Albert S. Kyle : Citation Profile

University of Maryland

7

H index

7

i10 index

4671

Citations

RESEARCH PRODUCTION:

8

Articles

4

Papers

RESEARCH ACTIVITY:

   38 years (1985 - 2023). See details.
   Cites by year: 122
   Journals where Albert S. Kyle has often published
   Relations with other researchers
   Recent citing documents: 390.    Total self citations: 1 (0.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pky6
   Updated: 2026-05-02    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Albert S. Kyle.

Is cited by:

Subrahmanyam, Avanidhar (47)

Daher, Wassim (24)

Cespa, Giovanni (22)

Bernhardt, Dan (20)

Vives, Xavier (19)

Lyons, Richard (19)

Hirshleifer, David (19)

Evans, Martin (17)

Sarkar, Asani (17)

Gorton, Gary (16)

Weber, Martin (16)

Cites to:

Thaler, Richard (3)

Mayer, Christopher (3)

Genesove, David (3)

Brunnermeier, Markus (2)

Kahneman, Daniel (2)

Grinblatt, Mark (2)

Foster, Frederick (2)

Viswanathan, S (2)

Christie, William (2)

Weber, Martin (2)

Pagano, Marco (1)

Main data

Where Albert S. Kyle has published?

Journals with more than one article published# docs
American Economic Review2
Journal of Finance2

Recent works citing Albert S. Kyle (2025 and 2024)

YearTitle of citing document
2024The Model of Health Portfolio Intelligence PI-Prognosis Intelligence. (2024). Loukeris, N. In: Biomedical Journal of Scientific & Technical Research. RePEc:abf:journl:v:57:y:2024:i:4:p:49409-49416.

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2025From Glosten-Milgrom to the whole limit order book and applications to financial regulation. (2025). Huang, Weibing ; Saliba, Pamela ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1902.10743.

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2024Pump and Dumps in the Bitcoin Era: Real Time Detection of Cryptocurrency Market Manipulations. (2024). la Morgia, Massimo ; Stefa, Julinda ; Sassi, Francesco ; Mei, Alessandro. In: Papers. RePEc:arx:papers:2005.06610.

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2025Path-dependent Kyle equilibrium model. (2022). Jos'e M. Corcuera, ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2006.06395.

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2024Optimal stopping of Gauss-Markov bridges. (2024). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

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2026Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives. (2025). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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2024Many learning agents interacting with an agent-based market model. (2024). Gebbie, Tim ; Dicks, Matthew ; Paskaramoothy, Andrew. In: Papers. RePEc:arx:papers:2303.07393.

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2024The Elasticity of Quantitative Investment. (2024). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2024The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper. (2024). Xu, Ziyi ; Cheng, Xue. In: Papers. RePEc:arx:papers:2304.13985.

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2024Optimal execution and speculation with trade signals. (2024). Bank, Peter ; Korber, Laura ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2306.00621.

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2024Blockchain scaling and liquidity concentration on decentralized exchanges. (2024). Klein, Olga ; Caparros, Basile ; Chaudhary, Amit. In: Papers. RePEc:arx:papers:2306.17742.

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2024An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2024). Cao, YI ; Polukarov, Maria ; Li, Haochen ; Ventre, Carmine. In: Papers. RePEc:arx:papers:2308.14235.

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2025Automated Market Makers in Cryptoeconomic Systems: A Taxonomy and Archetypes. (2025). Lamberty, Ricky ; Kannengiesser, Niclas ; Kirste, Daniel ; Sunyaev, Ali. In: Papers. RePEc:arx:papers:2309.12818.

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2024Relative entropy-regularized robust optimal order execution. (2024). Wang, Tai-Ho. In: Papers. RePEc:arx:papers:2311.06476.

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2024Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications. (2024). Wang, Zhipeng ; Xiong, Xihan ; Knottenbelt, William ; Cui, Tianxiang ; Huth, Michael. In: Papers. RePEc:arx:papers:2311.17715.

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2024Insider trading in discrete time Kyle games. (2024). Kuhn, Christoph ; Lorenz, Christopher. In: Papers. RePEc:arx:papers:2312.00904.

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2026Detecting Toxic Flow. (2023). , Leandro ; Duran-Martin, Gerardo ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2312.05827.

