 1989.

Albert S. Kyle. 1989. “Informed Speculation with Imperfect Competition.” The Review of Economic Studies , 566: 317-355, Jul 1989.

1988

Peter R. Hartley and Albert S. Kyle. 1988. “Real Interest Rates and Home Goods: A Two-Period Model.” Economic Record, 3, 64: 168-177, Sep 1988.

Albert S. Kyle. 1988. “Trading Halts and Price Limits.” The Review of Future Markets , 7, 1988.

Albert S. Kyle. 1988. “Improving the Performance of the Stock Market.” California Management Review, 4, 30: 90-114, 1 Jul, 1988.

1986

Avinash K. Dixit and Albert S. Kyle. 1986. “The Use of Protection and Subsidies for Entry Promotion and Deterrence.” The American Economic Review, 75: 139-152, Mar 1985.

1985

Albert S. Kyle. 1985. “Continuous Auctions and Insider Trading.” Econometrica, 53: 1315-1335, Nov 1985.

1984

Albert S. Kyle. 1984. “Market Structure, Information, Futures Markets, and Price Formation.” In International Agricultural Trade, 45-64. Colorado: Westview Press.

1984. “A Theory of Futures Market Manipulations.” In The Theory of Futures Markets, 272-303. Applied Economic Theory and Economics.

2017

Albert S. Kyle, and Anna A. Obizhaeva Market Microstructure Invariance: A Dynamic Equilibrium Model.

Albert S. Kyle, Anna A. Obizhaeva, and Yajun Wang. Belief Aggregation and Return Predictability.

Albert S. Kyle, and Anna A. Obizhaeva. Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance.

Albert S. Kyle, and Jeongmin Lee. Toward a Fully Continuous Exchange.

Jeongmin Lee, and Albert S. Kyle. Information and Competition with Symmetry.

2016

Albert S. Kyle, Anna A. Obizhaeva, and Tugkan Tuzun Microstructure Invariance in U.S Stock Market Trades.

Kyoung-hun Bae, Albert S. Kyle, Eun Jung Lee, and Anna A. Obizhaeva. An Invariance Relationship in the Number of Buy-Sell Switching Points.

Albert S. Kyle, and Anna A. Obizhaeva. Large Bets and Stock Market Crashes.

Albert S. Kyle, and Anna A. Obizhaeva. Trading Liquidity and Funding Liquidity in Fixed Income Markets: Implications of Market Microstructure Invariance.

2015

Torben G. Andersen, Oleg Bondarenko, Albert S. Kyle and Anna A. Obizhaeva Intraday Trading Invariance in the E-mini S&P 500 Futures Market.

2014

Jungsuk Han, Mariana Khapko, and Albert S. Kyle. Liquidity with High-Frequency Market Making.

2008

Albert S. Kyle. Cash Settlement, Price Manipulation, and the Modigliani-Miller Theorem

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