- Department: Economics and Related Studies
- Credit value: 10 credits
- Credit level: M
- Academic year of delivery: 2022-23
Occurrence | Teaching period |
---|---|
A | Autumn Term 2022-23 |
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.
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.
Task | % of module mark |
---|---|
Closed/in-person Exam (Centrally scheduled) | 100 |
None
Task | % of module mark |
---|---|
Closed/in-person Exam (Centrally scheduled) | 100 |
Information currently unavailable
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.