Trading & Exchanges

Contents:

This course will try to illuminate the structure and machinations of the Securities Trade. Such tools are key requirements in understanding modern financial markets. During the semester the following themes will be highlighted: How are the markets for securities designed ?; How do different market participants behave and which Trading Strategies do they implement; Furthermore how does the market structure and the behavior of market participants affect pricing, price efficiency, fairness and stability in financial markets ? Subsequently, after a introduction of relevant theoretical models, course participants will engage in an investigation of the market microstructure using empirical data. In addition there will be a discussion of current topics e.g. High-Frequency Trading.

Literature:

• Harris, Larry (2002): "Trading and Exchanges -Market Microstructure for Practitioners", Oxford University Press.

• O'Hara, Maureen (1995): "Market Microstructure Theory". Cambridge, Mass.: Blackwell Publishers.

• Hasbrouck, Joel (2007): "Empirical Market Microstructure: The lnstitutions, Economics, and Econometrics of Securities Trading", Oxford University Press.