Anna A. Obizhaeva

Full Professor of Finance

Director, Masters in Finance programs

New Economic School (NES)

Moscow, Russia

Email: aobizhaeva (at) nes (dot) ru


Welcome to my personal website. I am Anna Obizhaeva, Full Professor of Finance at the New Economic School (NES) in Moscow. I am also Director of the Masters in Finance program, online-program Mini-MiF, and NES express business programs. Before joining the New Economic School, I have been an Assistant Professor of Finance at the University of Maryland in the United States from 2007 to 2014. I completed Ph.D. in Finance at the MIT Sloan School of Management in 2007 and earned my undergraduate degree in Applied Mathematics and Computer Science from Moscow State University in 2001.

My research focuses on financial stability and market microstructure, including topics of market liquidity, transaction costs, volume, volatility, price manipulation, and optimal execution. I published in top journals such as Econometrica, Review of Economic Studies, Journal of Finance, Review of Finance and others. My teaching interests include market microstructure, investments, asset management, and public policy issues in financial markets. I was awarded the prestigious Roger F. Murray Q-Group Prize (first place) for my work on market microstructure invariance.


Large Bets and Stock Market Crashes [pdf]
Albert S. Kyle and Anna A.Obizhaeva, Review of Finance, 2023, pages 1-41.

Beliefs Aggregation and Returns Predictability [pdf]
Albert S. Kyle, Anna A. Obizhaeva, and Yajun Wang, Journal of Finance, 2023, 78(1), pages 427-486.

The Russian Rouble Crisis of December 2014: Structure and Liquidity of a Foreign Exchange Market [pdf, pdf-RUS]
Anna A. Obizhaeva and Gennady Piftankin, Russian Journal of Money and Finance, 2023, 82(1), pages 104-136.

Microstructure Invariance in U.S. Stock Market Trades [pdf]
Albert S. Kyle, Anna A. Obizhaeva, and Tugkan Tuzun, Journal of Financial Markets, 2020(4), pages 1-36.

Smooth Trading with Overconfidence and Market Power [pdf]
Albert S. Kyle, Anna A. Obizhaeva, and Yajun Wang, Review of Economic Studies, 2017, 85(1), pages 611-662.

Market Microstructure Invariance: Empirical Hypotheses [pdf]
Albert S. Kyle and Anna A. Obizhaeva, Econometrica, 2016, 84(4), pages 1345-1404.

A Practitioner's Guide for Market Microstructure Invariance [pdf]
Albert S. Kyle, Mark Kritzman, and Anna A. Obizhaeva, Journal of Portfolio Management, 2016, 43(1), pages 43-53.

The Russian Ruble Crisis of December 2014 [pdf]
Anna A. Obizhaeva, Voprosy Ekonomiki , 2016(5) (in Russsian).

Optimal Trading Strategy and Supply/Demand Dynamics [pdf]
Anna Obizhaeva and Jiang Wang, Journal of Financial Markets, 2013, 16, pages 1-32.

Optimal Investment Decisions
Vladimir Morozov, Anna A. Obizhaeva, Darya Sapozhnikova, Computational Mathematics and Modelling, 2001 (12) (in Russsian).

 Working Papers

Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance [pdf]
Albert S. Kyle and Anna A. Obizhaeva, 2017.

Market Microstructure Invariance: A Dynamic Equilibrium Model [pdf]
Albert S. Kyle and Anna A. Obizhaeva, 2019.

Adverse Selection and Liquidity: From Theory to Practice [pdf]
Albert S. Kyle and Anna A. Obizhaeva, 2018.

The Market Impact Puzzle [pdf]
Albert S. Kyle and Anna A. Obizhaeva, 2018.

Trading Liquidity and Funding Liquidity in Fixed Income Markets: Implications of Market Microstructure Invariance [pdf]
Albert S. Kyle and Anna A. Obizhaeva, 2016.

Intraday Trading Invariance in the E-mini S&P 500 Futures Market [pdf]
Torben G. Andersen, Oleg Bondarenko, Albert S. Kyle, and Anna A. Obizhaeva, 2018.

News Articles and Equity Trading [pdf]
Albert S. Kyle, Anna A. Obizhaeva, Nitish Sinha, and Tugkan Tuzun, 2012.

Invariance in Buy-Sell Switching Points [pdf]
Albert S. Kyle, Kyoung-hun Bae, Eun Jung Lee, and Anna A. Obizhaeva, 2019.

Industrial Organization, Order Internalization, and Invariance [pdf]
Albert S. Kyle, Anna A. Obizhaeva, and Yajun Wang, 2017.

