Universität Wien FIND

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Further information about on-site teaching can be found at https://studieren.univie.ac.at/en/info.

040442 KU Advanced FM: Market Microstructure (MA) (2020S)

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. 52 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Final exam: June 29th

CORONA RELATED ADJUSTMENTS:
Face-to-face class room meetings are cancelled from March 23rd until the foreseeable future. Teaching via moodle and bigbluebutton.

Monday 02.03. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 09.03. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 16.03. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 23.03. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 20.04. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 27.04. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 04.05. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 11.05. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 18.05. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 25.05. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 08.06. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 15.06. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 22.06. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 29.06. 11:30 - 13:00 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.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

Due to Corona: Subject to modifications.
Grading will depend on course participation including random quizzes (25%), homework exercises (25%) and a final exam (50%) on June 29, 11:30-13:00 (HS 12). 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 June 29, 11:30-13:00 (HS 12). The passing requirement is 50% of the total score.

Selected student are given the option 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 15:19