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Market Microstructure

  • Enseignant(s):   F.Riva  
  • Titre en français: Microstructure des marchés
  • Cours donné en: anglais
  • Crédits ECTS: 3 crédits
  • Horaire: Semestre d'automne 2019-2020, 2.0h. de cours + 1.0h. d'exercices (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

    Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données

    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

 

Objectifs

The way securities trade markedly differs from the idealized description of frictionless markets offered by standard finance textbooks. In real-world exchanges, frictions are commonplace; they affect trading behavior, quotes, prices, and give rise to trading costs. Market microstructure precisely aims at understanding why frictions emerge and what are their consequences for market quality, most importantly price effciency and liquidity.

In this course, students will learn how markets work (basic trading mechanisms and current market structures), what are (implicit) transaction costs and why they arise on markets, how they affect prices and how they impact decision making. They will also learn how to estimate these costs and how to manage them. The course will combine institutional features, theoretical models and estimation techniques.

Contenus

The course is structured around five topics:

  1. Trading mechanisms
  2. Transaction cost determinants
  3. Transaction cost estimation techniques
  4. Transaction cost management
  5. Modern markets
  6. Market microstructure and asset pricing

Références

The primary textbook reference:

Thierry Foucault, Marco Pagano, Ailsa Roell, "Market Liquidity: Theory, Evidence, and Policy", Oxford University Press, 2013. (Foucault, Pagano, Roell 2013)

Additional textbook references:

Joel Hasbrouck, "Empirical Market Microstructure", Oxford University Press, 2007. (Hasbrouck 2007)

Larry Harris, "Trading and Exchanges: Market Microstructure for Practitioners", Oxford University Press, 2003. (Harris 2003)

Pré-requis

Mathematics for Economics and Finance

Introduction to Finance

Evaluation

1ère tentative

Examen:
Ecrit 2h00 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée avec restrictions
Evaluation:

Rattrapage

Examen:
Ecrit 2h00 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée avec restrictions
Evaluation:


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