Trading in Crowded Markets [pdf]
Albert S. Kyle, Anna A. Obizhaeva, and Yajun Wang, 2019.

Portfolio Transitions and Stock Price Dynamics [pdf]
Anna A. Obizhaeva.

Liquidity Estimates and Selection Bias [pdf]
Anna A. Obizhaeva.

Public Policy Articles (in Russian)

Анализ событий на российском валютном рынке 15-16 декабря 2014 года. [pdf]

Чем и для кого опасен финансовый кризис в Китае. [RBC, 10.07.2015]

Большая заявка: почему обвалились фондовые рынки в Европе и Азии. [RBC, 01.09.2015]

Девальвация-2014: каким мог быть механизм падения рубля. [Forbes, 24.12.2015]

Теория заговора: как отличить честного трейдера от манипулятора рынком. [RBC, 22.11.2016]

Как центральные банки пожертвовали своим золотым правилом (о Уолтере Бэджете). [Vedomosti, 18.05.2020]

Корона-кризис: новые решения. [ECONS, 21.05.2020]

Настоящее начало 21 века: как корона-кризис проверит на прочность Россию и мир. [Forbes, 31.05.2020]

Podcasts, Videos, Events

Podcast with Albert S. Kyle and Olga Obizhaeva ``A New Theory about Financial Markets: Invariance'' at the Swedish House of Finance (25 min, ENG)

According to Prof. Albert 'Pete' Kyle and Prof. Anna Obizhaeva, financial markets can be viewed as games played by many players at the same time. The rate at which these games are played—“market velocity”—differs across assets. For actively traded assets, time passes quickly; for inactively traded assets, time passes slowly. Listen to Olga Obizhaeva, Assistant Prof. from SSE and guests Prof. Albert 'Pete' Kyle from University of Maryland's Robert H. Smith Sc​hool of Business and Prof. Anna Obizhaeva from the New Economic School, Moscow discussing a new invariance theory of financial markets in this episode. >>>

50th Anniversary of the Black-Scholes Formula, 1973-2023 (2 hours, RUS/ENG, March 2023, summary)

Fifty years ago Prof. Fischer Black and Prof. Myron Scholes made the most beautiful discovery in modern finance. Advanced mathematical methods and exceptional intuition allowed researchers to find solution for one of the most important economic problemshow to price options. Prof. Steven Heston from University of Maryland's Robert H. Smith School of Business, Prof. Anna Obizhaeva from the New Economic School and Roland Grinis from Moscow Institute of Physics and Technology share their stories about the legendary formula. >>>

Roundtable with Martin Hellwig, Alexei Lobanov and Alexei Bogatov «Ten Years After the Financial Crisis: Banking Regulation» (1 hour 55 min, ENG, October 2018, summary)

What is the current state of banking systems worldwide? How safe are banking systems in the U.S., Europe and Russia today? What has been done since the last crisis? What are the remaining challenges for regulators? Experts offer different views on important public policy issues. Alexei Lobanov from the Bank of Russia and Alexei Bogatov from Sberbank discuss multiple reforms implemented. Prof. Martin Hellwig from Max Planck Institute warns that little has been done since the 2008-2009 financial crisis to prevent crises in the future. >>>

Talk with Albert S. Kyle about Finance Education (1 hour 34 min, ENG, January 2022)

We talked about modern finance education and career paths in financial industry with Prof. Albert 'Pete' Kyle from University of Maryland's Robert H. Smith Sc​hool of Business. What skills do students need to develop to get the best jobs? What do employers want from their employees? We discuss importance of math and computer science skills as well as ability to work with data, think practically about real world and get things done. >>>

Public policy workshops organized by the Bank of Russia, NES, and HSE (materials)

The purpose of the workshops is to bring together regulators, market participants, and researchers from the academic community to discuss theoretical and practical aspects of topical public policy issues in the fields of macroeconomics and finance. We seek to advance cutting-edge analytics, promote best practices, and foster expert discussion, all of which are especially important for modern central banking and financial regulation>>>

Finance Education

NES Programs: Program «Masters in Finance», Online-program Mini-MiF, and Express Business-Programs

We have developed a number of business programs for those who would like to get modern world-class finance education, become part of a community of highly qualified leaders, and contribute to our country's economic growth and prosperity. Why are these programs unique? Modern curriculum, top-notch lecturers, convenient formats, unique networking opportunities, and connections to business and academic communities in Russia and around the globe. 

More on our flagship program MIF >>>

More on online-program Mini-MIF >>>