Universität Wien

390016 SE PhD-VGSF: Market Microstructure (2016S)

4.00 ECTS (2.00 SWS), SPL 39 - Doktoratsstudium Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung

Language of Instruction: English

Nur nach persönlicher Anmeldung im Student-Office der VGSF. Bitte um vorherige Kontaktaufnahme mit Herrn Adrian Baron, Email: adrian.baron@wu.ac.at
Moodle

An/Abmeldung

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

Details

max. 24 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

  • Donnerstag 03.03. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 10.03. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 17.03. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Dienstag 05.04. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 07.04. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 14.04. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 21.04. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 28.04. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 12.05. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 19.05. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Dienstag 24.05. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 02.06. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 09.06. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Dienstag 14.06. 09:45 - 13:00 Seminarraum 1 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Donnerstag 16.06. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Dienstag 21.06. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 23.06. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

This is a research course on the microstructure of markets. The goal is to develop a deeper understanding of the “invisible hand” of the Walrasian auctioneer. Market microstructure applies to the whole spectrum from well-organized liquid and automated financial markets to illiquid over-the-counter markets such as real estate, labor markets for specialists, or arts. It discusses how the microstructure of trading does affect price discovery and price informativeness, price volatility and market liquidity.

The course introduced the basic measures of (il)liquidity and price informativeness and provides the basic theoretical work horse models (Glosten/Milgron, Kyle) to analyze their empirical regularities.

The main part of the course discusses the role of trading rules and transparency on individual behavior and resulting price discovery. This allows a better understanding of the relative advantages of the many different real world market designs. This provides a basis for the discussion of topical phenomena such as high frequency trading, dark pools and cross-market trading.

This course is intended for doctoral students to specialize in finance and/or economics. It provides an introduction into the microstructure of markets. Follow-up special topics courses are intended that focus on specific issues such as corrections of potential market failures due to high-frequency trading or the optimal design of (opaque) over-the-counter markets.

Art der Leistungskontrolle und erlaubte Hilfsmittel

Efficiency control (oral /written): Written and oral
Methods of conveying the content: Lectures and individual projects.
Allowed auxiliary means (e.g. pocket calculator, books): Computer, data basis, books
Attendance: Mandatory

Mindestanforderungen und Beurteilungsmaßstab

Contribution of partial exams to the final grade: Participants are required to work out solutions to specific problems (70%) and present/discuss their solutions in class (30%).
Minimum requirements for the positive grade: 50%

Prüfungsstoff

Literatur

http://finance.univie.ac.at/fileadmin/user_upload/inst_finanzwirtschaft/Info-Dateien/Kursbeschreibungen_SS16/MM-16-0.pdf

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mo 07.09.2020 15:46