Smith’s Pete Kyle Selected for Prestigious Wharton-Jacobs Levy Prize

Albert “Pete” Kyle will receive the Wharton-Jacobs Levy Prize for his research on market microstructure, based on his 1985 Econometrica paper, “Continuous Auctions and Insider Trading.”

The paper’s model of informed trading "has been widely used in both academic research and practical applications, such as the development of algorithmic trading strategies,” according to the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School, which will present the award on Sept. 22, 2023, in New York to Kyle, Distinguished University Professor and Charles E. Smith Chair in Finance for the University of Maryland's Robert H. Smith School of Business.

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.

Also from Wharton’s announcement of the biennial award: “Pete’s work shed new light on the difficult question of how the cost of trading is affected by the dynamics of the trade itself,” said Bruce Jacobs, who served as chair of the selection committee. “His insights have provided enormous practical benefits for market participants who are trying to improve the efficiency of their own trading.”

Kyle’s seminal paper, nicknamed “Kyle 85” by Nobel laureates and others, previously led to him receiving the CME Group-MSRI Prize in Innovative Quantitative Applications in 2018 “for landmark contributions to the theory of economics and market structure.”

At the time, Kyle said: “My contribution was to say the price was not magic. It was the outcome of a game — like a game of Monopoly — except it’s a game of people submitting orders and moving the price around. And we should think of it as an industrial organization problem that can be addressed using game theory.”

Read more about Kyle in this recent faculty profile.