30181 - THE MICROSTRUCTURE OF FINANCIAL MARKETS
Course taught in English
Go to class group/s: 31
Two are the main objectives of this course: (1) Present to the students the structure of the European and US financial markets and discuss the rules and principles that govern trading and price formation in the most advanced electronic trading platforms and auction markets. (2) Teach the students how to trade securities on an electronic order book market like London Stock Exchange, Borsa Italiana, NASDAQ, NYSE, or alternative trading systems (lit and dark pools).
Financial Market Structures:
- Novelties from Market Microstructure and Research Objectives.
- Trading Process:
- Continuous vs batch auction.
- Orders and order properties.
- Market Participants and the role of market makers.
- Market Structure.
- Trading sessions: call and continuous auction markets.
- Execution systems: order-driven, quote-driven and hybrid markets.
- Trading Rules for Order Driven Markets.
- Price formation.
- Matching rules.
- Guidelines for Price Monitoring, Price Discovery.
- Circuit breakers and market crashes.
- Trading fees: Make-Take vs Symmetric Pricing Structure.
- Algorithmic Trading and High Frequency Trading (HFT).
- Regulatory Debate (U.S. and Europe) on Dark Liquidity, Tick Size and Trading Fees.
- Post-trading systems: clearing and settlement.
- Understand how financial markets work and to evaluate the current debate (U.S. and Europe) on the structure and design of financial markets.
- Trade on the most advanced existing trading plaftorms around the World.
- Face-to-face lectures
- Guest speaker's talks (in class or in distance)
Lectures and guest speaker's talks.
|Continuous assessment||Partial exams||General exam|
Lecture notes (Bboard) and selected articles.
Selected chapters from:
- B. JOHNSON, Algorithmic Trading & DMA, 4Myeloma Press, 2010.
- L. HARRIS, Trading and Exchanges. Market Microstructure for Practitioners, Oxford University Press, 2003.
- R. LYONS, The Microstructure Approach to Exchange Rate, MIT Press, 2001.