Universität Wien FIND

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

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).

Registration/Deregistration

Details

max. 80 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

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.

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

Information

Aims, contents and method of the course

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

Assessment and permitted materials

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.

Minimum requirements and assessment criteria

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.

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

Examination topics

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

Reading list

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.

Association in the course directory

Last modified: Mo 07.09.2020 15:29