The purpose of the course is to acquaint students with market microstructure. Market microstructure has grown rapidly as one of the most important field of Finance. The goal of this discipline is to provide a micro-analysis of the trading process in financial markets. This course will expose the market microstructure approach to security prices formation by presenting selected models that are used in market microstructure
- Introduction (Slides and references)
- Auctions Slides , stochastic orders Interdependent values
Quote driven Market static models (Slides)
- Dealers’ inventories. Biais (1993)
- Informed non-strategic traders Glosten and Milgrom (1985)
- Informed strategic trader Kyle (1985)
- Informed dealers Clacagno and Lovo (2006)
- Market Efficiency and rational herding and Belief-free (slides)
- Robust price formation
- Limit order markets (Slides)
T. Foucault, M. Pagano and A Roëll, Market LIquidity, Oxford University Press.
M. O'Hara, Market Microstructure, Blackwell Publishing.
V. Krishna, Auction Theory, Academic Press.