Working Papers


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.


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.


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


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


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