Financial Market Microstructure - ECO00019M
- Department: Economics and Related Studies
- Credit value: 10 credits
- Credit level: M
- Academic year of delivery: 2022-23
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Autumn Term 2022-23 |
Module aims
To introduce students to the mechanisms of price setting in financial markets. The topics covered include: trading structures; continuous trading and the consequences for data measurement, transactions data as well as foreign exchange market microstructure.
Module learning outcomes
On completing the module the student will be able to:
understand and explain the mechanisms of price setting in financial markets
appreciate the importance of both theoretical and empirical developments in this field
have a good understanding of the key areas of financial economics where microstructure matters most.
Indicative assessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 100 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 100 |
Module feedback
Information currently unavailable
Indicative reading
De Jong, F. and Rindi, B., The Microstructure of Financial Markets, Cambridge University Press, Cambridge, 2009.
Lyons, R., The Microstructure Approach to Exchange Rates, MIT Press, Boston, 2001.
Madhavan, A., Market Microstructure: A Survey, Journal of Financial markets, 3, 205-258, 2000.
O'Hara, M., Market Microstructure Theory, Basil Blackwell, Oxford, 1995.