Course 2011-2012 a.y.

30181 - THE MICROSTRUCTURE OF FINANCIAL MARKETS


CLEAM - CLEF - CLEACC - BESS-CLES - BIEMF

Department of Finance

Course taught in English

Go to class group/s: 31
CLEAM (6 credits - II sem. - OP  |  SECS-P/01) - CLEF (6 credits - II sem. - OP  |  SECS-P/01) - CLEACC (6 credits - II sem. - OP  |  SECS-P/01) - BESS-CLES (6 credits - II sem. - OP  |  SECS-P/01) - BIEMF (6 credits - II sem. - OP  |  SECS-P/01)
Course Director:
LUISELLA BOSETTI

Classes: 31 (II sem.)
Instructors:
Class 31: LUISELLA BOSETTI


Course Objectives

Three are the main objectives of this course:

  • 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;
  • teach the students how to trade securities on a electronic order book markets like London Stock Exchange, Borsa Italiana, Nyse.Euronext, NASDAQ, NYSE, or alternative trading systems (lit and dark pools);
  • 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 and Market Microstructure Foundations:
    • trading sessions: call and continuous auction markets
    • execution systems: order-driven, quote-driven and hybrid markets
    • order types submitted in different trading venues
    • price formation and matching rules
    • market participants
    • post-trading systems: clearing and settlement
    • algorithmic trading programmes
    • competition, internalization and best execution
  • Microstructure of stock markets
    • Exchanges: Borsa Italiana, LSE, NYSE- Euronext
    • Alternative Trading venues, Multilateral Trading Facilities (MTF), Systematic Internalizers (SI) and Dark Pools.
  • Most recent financial legislation
    • MIFID, Reg, NMS, transparency, market supervision and reporting rules.
  • Trading Game
    • Students will participate to a trading simulation game prepared to practise some real-time trading in the market.

Detailed Description of Assessment Methods

  • Written exam at the end of the course.

Textbooks

  •  Lecture notes uploaded onto the learning space.
  • Selected chapters of Johnson, B. 2010. Algorithmic Trading & DMA. 4Myeloma Press
Exam textbooks & Online Articles (check availability at the Library)
Last change 02/09/2011 17:01