30181 - THE MICROSTRUCTURE OF FINANCIAL MARKETS
Department of Finance
Course taught in English
Go to class group/s: 31
Course Director:
BARBARA RINDI
BARBARA RINDI
Mission & Content Summary
MISSION
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).
CONTENT SUMMARY
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.
- Pricing and 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, Trading Fees, Closing auction volume
- Experimental Trading Game at BELSS LAboratory, Bocconi - subject to COVID-19 restrictions
Intended Learning Outcomes (ILO)
KNOWLEDGE AND UNDERSTANDING
At the end of the course student will be able to...
- Understand how financial markets work.
- Evaluate the current debate (U.S. and Europe) on the structure and design of financial markets.
APPLYING KNOWLEDGE AND UNDERSTANDING
At the end of the course student will be able to...
- Trade on the most advanced existing trading plaftorms around the World.
Teaching methods
- Online lectures
- Guest speaker's talks (in class or in distance)
DETAILS
Lectures (online syncronous) and guest speaker's talks.
Assessment methods
Continuous assessment | Partial exams | General exam | |
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x |
ATTENDING STUDENTS
Written exam at the end of the course based on the program:
- 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.
- Pricing and 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, Trading Fees, Closing auction volume.
NOT ATTENDING STUDENTS
Written essay in the spirit of the program:
- 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.
- Pricing and Trading fees: Make-Take vs Symmetric Pricing Structure, , Closing auction volume.
- Algorithmic Trading and High Frequency Trading (HFT).
- Regulatory Debate (U.S. and Europe) on Dark Liquidity, Tick Size, Trading Fees.
Teaching materials
ATTENDING AND NOT ATTENDING STUDENTS
- 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.
Last change 14/12/2020 13:23