Market Microstructure

This course on Market Microstructure gives an introduction into the analysis of price determination and trading activities in financial markets. Starting out from perfect (efficient) markets, market microstructure theory introduces more realistic features that explain why prices converge to or diverge from a long‑range equilibrium. These realistic features correspond to a number of ʺfrictionsʺ, such as market illiquidity, order handling costs, inventory costs, asymmetric information, market power, search costs, or strategic behavior of market participants. We will discuss various approaches with a close connection to the original research papers.

Learning Targets

Students who will successfully complete this course will gain a strong background to understand trading mechanisms used for financial securities and the actual behavior of market participants, including the recent trends such as algorithmic and high-frequency trading. We will also discuss how new regulations such as Basel III have changed market infrastructures and the effects of Unconventional Monetary Policies (e.g. Quantitative Easing) on financial markets. The lecture Market Microstructure is research oriented. It is balanced between theoretical modeling and empirical findings.

Dates & Registration

All information can be found here.

In a nutshell

• 3 ECTS Credits
• for Master students
• in English
• takes place in Spring semester
• limited number of participants

Please refer to the information in the course catalog VVZ - in case of doubt, these would apply