30181 - THE MICROSTRUCTURE OF FINANCIAL MARKETS
Course taught in English
Go to class group/s: 31
Three 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 students how to trade securities on a market similar to Euronext, LSE, NASDAQ Single Book, NYSE, Crypto Exchange or on the electronic book of the ECNs and MTFs; 3/. 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
- 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 Market
- price formation
- matching rules
- Guidelines for Price Monitoring, Price Discovery
- circuit breakers and market crashes
- Case Studies on Market Manipulation
- Algorithmic Trading and High Frequency Trading (HFT)
- Regulatory Debate (U.S. and Europe) on Dark Liquidity, Tick Size, Trading Fees and Closing Auction volumes
- Trading fees: Make-Take, Take-Make vs Symmetric Pricing Structure
- Microstructure of stock markets
- Exchanges for trading equities (e.g., LSE, NASDAQ and NYSE)
- Alternative Trading Systems (ATS), Electronic Communication Networks (ECN) and Dark Pools
- Most recent financial legislation
- Europe (e.g., MIFID) and US (e.g., Reg NMS and SEC latest concept releases)
- Brief Introduction to Crypto Currency markets
By the end of the course, students should know how the most advanced financial markets work and how a trader can place orders in a standard automated limit order platform similar to those used for trading financial instruments on the main trading platforms around the world.
- Trade financial instruments in the most advanced existing trading platforms.
- Evaluate any change in market design / regulation of the existing financial trading platforms.
- Evaluate the outcome of a trade - whether it has been done in compliance with best execution or not.
- Online lectures
- Guest speaker's talks (in class or in distance)
Online lectures - interaction with students and among students is highly recommended
|Continuous assessment||Partial exams||General exam|
- 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 (Blackboard) and selected articles.
- Selected chapters from:
Johnson, B. 2010. Algorithmic Trading & DMA. 4Myeloma Press.
Harris, L., 2003. Trading and Exchanges. Market Microstructure for Practitioners, Oxford University Press.