Universität Wien

040442 KU Market Microstructure (MA) (2017W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

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

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 80 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

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

Information

Aims, contents and method of the course

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

Assessment and permitted materials

The grade will be based on the written midterm and final exams, homework exercises and class participation. 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.

Minimum requirements and assessment criteria

Examination topics

Reading list

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

Association in the course directory

Last modified: Mo 07.09.2020 15:29