Microstructure of financial markets

Ects : 6
Compétence à acquérir :
Master the concepts of financial markets microstructure

Description du contenu de l'enseignement :
The field of market microstructure combines theoretical modeling, institutional knowledge, and empirical analysis to understand how prices result from the interactions of traders in financial markets. The course aims to acquaint students with (i) the canonical models in microstructure and how they can be adapted to study the effects of recent changes in market structures and trading technologies, and (ii) econometric models used to test the predictions of microstructure models.
Course structure:

Trading Mechanisms
Measuring Liquidity
Price Dynamics and Liquidity
Trade Size and Market Depth
Empirical Analysis
Limit Order Markets
Market Transparency
Liquidity and Asset Prices
Liquidity and Corporate Finance