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2024Exploring the Impact: How Decentralized Exchange Designs Shape Traders Behavior on Perpetual Future Contracts. (2024). Nie, Zixin ; Ma, Mengzhong ; Chen, Erdong. In: Papers. RePEc:arx:papers:2402.03953.

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2024The Price of Information. (2024). Shi, Xiaofei ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2402.11864.

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2024Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders. (2024). Xu, Ziyi ; Cheng, Xue. In: Papers. RePEc:arx:papers:2403.08202.

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2024The social value of overreaction to information. (2024). Bizzarri, Matteo ; D'Arienzo, Daniele. In: Papers. RePEc:arx:papers:2403.08532.

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2024Deep Limit Order Book Forecasting. (2024). Bartolucci, Silvia ; Aste, Tomaso ; Briola, Antonio. In: Papers. RePEc:arx:papers:2403.09267.

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2024Identification of Information Structures in Bayesian Games. (2024). Miyashita, Masaki. In: Papers. RePEc:arx:papers:2403.11333.

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2025A Theory of Investors Disclosure. (2025). Gao, Pingyang ; Lu, Jinzhi. In: Papers. RePEc:arx:papers:2404.07630.

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2025Strategic Informed Trading and the Value of Private Information. (2025). Robertson, Scott ; Anthropelos, Michail. In: Papers. RePEc:arx:papers:2404.08757.

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2024Trade execution games in a Markovian environment. (2024). Ohnishi, Masamitsu ; Shimoshimizu, Makoto. In: Papers. RePEc:arx:papers:2405.07184.

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2024Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs. (2024). Anthropelos, Michail ; Stefanakis, Constantinos. In: Papers. RePEc:arx:papers:2405.14418.

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2024Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost. (2024). Eisler, Zoltan ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:2405.18936.

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2024The test of investors behavioral bias through the price discovery process in cryptoasset exchange Transactional-level evidence from Thailand. (2024). Nakavachara, Voraprapa ; Amonthumniyom, Thitiphong ; Ratanabanchuen, Roongkiat ; Parinyavuttichai, Pongsathon ; Vinaibodee, Polpatt ; Saengchote, Kanis. In: Papers. RePEc:arx:papers:2406.02878.

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2024An Algebraic Framework for the Modeling of Limit Order Books. (2024). Bleher, Michael. In: Papers. RePEc:arx:papers:2406.04969.

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2025Information Aggregation with Costly Information Acquisition. (2024). Mikhalishchev, Sergei ; Galanis, Spyros. In: Papers. RePEc:arx:papers:2406.07186.

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2024Unwinding Toxic Flow with Partial Information. (2024). Boyce, Robert ; Neuman, Eyal ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2407.04510.

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2024The Self-Organized Criticality Paradigm in Economics & Finance. (2024). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2407.10284.

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2025Nash Equilibrium between Brokers and Traders. (2024). Jaimungal, Sebastian ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2407.10561.

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2025Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions. (2024). Gang, Tae Ung ; Choi, Jinhyuk. In: Papers. RePEc:arx:papers:2407.13547.

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2024Automated Market Making and Decentralized Finance. (2024). Monga, Marcello. In: Papers. RePEc:arx:papers:2407.16885.

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2024Reinforcement Learning in High-frequency Market Making. (2024). Ding, Zihan ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.21025.

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2024The indifference value of the weak information. (2024). Mostovyi, Oleksii ; Baudoin, Fabrice. In: Papers. RePEc:arx:papers:2408.02137.

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2024Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets. (2024). Ramdas, Tejas ; Wells, Martin T. In: Papers. RePEc:arx:papers:2409.05192.

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2024How Wash Traders Exploit Market Conditions in Cryptocurrency Markets. (2024). Ng, Hunter. In: Papers. RePEc:arx:papers:2411.08720.

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2025The Value of Information from Sell-side Analysts. (2024). Lv, Linying. In: Papers. RePEc:arx:papers:2411.13813.

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2025Broker-Trader Partial Information Nash-Equilibria. (2025). Wu, Xuchen ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2412.17712.

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2025Market Making with Fads, Informed, and Uninformed Traders. (2025). , Leandro ; Mathieu, Adrien ; Barucci, Emilio. In: Papers. RePEc:arx:papers:2501.03658.

