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Market Microstructure · LearnSpace
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Market Microstructure

Курс от Università di Napoli Federico II
Средний≈ 15.4 чАнглийский
О курсеНавыкиПрограммаПреподаватели

О курсе

Within this course you will learn about price formation and liquidity in securities markets. You will discover the determinants of market depth and security trading. In particular, the course focuses on price formation and liquidity in securities markets. The main issues covered are how to measure trading costs; how security prices, their liquidity and speed of price discovery are jointly determined, and how order flow affects prices; what are the determinants of market depth; how security trading is organized and regulated and how it has been reshaped by algorithmic and high frequency trading; how the organization of security trading affects trading costs and informational efficiency.

Навыки, которые вы освоите

Market LiquidityMarket DynamicsSecurities TradingOrder ProcessingCapital MarketsFinancial MarketEstimationSecurities (Finance)AlgorithmsMarket DataFinancial RegulationFinancial Trading

Программа курса

6 модулей · 158 учебных материалов

01Basics29 материалов

Introduction: What is market microstructure?

IntroductionВидеоPerfect vs. real-world financial marketsВидеоLiquidityВидеоPrice discoveryВидеоWhy should we care?Видео

Учитесь у экспертов

Marco Pagano

Professor of Finance

Market Microstructure
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Обучение на Coursera

≈ 15.4 ч

6 модулей

Язык: Английский

Субтитры: Казахский

Часть программы вашего университета
Why should we care?Задание
Market microstructure and empirical puzzlesВидео
Policy IssuesВидео
What is market microstructure?Чтение

Basics of security trading

Where does trading occur?ВидеоWho trades securities?ВидеоThe life-cycle of an orderВидеоBasics of security tradingЧтение

Market mechanisms

The two basic trading mechanisms: limit order and dealer marketsВидеоLimit order markets: how do they work?ВидеоLimit order marketЗаданиеDealer markets: how do they work?ВидеоMany real-world markets are dual or hybridВидеоDimensions in which market platforms differВидеоMarket transparencyВидеоFrequency of tradingВидеоMarket mechanismsЧтение

Who sets the rules?

Interplay of public regulation and self-regulationВидеоRole of competition between market platforms in shaping their designВидеоEffect of changes in regulation on competition between platformsВидеоEffect of changes in technology on trading strategies and competition between platformsВидеоWho sets the rules?ЧтениеKey takeawaysЧтениеBasicsЗадание
02Measuring liquidity35 материалов

Explicit and implicit trading costs

Explicit and implicit trading costsВидеоBreaking down implicit trading costsВидеоData requirements of implicit trading cost measuresВидеоExplicit and implicit trading costsЧтение

Spread - based measures

Quoted spreadВидеоQuoted spreadЧтениеQuoted spreadЗаданиеEffective spreadВидеоRealized spreadВидеоValue-Weighted Average Price (VWAP)ВидеоSpread: based measuresЧтениеRealized spreadЗадание

Measure based on order flow and volume data

Price ImpactВидеоExample of estimates of price impactВидеоAmihud Illiquidity RatioВидеоOther volume-based measuresВидеоMeasure based on order flow and volume dataЧтениеPrice impactЗадание

Roll's measure: based only on transaction prices

Definition and rationale of Roll's measureВидеоAssumptions and derivation of Roll's measureВидеоPossible biases in Roll's measureВидеоBias in Roll's measure due to unbalanced order flowВидеоBias in Roll's measure due to autocorrelated order flowВидеоBias in Roll's measure if the order flow is informativeВидео

Liquidity's time dimension: implementation shortfall

Time dimension of liquidityВидеоImplementation shortfallВидеоIntuitive meaningВидеоTime dimension of liquidityЧтениеImplementation shortfallЗаданиеKey takeawaysЧтениеMeasuring Liquidity
03Price dynamics and Liquidity (part 1)24 материалов

Price formation and order flow

Real-world intraday price fluctuationsВидеоPrice formation in a frictionless worldВидеоReal-world intraday price fluctuationsВидеоPrice formation and order flowЧтение

Prices with informative order flow: static model

The static Glosten-Milgrom modelВидеоLearning from the order flowВидеоDerivation of the first ask in the trading dayВидеоDerivation and properties of the bid-ask spreadВидеоPrices with informative order flow: static modelЧтениеPrices with informative order flowЗадание

Prices with informative order flow: dynamic model

Dynamics of quotes in the Glosten-Milgrom modelВидеоDerivation and properties of the bid-ask spread at any time in the trading dayВидеоPrice dynamics in response to the order flowВидеоBelief dynamics and price dynamicsВидеоDual role of equilibrium bid and ask quotesВидеоPrice discovery and informational efficiencyВидео
04Price dynamics and Liquidity (part 2)24 материалов

