ECTS : 6
Volume horaire : 15
Description du contenu de l'enseignement :
The field of market microstructure combines theoretical modeling, institutional knowledge, and empirical analysis to understand how prices result from the interactions of traders in financial markets. The course aims to acquaint students with (i) the canonical models in microstructure, and (ii) econometric models used to test the predictions of microstructure models.
Course structure:
Compétence à acquérir :
Master the concepts of financial markets microstructure
Mode de contrôle des connaissances :
Evaluation: assignment and final exam
Bibliographie, lectures recommandées :
Foucault, Thierry, Marco Pagano, and Ailsa Röell, Market Liquidity: Theory, Evidence, and Policy, Oxford University Press, 2013.