Wharton-Jacobs Levy Prize to Honor Kyle for Market Microstructure at September Conference

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PHILADELPHIA, September 15, 2023—The 2023 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation will be awarded to Albert S. “Pete” Kyle at a conference hosted by the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School of the University of Pennsylvania. The event will be held Friday, September 22 in New York.

Kyle will receive the Wharton-Jacobs Levy Prize for his research on market microstructure, based on his 1985 Econometrica paper, “Continuous Auctions and Insider Trading.” The paper’s model of informed trading has been widely used in both academic research and practical applications, such as 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. “His work embodies Wharton’s commitment to elevating the impact of scholarship that advances innovation in finance and the broader business community.”

Kyle is the Charles E. Smith Chair Professor of Finance at the University of Maryland’s Robert H. Smith School of Business. His 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.

In addition to the Prize ceremony, the conference program will feature paper presentations and a panel discussion on advances in market microstructure. Speakers include Itay Goldstein of Wharton, Larry Harris of USC, and Chester Spatt of Carnegie Mellon University.

“Throughout the program, we will delve into the lasting impact of Pete Kyle’s work on academic research and financial practice,” said Chris Geczy, adjunct professor of finance and co-academic director of the Jacobs Levy Center.

“His 1985 paper significantly expanded comprehension of the role of market makers in financial markets,” added Craig MacKinlay, Joseph P. Wargrove Professor of Finance and co-academic director of the Jacobs Levy Center.

Kyle’s research 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.

A committee of academics and financial practitioners selected Kyle to receive the Wharton-Jacobs Levy Prize, an $80,000 award. The Prize is endowed with a $2 million gift from Bruce I. Jacobs, PhD, G’79, GrW’86 and Kenneth N. Levy WG’76, G’82, principals and co-founders of Jacobs Levy Equity Management. It is given biennially to recognize excellence in quantitative research that has contributed to a particular innovation in the practice of finance.

“Pete’s work shed new light on the difficult question of how the cost of trading is affected by the dynamics of the trade itself,” said Bruce Jacobs, who served as chair of the selection committee. “His insights have provided enormous practical benefits for market participants who are trying to improve the efficiency of their own trading.”

The conference and Wharton-Jacobs Levy Prize ceremony will be held at the New York Marriott Marquis. Sponsors include Jacobs Levy Equity Management and Portfolio Management Research. For the full agenda, visit: https://bit.ly/JLC2023Agenda.

About the Jacobs Levy Center
Led by Professors Chris Geczy, PhD, C’90 and Craig MacKinlay, PhD and established through the vision and generosity of Bruce Jacobs, PhD, G’79, GRW’86 and Ken Levy, WG’76, G’82, the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School of the University of Pennsylvania is dedicated to the advancement of quantitative finance, at the intersection of theory and practice, through the creation and dissemination of innovative knowledge.

About Finance at Wharton
Finance at Wharton includes centers and initiatives at the Wharton School that conduct research and disseminate cutting-edge work in investment management, private equity, hedge funds, venture capital, quantitative finance, and fintech. Led by Senior Vice Dean of Research, Centers, and Academic Initiatives Joao Gomes, Finance at Wharton bridges theory and practice by engaging with students, faculty, and industry leaders, with a focus on preparing the next generation of top financial scholars and practitioners. For more information, visit www.wharton.upenn.edu/the-wharton-way/elevate/finance-pillar.

About the Wharton School
Founded in 1881 as the world’s first collegiate business school, the Wharton School of the University of Pennsylvania is shaping the future of business by incubating ideas, driving insights, and creating leaders who change the world. With a faculty of more than 235 renowned professors, Wharton has 5,000 undergraduateMBAexecutive MBA, and doctoral students. Each year 100,000 professionals from around the world advance their careers through Wharton Executive Education’s individual, company-customized, and online programs, and thousands of pre-collegiate students explore business concepts through Wharton’s Global Youth Program. More than 105,000 Wharton alumni form a powerful global network of leaders who transform business every day. For more information, visit www.wharton.upenn.edu.