Universität Wien

040442 KU Advanced Market Microstructure (MA) (2024S)

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

Prerequisites
A basic knowledge of finance and microeconomic theory is required. Some prior knowledge in statistics, probability theory and econometrics is also necessary.

The course "040442 Advanced FM: Market Microstructure (MA)" is creditable as course for the PhD programme Finance "Advanced Market Microstructure (lecture, 2 SWS)" in SS 2022. VGSF students from WU have to co-enrol at the University of Vienna in order to participate in the course.

Moodle
Mo 27.05. 08:00-09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock

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. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Monday 04.03. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Friday 15.03. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 18.03. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 08.04. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 15.04. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 22.04. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 29.04. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 06.05. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 13.05. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Friday 07.06. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 10.06. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 17.06. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Monday 24.06. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

This advanced 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 June 29, 11:30-13:00 (HS 12). The passing requirement is 50% of the total score.

Minimum requirements and assessment criteria

This course requires prior knowledge in asset pricing.

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.

Further literature will be made available on Moodle.

Association in the course directory

Last modified: Sa 02.03.2024 17:45