Παρουσίαση/Προβολή

(ERASMUS148) -  George Chalamandaris

Περιγραφή Μαθήματος

• Market Microstructure is the field that deals with the organization of markets and their participants. Specifically, the dynamics of trade and price developments in different markets are examined by studying:
  • the rules governing trading.
  • the types of market participants.
  • their incentives, and
  • the strategies they choose to achieve their objectives.
• The course covers the following topics:
  • Market Industry: Buy/Sell side, dealers, brokers, clearing and settlement.
  • Orders, Algos, and algorithmic trading.
  • The role of dealers, brokers.
  • Main categories of market-users (profit-motivated, utilitarian, noise traders) and their incentives.
  • Basic strategies of each of these categories and how they affect the market mechanism.
  • Price discovery in exchanges and OTC markets.
  • The incorporation of information in market prices and the informational content of trades.
  • Market structures: Order-driven, Dealer-to-Customer, Crossing-networks, and hybrid markets.
  • The nature of liquidity and volatility, their relationship, and how they both affect market efficiency.
  • Manifestations of asymmetric information, strategies for exploiting the information advantage, and ways of protection against the risk arising from it.
  • Key microstructure models: Garman, Roll, Glosten-Millgrom, Kyle.

 

- Suggested bibliography:

• Harris, “Trading and Exchanges – Market Microstructure for Practitioners”, Oxford University Press, 2003 
• Hasbrouck, “Empirical Market Microstructure – Economic and Statistical Perspectives on the Dynamics of Trade in Securities Market”, 2006
• O’Hara, “Market Microstructure Theory”, Basil Blackwell, Cambridge, 1995.

Ημερομηνία δημιουργίας

Τετάρτη, 6 Μαρτίου 2024