040442 KU Advanced FM: Market Microstructure (MA) (2020S)
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 10.02.2020 09:00 to We 19.02.2020 12:00
- Registration is open from Tu 25.02.2020 09:00 to We 26.02.2020 12:00
- Deregistration possible until Th 30.04.2020 23:59
Classes (iCal) - next class is marked with N
Final exam: June 29thCORONA RELATED ADJUSTMENTS:
Face-to-face class room meetings are cancelled from March 23rd until the foreseeable future. Teaching via moodle and bigbluebutton.
Aims, contents and method of the course
Assessment and permitted materials
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
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.