Microstructure of financial markets

Crédit : 3 ECTS
Langue du cours : anglais

Volume horaire

• CM : 21 h

Compétences 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 (ii) econometric models used to test the predictions of those models. Course structure:

1. Trading Mechanisms
2. Measuring Liquidity
3. Price Dynamics and Liquidity
4. Trade Size and Market Depth
5. Empirical Analysis

Mode de contrôle des connaissances

Evaluation: assignment and final exam

Bibliographie, lectures recommandées

Foucault, Thierry, Marco Pagano, and Ailsa Röell, Market Liquidity: Theory, Evidence, and Policy, Oxford University Press, 2013.

Enseignant responsable

JEROME DUGAST