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2025Automated Market Makers: Toward More Profitable Liquidity Provisioning Strategies. (2025). Sunyaev, Ali ; Kannengiesser, Niclas ; Kirste, Daniel ; Drossos, Thanos. In: Papers. RePEc:arx:papers:2501.07828.

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2025Solvability of the Gaussian Kyle model with imperfect information and risk aversion. (2025). Noh, Eunjung ; Ekren, Ibrahim ; Chhaibi, Reda. In: Papers. RePEc:arx:papers:2501.16488.

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2025Why is the estimation of metaorder impact with public market data so challenging?. (2025). Lillo, Fabrizio ; Rodikov, German ; Campigli, Francesco ; Bormetti, Giacomo ; Naviglio, Manuel. In: Papers. RePEc:arx:papers:2501.17096.

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2025Reinforcement-Learning Portfolio Allocation with Dynamic Embedding of Market Information. (2025). Zheng, Zeyu ; Zhou, Chunyang ; Hua, Cheng. In: Papers. RePEc:arx:papers:2501.17992.

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2025The double square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data. (2025). Bouchaud, Jean-Philippe ; Kanazawa, Kiyoshi ; Loeper, Gr'Egoire ; Maitrier, Guillaume. In: Papers. RePEc:arx:papers:2502.16246.

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2025Modeling metaorder impact with a Non-Markovian Zero Intelligence model. (2025). Ravagnani, Adele ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2503.05254.

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2025Liquidity Competition Between Brokers and an Informed Trader. (2025). Li, ZI ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2503.08287.

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2025A Simple Strategy to Deal with Toxic Flow. (2025). , Leandro ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2503.18005.

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2025Generating realistic metaorders from public data. (2025). Bouchaud, Jean-Philippe ; Loeper, Gr'Egoire ; Maitrier, Guillaume. In: Papers. RePEc:arx:papers:2503.18199.

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2025Agent-based Liquidity Risk Modelling for Financial Markets. (2025). Stillman, Namid ; Baggott, Rory ; Vytelingum, Perukrishnen ; Zhang, Jianfei ; Chen, Tao ; Zhu, Dingqiu ; Lyon, Justin. In: Papers. RePEc:arx:papers:2505.15296.

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2026The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework. (2025). Bouchaud, Jean-Philippe ; Maitrier, Guillaume. In: Papers. RePEc:arx:papers:2506.07711.

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2025Optimal hedging of an informed broker facing many traders. (2025). Bergault, Philippe ; Cardaliaguet, Pierre ; Yan, Wenbin. In: Papers. RePEc:arx:papers:2506.08992.

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2025A New Approach for the Continuous Time Kyle-Back Strategic Insider Equilibrium Problem. (2025). Zhang, Jianfeng ; Qiao, Bixing. In: Papers. RePEc:arx:papers:2506.12281.

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2025Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets. (2025). Rola, Przemyslaw. In: Papers. RePEc:arx:papers:2507.09734.

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2025Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects. (2025). Takahashi, Makoto. In: Papers. RePEc:arx:papers:2508.06788.

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2025Enhanced fill probability estimates in institutional algorithmic bond trading using statistical learning algorithms with quantum computers. (2025). Intallura, Philip ; Yograj, Kavitha ; Hirai, Hirotoshi ; Shimada, Noriaki ; Fry, Daniel ; Rajan, Del ; Freeland, Joshua ; Quanz, Brian ; Cottrell, Austin ; Proissl, Manuel ; Ciceri, Axel ; Pemmaraju, Das ; Ohno, Kentaro ; Mitra, Abhijit ; Lee, Chee-Kong ; Kang, Hwajung. In: Papers. RePEc:arx:papers:2509.17715.

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2025FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.02986.

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2025Tail-Safe Hedging: Explainable Risk-Sensitive Reinforcement Learning with a White-Box CBF--QP Safety Layer in Arbitrage-Free Markets. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04555.

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2025Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04569.

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2025A Risk Mitigation Model of Monetary Ecosystem with Stablecoins. (2025). R. S. M. Lau, ; Wen, Hongzhe. In: Papers. RePEc:arx:papers:2510.10469.

