Albert "Pete" Kyle will be honored with the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation for his research on market microstructure.
Kyle, the Charles E. Smith chair professor of finance at the University of Maryland's Robert H. Smith School of Business, is being recognized for his 1985 paper, "Continuous Auctions and Insider Trading," which was published in the journal Econometrica.
The paper provided a model of informed trading and has been used both in academic research as well as practical applications, including the development of algorithmic trading strategies.
"Pete Kyle's research on market microstructure was groundbreaking in that it substantially enhanced understanding of the functioning of financial markets for academic researchers and financial practitioners," said Erika James, dean of the Wharton School, University of Pennsylvania, in a Sept. 15 news release announcing the award. "His work embodies Wharton's commitment to elevating the impact of scholarship that advances innovation in finance and the broader business community."
Kyle's research focus on market microstructure includes topics such as high-frequency trading, informed speculative trading, liquidity measurement, the informational content of prices, price manipulation and strategic trading.
The news release also notes that Kyle "contributed to the development of more sophisticated trading strategies, risk management techniques, and market regulations that have helped to promote more efficient and transparent financial markets."
The award will be presented on Sept. 22 in New York during the fall conference of the Wharton School's Jacobs Levy Equity Management Center for Quantitative Financial Research.
