Universität Wien

390013 SE PhD-VGSF: Market Microstructure (2019S)

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

Details

max. 24 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

This course takes place 4 hours per week in the second half of the semester (Mo and Th 9:45-11:15). It builds on Market Microstructure I and is intended for advanced master as well as doctoral students.

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

  • Montag 06.05. 09:45 - 11:15 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 09.05. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 13.05. 09:45 - 11:15 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 16.05. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 20.05. 09:45 - 11:15 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 23.05. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 27.05. 09:45 - 11:15 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Montag 03.06. 09:45 - 11:15 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 06.06. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 13.06. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Montag 17.06. 09:45 - 11:15 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Montag 24.06. 09:45 - 11:15 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 27.06. 09:45 - 11:15 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

This course builds on the introductory course Market Microstructure I. It is intended primarily for advanced master and doctoral students
The aim of the course is to develop a deeper understanding of the “invisible hand” of the Walrasian auctioneer in decentralized market institutions. Because of their abundance of data, financial markets are a great laboratory for market microstructure and offer topical applications, especially for market design. Market microstructure applies to the whole spectrum from well-organized liquid and automated financial markets all the way to illiquid over-the-counter markets such as real estate, labor markets for specialists, or even art markets. It discusses how the microstructure of trading does affect price discovery and price informativeness, price volatility and, hence, individual behavior and market participation, and hence market liquidity.
The main part of the course discusses the role of trading rules and transparency on individual behavior and its implication on 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 and speed bumps, dark pools and cross-market trading, blockchains and crypto-currencies/securities, both from the perspective of individual strategy as well as from a societal welfare perspective. Can the invisible hand be trusted? Are there needs for corrective regulatory intervention, and if so, which?
 
Suggested Structure of the Course:
1. Financial Markets Equilibrium
a. decentralized price determination
i. organized markets (auctions)
ii. search markets (OTC)
b. determinants of liquidity
c. liquidity asset pricing
d. limits to arbitrage

2. Policy and Market Design
a. transparency
b. fast trading and speed bumps
c. crashes and trading halts

3. Dark Pools and Crossing Networks
a. intermodal competition
b. toxic arbitrage

Art der Leistungskontrolle und erlaubte Hilfsmittel

Written exercises and class participation.

Mindestanforderungen und Beurteilungsmaßstab

Contribution of partial exams to the final grade: Participants are required to work out solutions to specific problems (75%) and present/discuss their solutions in class (25%).
Minimum requirements for the positive grade: 50%

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

Prüfungsstoff

1. Financial Markets Equilibrium
a. decentralized price determination
i. organized markets (auctions)
ii. search markets (OTC)
b. determinants of liquidity
c. liquidity asset pricing
d. limits to arbitrage

2. Policy and Market Design
a. transparency
b. fast trading and speed bumps
c. crashes and trading halts

3. Dark Pools and Crossing Networks
a. intermodal competition
b. toxic arbitrage

Literatur

Textbooks:

• Thierry Foucault, Marco Pagano, Ailsa Roell: Market Liquidity: Theory, Evidence and Policy, Oxford University Press, 2013.
• Joel Hasbrouck: Empirical Market Microstructure, Oxford University Press, 2007.
• Frank de Jong, Barbara Rindi: The Microstructure of Markets, Cambridge University Press, 2009.
• Dan Spulber: Market Microstructure, Cambridge University Press, 1995.
• Maureen O’Hara: Market Microstructure Theory, Blackwell, 1995.

A detailed literature list of specific research articles will be made available on Moodle.

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mo 07.09.2020 15:46