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Market Microstructure

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Market Microstructure

Dieser Kurs ist Teil mehrerer Programme.

Dozent: Marco Pagano

3.785 bereits angemeldet

Bei enthalten

Mehr erfahren

6 Module

Verschaffen Sie sich einen Einblick in ein Thema und lernen Sie die Grundlagen.

Stufe Mittel

Empfohlene Erfahrung

2 Wochen zu vervollständigen

unter 10 Stunden pro Woche

Flexibler Zeitplan

In Ihrem eigenen Lerntempo lernen

6 Module

Verschaffen Sie sich einen Einblick in ein Thema und lernen Sie die Grundlagen.

Stufe Mittel

Empfohlene Erfahrung

2 Wochen zu vervollständigen

unter 10 Stunden pro Woche

Flexibler Zeitplan

In Ihrem eigenen Lerntempo lernen

Was Sie lernen werden

security market; trading; market liquidity and funding liquidity

Kompetenzen, die Sie erwerben

Kategorie: Securities Trading
Kategorie: Market Dynamics
Kategorie: Capital Markets
Kategorie: Order Processing
Kategorie: Financial Regulation
Kategorie: Algorithms
Kategorie: Market Liquidity
Kategorie: Financial Market
Kategorie: Estimation
Kategorie: Securities (Finance)
Kategorie: Financial Trading
Kategorie: Market Data

Wichtige Details

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21 Aufgaben

Unterrichtet in Englisch

Erfahren Sie, wie Mitarbeiter führender Unternehmen gefragte Kompetenzen erwerben.

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In diesem Kurs gibt es 6 Module

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.

Moduldetails

This module presents the subject of the course and its main concepts: liquidity and price discovery, and basic notions of trading in securities markets.

Das ist alles enthalten

21 Videos5 Lektüren3 Aufgaben

21 VideosInsgesamt 77 Minuten

Introduction2 Minuten
Perfect vs. real-world financial markets2 Minuten
Liquidity4 Minuten
Price discovery4 Minuten
Why should we care?3 Minuten
Market microstructure and empirical puzzles3 Minuten
Policy Issues4 Minuten
Where does trading occur?3 Minuten
Who trades securities?2 Minuten
The life-cycle of an order2 Minuten
The two basic trading mechanisms: limit order and dealer markets1 Minute
Limit order markets: how do they work?8 Minuten
Dealer markets: how do they work?6 Minuten
Many real-world markets are dual or hybrid3 Minuten
Dimensions in which market platforms differ1 Minute
Market transparency2 Minuten
Frequency of trading1 Minute
Interplay of public regulation and self-regulation5 Minuten
Role of competition between market platforms in shaping their design5 Minuten
Effect of changes in regulation on competition between platforms6 Minuten
Effect of changes in technology on trading strategies and competition between platforms9 Minuten

5 LektürenInsgesamt 51 Minuten

What is market microstructure?15 Minuten
Basics of security trading3 Minuten
Market mechanisms15 Minuten
Who sets the rules?15 Minuten
Key takeaways3 Minuten

3 AufgabenInsgesamt 50 Minuten

Basics30 Minuten
Why should we care?10 Minuten
Limit order market10 Minuten

In this week you will learn that some trading costs are explicit, others implicit, and how to measure trading costs using different types of data. Furthermore, you will learn how to take the time dimension of trading into account.

Das ist alles enthalten

22 Videos7 Lektüren6 Aufgaben

22 VideosInsgesamt 60 Minuten

Explicit and implicit trading costs3 Minuten
Breaking down implicit trading costs2 Minuten
Data requirements of implicit trading cost measures2 Minuten
Quoted spread3 Minuten
Effective spread5 Minuten
Realized spread4 Minuten
Value-Weighted Average Price (VWAP)3 Minuten
Price Impact2 Minuten
Example of estimates of price impact1 Minute
Amihud Illiquidity Ratio2 Minuten
Other volume-based measures4 Minuten
Definition and rationale of Roll's measure2 Minuten
Assumptions and derivation of Roll's measure4 Minuten
Possible biases in Roll's measure1 Minute
Bias in Roll's measure due to unbalanced order flow2 Minuten
Bias in Roll's measure due to autocorrelated order flow2 Minuten
Bias in Roll's measure if the order flow is informative1 Minute
Bias in Roll's measure if there is a trend in expected returns2 Minuten
Empirical performance of Roll's measure2 Minuten
Time dimension of liquidity3 Minuten
Implementation shortfall4 Minuten
Intuitive meaning5 Minuten

7 LektürenInsgesamt 41 Minuten

Explicit and implicit trading costs2 Minuten
Quoted spread3 Minuten
Spread: based measures10 Minuten
Measure based on order flow and volume data5 Minuten
Roll's measure15 Minuten
Time dimension of liquidity5 Minuten
Key takeaways1 Minute

6 AufgabenInsgesamt 48 Minuten

Measuring Liquidity30 Minuten
Quoted spread5 Minuten
Realized spread5 Minuten
Price impact3 Minuten
Assumptions and derivation of Roll's measure3 Minuten
Implementation shortfall2 Minuten

This module talks about price formation in markets with asymmetric information. You’ll understand why in these markets prices respond to the order flow and you’ll know how the informativeness of the order flow affects market liquidity and price discovery.

