30181 - THE MICROSTRUCTURE OF FINANCIAL MARKETS
CLEAM - CLEF - CLEACC - BESS-CLES - WBB - BIEF - BIEM - BIG
Course taught in English
Go to class group/s: 31
- 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 an electronic order book market like London Stock Exchange, Borsa Italiana, NASDAQ, NYSE, or alternative trading systems (lit and dark pools).
- 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 on Dark Liquidity and Tick Size.
- Post-trading systems: clearing and settlement.
- Exchanges for trading equities (e.g., Borsa Italiana/LSE, NASDAQ and NYSE), and currencies (e.g., EBS).
- Alternative Trading Systems (ATS), Electronic Communication Networks (ECN) and Dark Pools.
- Europe (e.g., MIFID) and US (e.g., Reg NMS and SEC latest concept releases).
- Students will participate to a simulation game prepared to practise real-time trading.
- Written exam at the end of the course.
- Special assessments for non-attending students (e.g., written paper) are left to the discretion of the lecturer.
- Lecture notes (e-learning) and selected articles.
- B. JOHNSON, Algorithmic Trading & DMA., 4Myeloma Press, 2010, selected chapters.
- L. HARRIS, Trading and Exchanges. Market Microstructure for Practitioners, Oxford University Press, 2003, selected chapters.
- R. LYONS, The Microstructure Approach to Exchange Rate, MIT Press, 2001, selected chapters.