Market Microstructure Invariants and Stock Market Crashes

Pete Kyle, University of Maryland

Some stock market? crashes occur due to significant imbalances between supply and demand. However, conventional models fail to explain the large magnitude of price declines. In this lecture, Pete Kyle proposes a unified structural framework to explain crashes, based on market microstructure invariance.

Instabilities in Financial Markets | Symposium for the 202nd Anniversary of the Founding Decree of the Scuola Normale Superiore | October 18, 2012 | Sala Azzurra