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Financial Market Microstructure - ECO00019M

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  • Department: Economics and Related Studies
  • Module co-ordinator: Prof. Peter Smith
  • 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.

Assessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Financial Market Microstructure		 2 hours 100

Special assessment rules

None

Reassessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Financial Market Microstructure		 2 hours 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.


The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.