Financial Markets Microstructure (F)
Course content
This course examines the financial markets from a Micro perspective. How does a “market” as we know it form from individual traders’ actions? How is the market price determined from individual trades and offers? How is the traders’ dispersed information incorporated into these prices? What determines the liquidity and depth of an asset market? What is the optimal behaviour for traders in financial markets? Why do bubbles and crashes arise? Do the institutional details of the exchange influence this price formation process? If so, how should exchanges and regulators ideally design the rules of trading? Is there a role for market making, should the market be fully transparent, should insider trading be permitted, should transactions be taxed, and is high-frequent trading good or bad for the market?
In this course we will address these and related questions. The course seeks to give a broad introduction to the field of Financial Markets Microstructure covering theory, evidence and policy. It also provides deeper insight on topics of current interest on the basis of selected current research papers.
The course partly gives participants a review of the facts on financial markets, partly presents the key theoretical models, and partly addresses how the models are applied to the important issues.
MSc programme
in Economics – elective course
The PhD Programme in Economics at the Department of Economics:
- The course is an elective course with research module. In order to register for the research module and to be able to write the research assignment, the PhD students must contact the study administration AND the lecturer.
The course is open to:
- Exchange and Guest students from abroad
- Credit students from Danish Universities
- Open University students
After completing the course the student is expected to be able to:
Knowledge
-
Define types of financial markets and their characteristics
-
Account for the standard theoretical models used to model financial markets
-
Discuss current issues in the financial markets literature
Skills
-
Set up financial market problems as game-theoretic models
-
Analyze price formation in different types of financial markets and derive results on measures such as liquidity and market depth
- Analyze the pros and cons of different market structures seen from the perspectives of different market participants
Competencies
-
Explain and discuss key theoretical concepts from academic articles, as well as discuss their interpretation
-
Apply the most relevant theoretical apparatus to analyze case-based problems
Mostly lectures covering the syllabus with a view towards accomplishing the course goals. Supplemented by problem sets.
Thierry Foucault, Marco Pagano and Ailsa Röell: “Market Liquidity: Theory Evidence and Policy,” Oxford University Press, 2013. 439 pages.
Various papers that will be announced later.
The course builds mainly on the knowledge of basic concepts in
Finance (types of financial assets, discounting). Students are
therefore encouraged to have taken a course in finance, such as
"Corporate Finance and Incentives" or "Financial
Decision Making" at the Study of Economics, University of
Copenhagen.
We employ basic game theory, on the level presented in the
Microeconomics III course (or equivalent) at the Study of
Economics, University of Copenhagen. In particular, students are
assumed to be familiar with concepts such as Bayes-Nash equilibrium
and Perfect Bayesian Equilibrium.
The students are encouraged to have followed "Advanced Game
Theory" at the Study of Economics, University of Copenhagen or
to follow it in parallel.
Finally, the course assumes the students have confident grasp of
probability theory, on the level presented in the course
"Probability Theory and Statistics" at the Bachelor in
Economics, University of Copenhagen. In particular, students are
supposed to be familiar with conditional probabilities and the
Bayes' rule, conditional mathematical expectations, and related
topics.
Schedule:
2 hours lectures one to two times a week from week 6 to 20.
The overall schema can be seen at KUnet:
MSc in Economics => "courses and teaching" =>
"Planning and overview" => "Your timetable"
KA i Økonomi => "Kurser og undervisning" =>
"Planlægning og overblik" => "Dit skema"
Timetable and venue:
To see the time and location of lectures please press the link
under "Timetable"/"Se skema" at the right side
of this page (F means Spring).
Please be aware:
- The schedule of the lectures can change without the participants´
acceptance. If this occure, you can see the new schedule in your
personal timetable at KUnet, in the app myUCPH and through the
links in the right side of this course description and the link
above.
- It is the students´s own responsibility continuously throughout
the study to stay informed about their study, their teaching, their
schedule, their exams etc. through the curriculum of the study
programme, the study pages at KUnet, student messages, the course
description, the Digital Exam portal, Absalon, the personal schema
at KUnet and myUCPH app etc.
The lecturer gives collective oral feedback during lectures and individual oral feedback upon request.
for enrolled students: Rules etc at Master(UK) and Master(DK)
When registered you will be signed up for exam.
- Full-degree students – sign up at Selfservice on KUnet
- Exchange and guest students from abroad – sign up through Mobility Online and Selfservice- read more through this website.
- Credit students from Danish universities - sign up through this website.
- Open University students - sign up through this website.
The dates for the exams are found here Exams – Faculty of Social Sciences - University of Copenhagen (ku.dk)
Please note that it is your own responsibility to check for overlapping exam dates.
- ECTS
- 7,5 ECTS
- Type of assessment
-
Written assignment, 12 hours
- Type of assessment details
- Individual take-home exam.
The exam assignment is in English and must be answered in English.
It is not allowed to collaborate on the assignment with anyone. - Exam registration requirements
-
There are no requirements during the course that the student has to fulfill to be able to sit the exam.
- Aid
- All aids allowed
Use of AI tools, such as ChatGPT, is allowed for the written exam.
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
for the written exam.
- Exam period
-
Exam information:
More information is available in Digital Exam from the middle of the semester.
More information about examination, rules, aids etc. at Master (UK) and Master (DK).
- Re-exam
-
Same as the ordinary exam.
Reexam information:
More information in Digital Exam in August.
More info: Master(UK) and Master(DK)
Criteria for exam assessment
Students are assessed on the extent to which they master the learning outcome for the course.
In order to obtain the top grade “12”, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material and can make use of the knowledge, skills and competencies listed in the learning outcomes.
In order to obtain the passing grade “02”, the student must in a satisfactory way be able to demonstrate a minimal acceptable level of the knowledge, skills and competencies listed in the learning outcomes.
Single subject courses (day)
- Category
- Hours
- Lectures
- 42
- Preparation
- 152
- Exam
- 12
- English
- 206
Kursusinformation
- Language
- English
- Course number
- AØKK08396U
- ECTS
- 7,5 ECTS
- Programme level
- Full Degree Master
Ph.D.
- Duration
-
1 semester
- Placement
- Spring
- Go to 'Signup' for information about registration and enrollment.
- Price
-
Information about admission and tuition fee: Master and Exchange Programme, credit students and guest students (Open University)
- Schedulegroup
-
and venue:
- For teaching: Go to 'Remarks'.
- For exam and re-sits: Go to 'Exam'. - Studyboard
- Department of Economics, Study Council
Contracting department
- Department of Economics
Contracting faculty
- Faculty of Social Sciences
Course Coordinator
- Egor Starkov (12-71737b7e3a7f806d7e777b824c716f7b7a3a77813a7077)
Teacher
See ‘Course Coordinators’
Please read "Remarks" regarding the schedule of the
teaching.
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Courseinformation of students