CME Group, the world's leading and most diverse derivatives marketplace, and the Mathematical Sciences Research Institute (MSRI) announced its eleventh Innovative Quantitative Applications Prize recipient. Albert Kyle, Charles E. Smith Chair Professor of Finance at the University of Maryland is the 2018 CME Group-MSRI Prize winner for his work in market microstructure. A ceremony honoring Kyle will take place at the Chicago Cultural Center on Monday, April 8, at 9:30 a.m. CT.
Past CME Group-MSRI Prize winners have included distinguished luminaries in economics and mathematics. Five out of 11 of these past recipients have gone on to receive the Nobel Prize in Economic Sciences. A complete list of past recipients is available at msri.org.
The CME Group-MSRI Prize recognizes individuals who contribute original concepts in mathematical, statistical or computational methods for the study of the markets' behavior and global economics. Kyle has done extensive research on this year's panel topic. He is best known for his work on market microstructure, including topics such as high frequency trading, informed speculative trading, market manipulation, price volatility, the informational content of market prices, market liquidity and contagion.
"I am honored to join the distinguished roster of CME Group-MSRI Prize winners," said Kyle. "I have spent my academic lifetime building quantitative, game-theoretic models of speculative trading which try to capture how asset managers process information and trade on it. It is fitting that this work would be recognized by a global marketplace like CME Group."
Kyle is a Fellow of the American Finance Association in (2013) and a Fellow of the Econometric Society (2002). He has been a board member of the American Finance Association (2004-2006). He holds an honorary doctoral degree from the Stockholm School of Economics (2013). He was a staff member of the Presidential Task Force on Market Mechanisms (Brady Commission, 1987), a consultant to the SEC (Office of Inspector General), CFTC, and U.S. Department of Justice, a member of NASDAQ's economic advisory board (2004-2007), a member of the FINRA economic advisory board (2010-2014) and a member of the CFTC's Technology Advisory Committee (2010-2012).
"We applaud the selection of Professor Albert Kyle for this prestigious award," said Leo Melamed, Chairman Emeritus of CME Group and founder of the CME Group-MSRI Prize in Innovative Quantitative Applications. "His pioneering work in market microstructure has made a significant impact on our industry, and on the field of economics."
"These days, markets function at high speed, and algorithmic trading is common. Trying to understand or improve these processes without mathematics would be unthinkable," said David Eisenbud, Director of MSRI and Professor of Mathematics at the University of California, Berkeley. "Albert Kyle's work on mathematical models of such problems captures their essential elements without losing their richness."
The panel discussion, which will focus on topics related to equity market design, will precede the award ceremony. Several distinguished economists and academics will be participating in the panel, including:
- Jose Scheinkman, Charles and Lynn Zhang Professor of Economics, Columbia University and 2014 CME-MSRI Prize Recipient
- Eric Budish, Professor of Economics, University of Chicago Booth School of Business
- Anna Obizhaeva, Professor of Economics, New Economic School
- S. Viswanathan, F. M. Kirby Professor of Investment Banking, Duke University
Members of the media can attend the award ceremony where CME Group will present Kyle with the CME Group-MSRI Prize medal and $50,000 cash award. Email Liz Mannebach at liz.mannebach@cmegroup.com for more information and to register.
The CME Center for Innovation's mission is to identify, foster and showcase examples of significant innovation and creative thinking pertaining to markets, commerce or trade in the public and private sectors. For more information on the CME Center for Innovation, visit http://www.cmegroup.com/company/center-for-innovation/.
