Research co-authored by Albert S. “Pete” Kyle, the Charles E. Smith Chair Professor of Finance at the University of Maryland’s Robert H. Smith School of Business, won a Special Distinction Award as part of the 2018 Harry M. Markowitz Awards from the Journal of Investment Management and New Frontier Advisors.
The awards recognize research that puts novel investment theories into practice, either through new asset management strategies or thorough analysis of investor behavior and its implications for optimal market structure. Kyle’s research was one of only three papers recognized by the selection panel of Nobel Prize winners Harry M. Markowitz, Robert C. Merton, Myron S. Scholes and William F. Sharpe.
Kyle’s research, “Automation, Intermediation and the Flash Crash,” was co-authored by Andrei Kirilenko of London’s Imperial College Business School, Mehrdad Samadi of SMU Cox School of Business, and Tugkan Tuzun, economist at the Federal Reserve Board. The paper examines the Flash Crash of May 6, 2010, discusses the evolution of trading from human to electronic environments, and calls for new market designs.
The 2018 awards will be presented at the Spring JOIM Conference on May 14-15, 2019 in New York City.
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