2024/2025
Микроструктура финансовых рынков
Статус:
Маго-лего
Кто читает:
Международный институт экономики и финансов
Когда читается:
2 модуль
Охват аудитории:
для всех кампусов НИУ ВШЭ
Преподаватели:
Булатов Алексей Эрикович
Язык:
английский
Кредиты:
3
Контактные часы:
28
Course Syllabus
Abstract
This course covers some of the materials on the microstructure theory of financial markets developed over the last three decades. Theoretical Market Microstructure is intended to develop economic models of financial markets within a “microscopic” approach when one explicitly takes into account a particular market design and types of agents involved in a trading process. One application of the Market Microstructure models is analysis of the impact of market organizational structure on various important market characteristics, such as price efficiency, transaction costs, liquidity, etc., and to construct quantitative indicators of market quality. The main part of the course is based on original academic research papers on Market Microstructure theory. The emphasis is on the finance models that allow for analytic solutions (analytically tractable.) The course material is intended to be technically self-consistent, which means that we review all necessary background mathematical tools. The primary goal is to develop the ability of applying quantitative models and making (correct) calculations to analyze specific problems, rather than on proving general theorems in a rigorous way. In other words, the tilt is towards a practical theory course. This course is quantitative and relies on technical skills developed throughout the course. The prerequisite for this class are: Graduate standing, and some basic course on Financial Economics, e.g. based on Huang and Litzenberger, Foundations for Financial Economics (HL). Although the course materials are self-contained, the students are recommended to carefully read the HL before taking the course. The prerequisite for this class are: Graduate standing, and some basic course on Financial Economics, e.g. based on Huang and Litzenberger, Foundations for Financial Economics (HL). Although the course materials are self-contained, the students are recommended to carefully read the HL before taking the course.
Learning Objectives
- The goal is to provide students with the tools and basic knowledge required to understand and appreciate original academic papers on market microstructure
Expected Learning Outcomes
- Be able to conduct research, including problem analysis, setting goals and objectives, identifying the object and subject of research, choosing the means and methods of research
- Build theoretical and econometric models, analyze and meaningfully interpret the results obtained
- Find, evaluate and use information from various sources, necessary to solve scientific and professional problems
- Identify the scientific nature of the problems in the professional field
Course Contents
- Introduction
- Information and prices; Rational Expectations Equilibrium (REE)
- Models of strategic trading
- Information and markets
- Liquidity and algorithmic trading
- Models of the limit order book (LOB)
- Microstructure models: overview
Interim Assessment
- 2024/2025 2nd module0.55 * final exam + 0.2 * Class participation including the presentation of papers + 0.25 * midterm exam
Bibliography
Recommended Core Bibliography
- Harris, L. (2002). Trading and Exchanges : Market Microstructure for Practitioners. Oxford: Oxford University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2096842
- The microstructure of financial markets, Jong de, F., 2009
Recommended Additional Bibliography
- Richard K. Lyons. (2006). The Microstructure Approach to Exchange Rates. The MIT Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.mtp.titles.026262205x