The 2023 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation was awarded to Albert S. “Pete” Kyle at a conference hosted by the Jacobs Levy Equity Management Center for Quantitative Financial Research of the Wharton School on September 22 in New York.

Dr. Kyle received 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.”

Dr. 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.

The conference program also featured paper presentations and a panel discussion on advances in market microstructure. The Wharton-Jacobs Levy Prize is an $80,000 award that is endowed with a $2 million gift from Bruce I. Jacobs, 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.