040442 KU Advanced FM: Market Microstructure (MA) (2019S)

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 Mo 11.02.2019 09:00 bis Mi 20.02.2019 12:00
Anmeldung von Di 26.02.2019 09:00 bis Mi 27.02.2019 12:00
Abmeldung bis Do 14.03.2019 23:59

Details

max. 80 Teilnehmer*innen

Sprache: Englisch

Lehrende

Thomas Gehrig

Termine (iCal) - nächster Termin ist mit N markiert

The course will take place in the first half of the semester (March 4- May 2). It will be followed by Advanced Market Microstructure II in the second half, which is intended for advanced and doctoral students.
The final exam is scheduled for May 2nd.

The Börse Wien offers intensive training courses biannualy. The next course wiill be offered in September. According to a cooperation agreement, selected students can participate in the intensive training courses with a full fee waiver.

    
    Montag
    04.03.
    09:45 - 11:15
    Hörsaal 16  Oskar-Morgenstern-Platz 1  2.Stock
    
    Donnerstag
    07.03.
    09:45 - 11:15
    Seminarraum 4  Oskar-Morgenstern-Platz 1  1.Stock
    
    Montag
    11.03.
    09:45 - 11:15
    Hörsaal 16  Oskar-Morgenstern-Platz 1  2.Stock
    
    Donnerstag
    14.03.
    09:45 - 11:15
    Seminarraum 4  Oskar-Morgenstern-Platz 1  1.Stock
    
    Montag
    18.03.
    09:45 - 11:15
    Hörsaal 16  Oskar-Morgenstern-Platz 1  2.Stock
    
    Donnerstag
    21.03.
    09:45 - 11:15
    Seminarraum 4  Oskar-Morgenstern-Platz 1  1.Stock
    
    Montag
    25.03.
    09:45 - 11:15
    Hörsaal 16  Oskar-Morgenstern-Platz 1  2.Stock
    
    Donnerstag
    28.03.
    09:45 - 11:15
    Seminarraum 4  Oskar-Morgenstern-Platz 1  1.Stock
    
    Montag
    01.04.
    09:45 - 11:15
    Hörsaal 16  Oskar-Morgenstern-Platz 1  2.Stock
    
    Donnerstag
    04.04.
    09:45 - 11:15
    Seminarraum 4  Oskar-Morgenstern-Platz 1  1.Stock
    
    Montag
    08.04.
    09:45 - 11:15
    Hörsaal 16  Oskar-Morgenstern-Platz 1  2.Stock
    
    Donnerstag
    11.04.
    09:45 - 11:15
    Seminarraum 4  Oskar-Morgenstern-Platz 1  1.Stock
    
    Montag
    29.04.
    09:45 - 11:15
    Hörsaal 16  Oskar-Morgenstern-Platz 1  2.Stock
    
    Donnerstag
    02.05.
    09:45 - 11:15
    Seminarraum 4  Oskar-Morgenstern-Platz 1  1.Stock

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

This course focuses on the determinants of transactions prices and liquidity in markets for traded securities. While transaction prices can change almost instantly – and at high frequency – asset prices typically are proxies of hypothetical long-term values. In this sense this sequence of courses complements, and builds on, the sequence of asset pricing courses by studies of short term determinants of real transactions prices; i.e. of bid- and ask-prices rather than mid-prices.
Obviously price determination will be closely linked to market organization. Prices in unorganized search markets (OTC) will differ from prices established in organized auction or dealership markets, and accordingly also market participation and liquidity. The different organizational forms of markets and the way they affect price formation and liquidity are the key elements of the elementary course on market microstructure I. The more advanced course on market microstructure II will address the strategic elements of market design, transparency, competition between different organizations (intermodal competition) as well as market failures and regulation.

Course Outline:

1. Introduction

2. Measuring Liquidity

3. Trading Systems:

a. Market Makers: Bid-Ask Spreads
b. Auction Markets: Limit Order Books
c. Search Markets: Intermediary Networks and OTC

4. Market Participation and Liquidity

5. Market Design

Art der Leistungskontrolle und erlaubte Hilfsmittel

Grading will depend on course participation including random quizzes (25%), homework exercises (25%) and a final exam (50%) on May 2nd, 9:45-11:15 (SR 4). The passing requirement is 50% of the total score.

Mindestanforderungen und Beurteilungsmaßstab

Selected student are given the toption of a full feee waiver for an intensive training course of the Börse Wien.

Prüfungsstoff