Publications

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.PDF icon Chapter 4: How to Implement Contingent Capital.pdf
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.PDF icon Trading Halts and Price Limits.pdf
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.

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