ISS 603E - Financial Market Microstructure

Course Objectives

Emphasize the complex nature of and organizational differences between financial market

Expose trading rules and their effects on price formation process

Prepare a ground for discussion on the competition between world financial markets and on the place of stock market industry within the economy

Course Description

Introduction to Microstructural Aspects of Financial Markets, Basic Theoretical and Empirical Tools in Microstructure, Agency and Market Making, Bid-Ask Spread and Its Components, Transaction Costs, Informational Aspects, Liquidity, Orders and Order Book, Price Discreteness, Trading Volume, Seasonalities, Transparency, Optimal Market Design, Types and Characteristics of Financial Data