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2026Toward Black Scholes for Prediction Markets: A Unified Kernel and Market Makers Handbook. (2025). Dalen, Shaw. In: Papers. RePEc:arx:papers:2510.15205.

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2025Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.15937.

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2025The Omniscient, yet Lazy, Investor. (2025). , Stanislaw. In: Papers. RePEc:arx:papers:2510.24467.

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2025TEE-BFT: Pricing the Security of Data Center Execution Assurance. (2025). Zhou, Linfeng ; Shamis, Alex ; Stephenson, Matt. In: Papers. RePEc:arx:papers:2510.26091.

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2025ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book. (2025). Cheridito, Patrick ; Wu, Zhexin ; Dupret, Jean-Loup. In: Papers. RePEc:arx:papers:2511.02016.

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2025An extreme Gradient Boosting (XGBoost) Trees approach to Detect and Identify Unlawful Insider Trading (UIT) Transactions. (2025). Griva, Igor ; Neupane, Krishna. In: Papers. RePEc:arx:papers:2511.08306.

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2026The disclosure of information about the range of asset value in market. (2025). Su, Jianhao ; Zhang, Yanliang. In: Papers. RePEc:arx:papers:2511.11405.

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2026Autodeleveraging: Impossibilities and Optimization. (2026). Chitra, Tarun. In: Papers. RePEc:arx:papers:2512.01112.

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2025A Stochastic Thermodynamics Approach to Price Impact and Round-Trip Arbitrage: Theory and Empirical Implications. (2025). Jha, Amit Kumar. In: Papers. RePEc:arx:papers:2512.03123.

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2025Risk aversion of insider and dynamic asymmetric information. (2025). Lizhdvoy, Valentin ; Danilova, Albina. In: Papers. RePEc:arx:papers:2512.05011.

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2025Interpretable Hypothesis-Driven Trading:A Rigorous Walk-Forward Validation Framework for Market Microstructure Signals. (2025). Lamptey, William ; Deep, Gagan. In: Papers. RePEc:arx:papers:2512.12924.

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2025Hidden Order in Trades Predicts the Size of Price Moves. (2025). Singha, Mainak. In: Papers. RePEc:arx:papers:2512.15720.

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2026Optimal Signal Extraction from Order Flow: A Matched Filter Perspective on Normalization and Market Microstructure. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2512.18648.

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2026When the Rules Change: Adaptive Signal Extraction via Kalman Filtering and Markov-Switching Regimes. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2601.05716.

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2026DeePM: Regime-Robust Deep Learning for Systematic Macro Portfolio Management. (2026). Roberts, Stephen J ; Zohren, Stefan ; Wood, Kieran. In: Papers. RePEc:arx:papers:2601.05975.

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2026The Limits of Complexity: Why Feature Engineering Beats Deep Learning in Investor Flow Prediction. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2601.07131.

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2026Feasibility-First Satellite Integration in Robust Portfolio Architectures. (2026). Garrone, Roberto. In: Papers. RePEc:arx:papers:2601.08721.

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2026Warp speed price moves: Jumps after earnings announcements. (2026). Veliyev, Bezirgen ; Christensen, Kim ; Timmermann, Allan. In: Papers. RePEc:arx:papers:2601.08962.

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2026A continuous-time Kyle model with price-responsive traders. (2026). Noh, Eunjung. In: Papers. RePEc:arx:papers:2601.09872.

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2026The Physics of Price Discovery: Deconvolving Information, Volatility, and the Critical Breakdown of Signal during Retail Herding. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2601.11602.

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2026An Explainable Market Integrity Monitoring System with Multi-Source Attention Signals and Transparent Scoring. (2026). Neela, Sandeep. In: Papers. RePEc:arx:papers:2601.15304.

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2026Learning Market Making with Closing Auctions. (2026). Mastrolia, Thibaut ; Graf, Julius. In: Papers. RePEc:arx:papers:2601.17247.

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2026Stablecoin Design with Adversarial-Robust Multi-Agent Systems via Trust-Weighted Signal Aggregation. (2026). Nabrzyski, Jarek ; Kuehlkamp, Andrey ; Joshi, Aditya ; You, Shengwei. In: Papers. RePEc:arx:papers:2601.22168.

