第41回研究会

開催日：

2025年7月29日（火）16:00～17:00

会場：

丸の内永楽ビルディング18階 東京都立大学 丸の内サテライトキャンパス
〒100-0005 東京都千代田区丸の内1-4-1　(Zoomでも同時配信します)

講師：

Albert S. (Pete) Kyle氏（Charles E. Smith Chair Professor of Finance, Robert H. Smith School of Business, University of Maryland）

タイトル：

Market Microstructure Invariance: A Meta-Model Approach

概要Overview

Theoretical predictions about liquidity are hard to test empirically because they are usually expressed in terms of hard-to-observe quantities such as precision of private information or amount of noise trading. We derive model-independent log-linear predictions using a meta-model. They relate liquidity measures to observable volume and volatility, pinning down log-linear exponents common for models with different assumptions. These predictions are economically close to empirical relationships in Trade and Quote database. Our approach not only helps to unify existing theoretical models but also makes their predictions by emphasizing a deep connection between concepts of adverse selection, liquidity, and time.

講師ご略歴Profile for the Speaker

Professor Albert S. (Pete) Kyle has been the Charles E. Smith Chair Professor of Finance at the University of Maryland’s Robert H. Smith School of Business since 2006.  He earned his B.S. degree in mathematics from Davidson College (summa cum laude, 1974), studied philosophy and economics at Oxford University as a Rhodes Scholar from Texas (1974-1977), and completed his Ph.D. in economics at the University of Chicago in 1981.  He has been a professor at Princeton University (1981-1987), the University of California Berkeley (1987-1992), and Duke University (1992-2006).
Professor Kyle’s research focuses on market microstructure, including topics such as informed speculative trading, strategic trading, liquidity measurement, the informational content of prices, high frequency trading, price manipulation, and contagion. His current research focusses on market microstructure invariance, smooth trading, and flow trading.
His teaching interests include market microstructure, institutional asset management, and asset pricing.
He is the 2018 recipient of The CME Group–MSRI Prize in Innovative Quantitative Applications, a fellow of the American Finance Association (2014), and a fellow of the Econometric Society (since 2002). He holds honorary doctoral degrees from the Stockholm School of Economics (2013) and was an invited speaker at the Nobel Symposium (2018). He has been a board member of the American Finance Association (2004-2006), a staff member of the Presidential Task Force on Market Mechanisms (Brady Commission, 1987), a consultant to the SEC’s Office of Inspector General, a member of NASDAQ’s economic advisory board (2005-2007), a member of the FINRA economic advisory committee (2010 to 2023), and a member of the CFTC’s Technology Advisory Committee (2010-2011).

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