Working Papers

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