040442 KU Advanced FM: Market Microstructure (MA) (2019S)
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 11.02.2019 09:00 to We 20.02.2019 12:00
- Registration is open from Tu 26.02.2019 09:00 to We 27.02.2019 12:00
- Deregistration possible until Th 14.03.2019 23:59
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.
Aims, contents and method of the course
Assessment and permitted materials
Minimum requirements and assessment criteria
b. Auction Markets: Limit Order Books
c. Search Markets: Intermediary Networks and OTC4. Market Participation and Liquidity5. Market Design
• 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.