Module ECON423JN: MARKET MICROSTRUCTURE

Department: Economics and Finance

ECON423JN: MARKET MICROSTRUCTURE

Prerequisites

• None

Corequisites

• EITHER Advanced Financial Theory (ECON412JN) OR Advanced Microeconomics (ECON447JN)

Excluded Combination of Modules

• None.

Aims

• to develop students' ability to master the knowledge and understanding at an advanced level of key issues in the organisation and operations of financial markets;
• to provide students with the opportunity to develop the ability to critically understand theoretical and empirical research in the field of market microstructure and the implications of alternative trading mechanisms;
• to provide students with the ability to critically review this specialised complex area of knowledge with a view to undertaking a dissertation in the field of market microstructure and potentially future research work in this area.

Content

• Financial Markets and Trading Industry: An Introduction (To include financial markets; traders; trading instruments; market regulations);
• The Structure of Trading (To include market structure and order executions; Orders and order properties; Order driven markets);
• Trading Systems (To include Floor vs. Automated Trading systems, Internalisation, preferencing, and crossing);
• The suppliers of Liquiduity and Market Liquidity (To include Dealers; Bid/Ask spreads; Arbitrage);
• Empirical Issues on Market Microstructure (Contemporary empirical issues on market microstructure not covered elsewhere in this module. Depending on the topic, these sessions (or part of) could be led by students. These contemporary empirical issues will be reviewed every year by the module team and the key papers selected. For instance, possible issues include: Modelling the cost components of bid-ask spread; What makes the stocks to migrate from one stock exchange to another?)

Learning Outcomes

• By the end of this module students should:
• have an advanced knowledge and critical understanding of the principles and practice of the working of the main stock exchanges, their microstructure and the implications of this for trading efficiency and regulation;
• have understood the roles of information, liquidity, trading costs and major players in financial markets, including the complexity and contradictions inherent in these roles;
• have explored, understood and appreciated the complexity and contradictions of the current academic literature and its implications for professional practice;
• have demonstrated ability to learn and work independently in this area, exercising critical judgement and discrimination in the resolution of complex problematic situations.

• have used highly specialised and advanced technical, professional and academic skills in the analysis of relevant specific problems in the area of market microstructure;
• have practised problem solving and analytical skills in the area of market mcirostructure.

• Written Communication;
• Planning, Organising and Time Management;
• Problem Solving and Analysis;
• Using Initiative;
• Numeracy;
• Computer Literacy.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

• A combination of lectures, seminars and guided reading will contribute to achieving the aims and learning outcomes of this module. The summative written examination will test students' knowledge and critical understanding of the material covered in the module, their analytical and problem-solving skills.

Teaching Methods and Learning Hours

Summative Assessment

Formative Assessment:

Work prepared by students for seminars; answers to questions either discussed during a seminar, or posted on DUO.

■ Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University