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2026Explainable Patterns in Cryptocurrency Microstructure. (2026). Ślepaczuk, Robert ; Bieganowski, Bartosz. In: Papers. RePEc:arx:papers:2602.00776.

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2026Detecting and Explaining Unlawful Insider Trading: A Shapley Value and Causal Forest Approach to Identifying Key Drivers and Causal Relationships. (2026). Kinser, Jason ; Kennedy, William ; Axtell, Robert ; Griva, Igor ; Neupane, Krishna. In: Papers. RePEc:arx:papers:2602.19841.

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2026An Infinite-Dimensional Insider Trading Game. (2026). Tseng, Michael C ; Keller, Christian. In: Papers. RePEc:arx:papers:2602.21125.

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2026The Anatomy of Polymarket: Evidence from the 2024 Presidential Election. (2026). Yang, Zichao ; Tsang, Kwok Ping. In: Papers. RePEc:arx:papers:2603.03136.

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2026Political Shocks and Price Discovery in Prediction Markets: Evidence from the 2024 U.S. Presidential Election. (2026). Yang, Zichao ; Tsang, Kwok Ping. In: Papers. RePEc:arx:papers:2603.03152.

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2026Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges. (2026). Sepper, Otar. In: Papers. RePEc:arx:papers:2603.09164.

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2026A Double Categorical Framework for Multi-Stage Portfolio Construction and Alignment. (2026). Phoa, Wesley. In: Papers. RePEc:arx:papers:2603.12301.

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2026Information Propagation Across Investor Types: Transfer Entropy Networks in the Korean Equity Market. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2603.20271.

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2026AI Token Futures Market: Commoditization of Compute and Derivatives Contract Design. (2026). Xing, Yicai. In: Papers. RePEc:arx:papers:2603.21690.

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2026Flexible Information Acquisition in the Kyle Model. (2026). Xing, Hao ; Viswanathan, S. In: Papers. RePEc:arx:papers:2603.21842.

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2026Common Risk Factors in Decentralized AI Subnets. (2026). Maymin, Philip Z. In: Papers. RePEc:arx:papers:2603.29751.

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2026Artificial Intelligence and Systemic Risk: A Unified Model of Performative Prediction, Algorithmic Herding, and Cognitive Dependency in Financial Markets. (2026). Chen, Xupeng ; Meng, Shuchen. In: Papers. RePEc:arx:papers:2604.03272.

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2026What Happens When Institutional Liquidity Enters Prediction Markets: Identification, Measurement, and a Synthetic Proof of Concept. (2026). Dalen, Shaw. In: Papers. RePEc:arx:papers:2604.10005.

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2026Mandatory Disclosure in Oligopolistic Market Making. (2026). Choi, Jin Hyuk ; Kim, Seongjin. In: Papers. RePEc:arx:papers:2604.10194.

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More than 100 citations found, this list is not complete...

Works by Albert S. Kyle:

YearTitleTypeCited
1985The Use of Protection and Subsidies for Entry Promotion and Deterrence. In: American Economic Review.
[Full Text][Citation analysis]		article71
2008How to Define Illegal Price Manipulation In: American Economic Review.
[Full Text][Citation analysis]		article59
1985 The Pricing of Oil and Gas: Some Further Results: Discussion. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1997 Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test? In: Journal of Finance.
[Full Text][Citation analysis]		article200
1989Equilibrium Investment in an Industry with Moderate Investment Economies of Scale. In: Economic Journal.
[Full Text][Citation analysis]		article0
1985Continuous Auctions and Insider Trading. In: Econometrica.
[Full Text][Citation analysis]		article3952
2006Prospect theory and liquidation decisions In: Journal of Economic Theory.
[Full Text][Citation analysis]		article38
2016Microstructure Invariance in U.S. Stock Market Trades In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper1
1988SMART MONEY, NOISE TRADING AND STOCK PRICE BEHAVIOR In: Princeton, Department of Economics - Financial Research Center.
[Citation analysis]		paper241
1988Smart Money, Noise Trading and Stock Price Behavior.(1988) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 241		paper
2023Flow Trading In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1991Noise Trading and Takeovers In: RAND Journal of Economics.
[Full Text][Citation analysis]		article109

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