Das ist alles enthalten

16 Videos4 Lektüren4 Aufgaben

16 VideosInsgesamt 64 Minuten

Real-world intraday price fluctuations3 Minuten
Price formation in a frictionless world4 Minuten
Real-world intraday price fluctuations2 Minuten
The static Glosten-Milgrom model6 Minuten
Learning from the order flow5 Minuten
Derivation of the first ask in the trading day6 Minuten
Derivation and properties of the bid-ask spread1 Minute
Dynamics of quotes in the Glosten-Milgrom model5 Minuten
Derivation and properties of the bid-ask spread at any time in the trading day6 Minuten
Price dynamics in response to the order flow5 Minuten
Belief dynamics and price dynamics2 Minuten
Dual role of equilibrium bid and ask quotes2 Minuten
Price discovery and informational efficiency8 Minuten
Dynamics of squared pricing errors5 Minuten
Tradeoff between speed of price discovery and market illiquidity1 Minute
Return volatility2 Minuten

4 LektürenInsgesamt 28 Minuten

Price formation and order flow4 Minuten
Prices with informative order flow: static model8 Minuten
Prices with informative order flow: dynamic model15 Minuten
Key takeaways1 Minute

4 AufgabenInsgesamt 55 Minuten

Price Dynamics and Liquidity part 130 Minuten
Prices with informative order flow10 Minuten
Examples5 Minuten
Price discovery and informational efficiency10 Minuten

In this week we’ll talk about frictions that contribute to the bid-ask spread and generate mean reversion in prices and you’ll learn about order processing costs. Moreover, you’ll know the imperfect competition among market makers and how inventory holding costs of risk-averse dealers.

Das ist alles enthalten

16 Videos5 Lektüren3 Aufgaben

16 VideosInsgesamt 55 Minuten

Short term reversal in asset prices following an order2 Minuten
Can informed trading account for such price reversals?2 Minuten
Introduce order processing costs and inventory holding costs2 Minuten
Bid-ask spread with order processing costs3 Minuten
Price dynamics with order processing costs1 Minute
Short-run price impact with order processing costs1 Minute
Long-run price impact with order processing costs1 Minute
Dealer rents or order processing costs?3 Minuten
Prices and bid-ask spread with inventory holding costs5 Minuten
Price pressure from the order flow10 Minuten
Move to a dynamic model of prices with inventory holding costs3 Minuten
Dynamic optimization by dealers8 Minuten
Price dynamics with inventory holding costs1 Minute
Inventory and price dynamics with inventory holding costs3 Minuten
Testable implications of the dynamic inventory holding cost model6 Minuten
Price dynamics if asymmetric information, order processing costs and inventory holding costs are all present5 Minuten

5 LektürenInsgesamt 47 Minuten

Mean reversion in prices after orders8 Minuten
Prices and bid-ask spread in the presence of order processing costs8 Minuten
Prices and bid-ask spread with inventory holding costs20 Minuten
The full picture1 Minute
Key takeaways10 Minuten

3 AufgabenInsgesamt 37 Minuten

Price Dynamics and Liquidity part 230 Minuten
Prices and bid-ask spread in the presence of order processing costs2 Minuten
Prices and bid-ask spread with inventory holding costs5 Minuten

This week will explain how orders of different sizes have a different impact on prices and how price impact is an inverse measure of market depth. You’ll learn that depth is affected by order flow informativeness, market risk absorption capacity and competition between liquidity suppliers.

Das ist alles enthalten

17 Videos4 Lektüren3 Aufgaben

17 VideosInsgesamt 68 Minuten

Societé Generale, January 20083 Minuten
Depth vs. liquidity3 Minuten
Assumptions of the Kyle model5 Minuten
Steps in solving the model1 Minute
First step: market makers' inference4 Minuten
Second step: imposing market makers' zero-profit condition5 Minuten
Third step: choice of the trade size by the informed investor3 Minuten
Fourth step: Nash equilibrium6 Minuten
Equilibrium market depth and expected profits of the insider7 Minuten
Introducing imperfect competition in the Kyle model4 Minuten
Market depth with imperfect competition in the Kyle model4 Minuten
Optimization by competitive and risk-averse market makers7 Minuten
Equilibrium price with competitive and risk-averse market makers2 Minuten
Depth with competitive and risk-averse market makers4 Minuten
Introducing imperfect competition in the model4 Minuten
Depth with imperfectly competitive and risk-averse market makers2 Minuten
Risk sharing with perfectly and imperfectly competitive market makers3 Minuten

4 LektürenInsgesamt 38 Minuten

Impact of trade size on prices2 Minuten
Market depth in call markets with asymmetric information25 Minuten
Market depth in call markets with risk averse dealers10 Minuten
Key takeaways1 Minute

3 AufgabenInsgesamt 51 Minuten

Trade side and Market Depth30 Minuten
Market depth in call markets with asymmetric information6 Minuten
Risk sharing with perfectly and imperfectly competitive market makers15 Minuten

By the end of this week, you will learn the fundamentals of algorithmic and high-frequency trading, their impact on market quality, and explore policies to mitigate trading speed effects.