040442 EK KFK FM: Market Microstructure (2016W)
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).
- Registration is open from Mo 12.09.2016 09:00 to Th 22.09.2016 14:00
- Deregistration possible until Fr 14.10.2016 14:00
Classes (iCal) - next class is marked with N
The course will take place on Tuesdays 15.00-18.15 (SR14 OMP). If you missed the registration period you can register in the first class (04.10).
Aims, contents and method of the course
Assessment and permitted materials
Minimum requirements and assessment criteria
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 the most important market design and regulatory issues such as market transparency, market fragmentation, high-frequency and algorithmic trading.
The course considers specific trading mechanisms and involves some work with real financial data. However, the main focus of the course is not on the particular institutional details of the trading process, but on the main economic mechanisms that govern markets' behavior.
This course is held in English and all examinations are in English. It is a required course for a specialization (KFK) in Financial Markets. It also counts as an elective for specializations (KFK) in Corporate Finance, Financial Institutions, and Financial Services.
Joel Hasbrouck:"Empirical Market Microstructure", 2007
Larry Harris:"Trading and Exchanges", 2002
Barry Johnson:"Algorithmic Trading and DMA", 2010