Course 2009-2010 a.y.



Department of Finance

Course taught in English

Go to class group/s: 31
CLEAM (6 credits - II sem. - AI) - CLES (6 credits - II sem. - AI) - CLEF (6 credits - II sem. - AI) - BIEM (6 credits - II sem. - AI) - CLEACC (6 credits - II sem. - AI)
Course Director:

Classes: 31 (II sem.)

Course Objectives

Three are the main objectives of this course:

  • present to students the structure of the European and US financial markets for stocks, bonds and derivatives, and discuss the rules and principles that govern trading and price formation in the most advanced Exchanges and other trading venues
  • teach students  how to trade securities on a market similar to LSE, Borsa Italiana, NYSE-Euronext and new trading venues (including MTFs 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

1. Financial Market Structures and Market Microstructure Foundations (including practical examples):

  • 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
  • transparency, market supervision and reporting rules
  • market participants
  • post-trading systems: clearing and settlement

2. Microstructure of stock markets:

  • Exchanges: Borsa Italiana, LSE, NYSE-Euronext
  • Alternative trading venues: Multilateral Trading Facilities (MTF), Systematic Internalizers (SI) and Dark Pools

3. Evolution of securities markets: effects of technology and regulation; market participants needs
4. Main metrics describing markets functioning
5. Evolution of international markets in the last 20 years
6. Liquidity, block trading and implicit transaction costs measurement
7. Most recent financial legislation: 

  • Evolution of the Italian Law
  • European directives, in particular MiFID (Best Execution, Pre and Post-Trade Transparency)
  • Competition within and among Markets

8. Exchanges governance, demutualisation

Detailed Description of Assessment Methods

This course is assessed by a written exam, with questions and practical exercise to be solved


  • Lecture notes uploaded on the e-learning website
  • Selected chapters from L. Harris, Trading and Exchanges. Market Microstructure for Practitioners, Oxford University Press, 2003
  • To deepen the analysis of Market Microstructure, students may refer to:
    • F. De JONG, B. RINDI, The Microstructure of Financial Markets, Cambridge University Press, 2009
    • R. SCHWARTZ, R. FRANCIONI, Equity Markets in Actions. The Fundamentals of Liquidity, Market Structure & Trading, Wiley, 2004
Exam textbooks & Online Articles (check availability at the Library)
Last change 12/01/2010 17:09