Financial Market Microstructure ECON5074

  • Academic Session: 2024-25
  • School: Adam Smith Business School
  • Credits: 20
  • Level: Level 5 (SCQF level 11)
  • Typically Offered: Semester 2
  • Available to Visiting Students: No
  • Collaborative Online International Learning: No

Short Description

Financial Market Microstructure analyses how stocks are traded and prices determined. At a deeper level this turns out to express how traders learn and reveal information about the companies they are trading, and this in turn determines how capital is allocated in the economy

Timetable

one two-hour lecture per week for 10 weeks

5 one-hour tutorials over five weeks.

Requirements of Entry

Students must be registered on one of the associated programmes listed in this course specification.  

Excluded Courses

None

Co-requisites

None

Assessment

Assessment

Weighting

Duration/Word Count

Online In-course Exam

25%

1 hour

Main Assessment In: April/May

Course Aims

This course is intended to: 

 

■ describe and characterize empirical and theoretical market structures with a focus on securities markets

■ develop an understanding of the role of information in markets and trading

Intended Learning Outcomes of Course

By the end of this course students will be able to:

■ determine how best to trade assets when agents in the market possess private information about value and use that information strategically;

■ frame and solve problems using the canonical theoretical models of Kyle and Glosten and Milgrom;

■ characterize and explain the consequences of empirical market structures such as order-driven and quote-driven systems;

■ characterize and explain the advantages and disadvantages of transparent markets versus dark pools;

■ determine how to best structure markets to promote liquidity and efficiency;

■ describe empirical methods currently in use to detect informational trading and the conclusions drawn by investigators using these methods.

Minimum Requirement for Award of Credits

Students must submit at least 75% by weight of the components (including examinations) of the course's summative assessment.