Mean reversion in prices after orders

Short term reversal in asset prices following an orderВидеоCan informed trading account for such price reversals?ВидеоIntroduce order processing costs and inventory holding costsВидеоMean reversion in prices after ordersЧтение

Prices and bid-ask spread in the presence of order processing costs

Bid-ask spread with order processing costsВидеоPrice dynamics with order processing costsВидеоShort-run price impact with order processing costsВидеоLong-run price impact with order processing costsВидеоDealer rents or order processing costs?ВидеоPrices and bid-ask spread in the presence of order processing costsЧтениеPrices and bid-ask spread in the presence of order processing costsЗадание

Prices and bid-ask spread with inventory holding costs

Prices and bid-ask spread with inventory holding costsВидеоPrice pressure from the order flowВидеоMove to a dynamic model of prices with inventory holding costsВидеоDynamic optimization by dealersВидеоPrice dynamics with inventory holding costsВидеоInventory and price dynamics with inventory holding costsВидео

The full picture

Price dynamics if asymmetric information, order processing costs and inventory holding costs are all presentВидеоThe full pictureЧтениеKey takeawaysЧтениеPrice Dynamics and Liquidity part 2Задание
05Trade side and Market Depth24 материалов

Impact of trade size on prices: market depth

Societé Generale, January 2008ВидеоDepth vs. liquidityВидеоImpact of trade size on pricesЧтение

Market depth in call markets with asymmetric information

Assumptions of the Kyle modelВидеоSteps in solving the modelВидеоFirst step: market makers' inferenceВидеоSecond step: imposing market makers' zero-profit conditionВидеоThird step: choice of the trade size by the informed investorВидеоFourth step: Nash equilibriumВидеоEquilibrium market depth and expected profits of the insiderВидеоIntroducing imperfect competition in the Kyle modelВидеоMarket depth with imperfect competition in the Kyle modelВидеоMarket depth in call markets with asymmetric informationЧтениеMarket depth in call markets with asymmetric informationЗадание

Market depth in call markets with risk averse dealers

Optimization by competitive and risk-averse market makersВидеоEquilibrium price with competitive and risk-averse market makersВидеоDepth with competitive and risk-averse market makersВидеоIntroducing imperfect competition in the modelВидеоDepth with imperfectly competitive and risk-averse market makersВидеоRisk sharing with perfectly and imperfectly competitive market makersВидео
06Algorithmic and High-Frequency Trading22 материалов

What are algorithmic and high frequency trading?

Definition of algorithmic and high-frequency tradingВидеоTypes of algo trading strategiesВидеоWhat are algorithmic and high frequency trading?Чтение

Effects of algorithmic and high frequency trading on market quality

Potential effects on market liquidityВидеоEmpirical evidence regarding the effects on market liquidityВидеоEffects on price discoveryВидеоEffects on market manipulationВидеоEffects of algorithmic and high frequency trading on market qualityЧтение

Investment in trading speed as an arm race

Modelling investment in speed as an arms raceВидеоDetermination of quotes and of the competitive bid-ask spreadВидеоSpeculators' expected profits and choice of speedВидеоNash equilibrium where all speculators are fastВидеоInefficiency of the investment in speedВидеоInvestment in speed by market makersВидео

Destabilizing effects of speed and regulatory interventions

Effect of high-frequency trading on operational riskВидеоEffects of high-frequency trading on market liquidity and stabilityВидеоSlowing down tradingВидеоDestabilizing effects of speed and regulatory interventionsЧтениеKey takeawaysЧтениеAlgorithmic and High-Frequency TradingЗадание
Bias in Roll's measure if there is a trend in expected returnsВидео
Empirical performance of Roll's measureВидео
Roll's measureЧтение
Assumptions and derivation of Roll's measureЗадание
Задание
ExamplesЗадание
Dynamics of squared pricing errorsВидео
Tradeoff between speed of price discovery and market illiquidityВидео
Return volatilityВидео
Prices with informative order flow: dynamic modelЧтение
Price discovery and informational efficiencyЗадание
Key takeawaysЧтение
Price Dynamics and Liquidity part 1Задание
Testable implications of the dynamic inventory holding cost modelВидео
Prices and bid-ask spread with inventory holding costsЧтение
Prices and bid-ask spread with inventory holding costsЗадание
Market depth in call markets with risk averse dealersЧтение
Risk sharing with perfectly and imperfectly competitive market makersЗадание
Key takeawaysЧтение
Trade side and Market DepthЗадание
Investment in trading speed as an arms raceЧтение
Speculators' expected profits and choice of speedЗадание