040442 KU Market Microstructure (MA) (2017W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften

Prüfungsimmanente Lehrveranstaltung

Prerequisites
A basic knowledge of finance and microeconomic theory is required. Some prior knowledge in statistics, probability theory and econometrics is also necessary.
I will assume that you took or are currently taking Principles of Finance (040638) and Empirical Finance (040514).

Moodle

An/Abmeldung

Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").

Anmeldung von Fr 08.09.2017 09:00 bis Do 21.09.2017 12:00
Abmeldung bis Sa 14.10.2017 23:59

Details

max. 80 Teilnehmer*innen

Sprache: Englisch

Lehrende

Sergey Zhuk

Termine (iCal) - nächster Termin ist mit N markiert

    
    Dienstag
    31.10.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    07.11.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    14.11.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    21.11.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    28.11.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    05.12.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    12.12.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    09.01.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    16.01.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    23.01.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock
    
    Dienstag
    30.01.
    15:00 - 18:15
    Seminarraum 14  Oskar-Morgenstern-Platz 1  2.Stock

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

The course provides an introduction into the price discovery in real financial markets. We often assume that markets are perfect; the equilibrium price reflects a fair valuation of an asset's expected payoff and the exact trading mechanics is irrelevant. Real markets though are far from perfect. Various frictions could lead to significant deviations of the transaction prices from the theoretical equilibrium values. In the course we will study how trading is organized at the major financial markets and how prices are determined.
An important subject of the course is the concept of liquidity. We will talk about what it means for markets to be liquid, what determines market liquidity and how market liquidity is related to asset valuations. In addition, we will discuss some market design and regulatory issues such as market transparency, market fragmentation, high-frequency and algorithmic trading.

Course Topics
1. Market Structure and Trading Mechanisms
2. The Concept of Liquidity. Measuring Liquidity
3. Determinants of Market Liquidity
a. Transactions Costs
b. Inventory Risk
c. Asymmetric Information
4. Limit Order Book Markets
5. Liquidity and Asset Prices
6. Market Fragmentation
7. Transparency and Dark Liquidity
8. High Frequency Trading

Art der Leistungskontrolle und erlaubte Hilfsmittel

The grade will be based on the written midterm and the final exams, homework exercises and class participation. The exams most likely will be open-book (you are allowed to use any paper materials and a calculator). The final score of 50% or more of the maximum points will be sufficient for a positive grade. Attendance is generally required. The exact details will be announced in the first lecture.

Mindestanforderungen und Beurteilungsmaßstab

Prüfungsstoff

Literatur

Thierry Foucault, Marco Pagano and Ailsa Röell: "Market Liquidity: Theory, Evidence, and Policy", 2013
Joel Hasbrouck:"Empirical Market Microstructure", 2007

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mo 07.09.2020 15:29