Course 2010-2011 a.y.

Course Objectives

• present to the students the structure of the European and US financial markets for stocks, bonds and foreign currencies, and discuss the rules and principles that govern trading and price formation in the most advanced electronic trading platforms and auction markets;
• teach the students how to trade securities on a market similar to Euronext, LSE, NASDAQ Single Book, NYSE, or on the electronic book of the ECNs and MTFs;
• give students the instruments to measure the quality of financial markets, and to evaluate changes in financial market regulation, market design and traders' performance.

Course Content Summary

• Financial Market Structures:
• trading sessions: call and continuous auction markets
• execution systems: order-driven, quote-driven and hybrid markets
• order types submitted in different trading venues
• market participants
• post-trading systems: clearing and settlement
• Microstructure of stock markets and of the Secondary Market for Government Bonds:

• European markets: Borsa Italiana, Euronext, LSE
• US stock markets: NASDAQ and NYSE
• New trading venues: Multilateral Trading Facilities (MTF), Systematic Internalizers (SI), Dark Pools
• MTS and EuroMTS
• Microstructure of Foreign Exchange Markets:

• OTC and Electronic Broking System (EBS)
• Liquidity, Block trading and Implicit transaction costs measurement
• Most recent financial legislation (e.g. Mifid):
• Best Execution, Pre and Post-Trade Transparency, Internalization and Preferencing
• Competition within and among Markets
• Insider Trading Legislation and Market Surveillance

Detailed Description of Assessment Methods

Students are graded through a written final exam

Textbooks

• L. HARRIS, Trading and Exchanges. Market Microstructure for Practitioners, Oxford University Press, 2003
• Market Regulations: a detailed list of links and references are provided at the beginning of the course.