Financial Market Microstructure
- The goal is to provide students with the tools and basic knowledge required to understand and appreciate original academic papers on market microstructure
- Identify the scientific nature of the problems in the professional field
- Find, evaluate and use information from various sources, necessary to solve scientific and professional problems
- Be able to conduct research, including problem analysis, setting goals and objectives, identifying the object and subject of research, choosing the means and methods of research
- Build theoretical and econometric models, analyze and meaningfully interpret the results obtained
- IntroductionInstitutions and market structure.
- Information and prices; Rational Expectations Equilibrium (REE)II.1 Hellwig (1980) model. II.2 Grossman-Stieglitz (1980) model.
- Models of strategic tradingIII.1 Auction markets. III.2 Dynamic strategies.
- Information and marketsPoint: informed equilibrium could be less efficient than the uninformed one, at least for some groups of agents.
- Liquidity and algorithmic tradingV.1 Optimal execution V.2 Market quality issues
- Models of the limit order book (LOB)VI.1 Uninformed liquidity providers VI.2 Informed liquidity providers
- Microstructure models: overview
- Interim assessment (2 module)0.55 * final exam + 0.2 * Class participation including the presentation of papers + 0.25 * midterm exam
- Harris, L. (2002). Trading and Exchanges : Market Microstructure for Practitioners. Oxford: Oxford University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2096842
- The microstructure of financial markets, Jong de, F., Rindi, B., 2010
- Richard K. Lyons. (2006). The Microstructure Approach to Exchange Rates. The MIT Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.mtp.titles.026262205x