Bachelor
2024/2025
Market Microstructure
Type:
Elective course (HSE/NES Programme in Economics)
Delivered by:
Undergraduate Programmes Curriculum Support
When:
3 year, 1 module
Open to:
students of one campus
Language:
English
Course Syllabus
Abstract
The overall purpose of the course is to engage students into the discussion of current issues and challenges that global financial markets are facing in the aftermath of financial crisis. The course will touch on numerous public policy issues, many of which are politically controversial and most of which are likely to continue to be important for years to come.
Learning Objectives
- A goal of the course is to provide students with a framework within which these public policy issues can be addresses in a useful manner. Students should be prepared to discuss and defend the ideas in their write-ups in class. For some questions, there is no “right” or “wrong” answer, in the sense that finance and economics professors themselves are likely to disagree about the answers to the questions. Students may talk to other students about the assigned questions, but each student should prepare a write-up individually, without looking at the write-ups of other students. Each student should list on the write-up the names of the other students with whom the student discussed the write-up.
Expected Learning Outcomes
- The students are able to assess critically their personal and someone else's experience in the current economic situation.
- The students are able to interprete economic events taking place in the global financial market.
- The students are engaged into the discussion of current issues and challenges that global financial markets are facing in the aftermath of financial crisis.
Course Contents
- Abacus Deal, Financial Crisis 2008‐2009
- Derivatives ‐ Buffett vs AIG
- London Whale Case ‐ Regulations after Financial Crisis
- Commodities Markets and Hedging
- Structuring of Retirement Systems
- Government Finance
- Sovereign Wealth Funds and Review
Assessment Elements
- In‐class testsAt the beginning of some lectures, there will be short 5-minute tests with questions about previously studied material. A goal of these tests is to help students not to fall behind on the material and also to make sure that students come on time
- AssignmentsThere will be two homework assignments to be prepared upon our discussion of corresponding topic in the class. Students will be required to analyze empirical and simulated data. Write-ups should be succinct and self-contained. Long write-ups are not necessarily good write-ups. Good business writing makes points in a manner that respects the reader’s time. Writeups should be uploaded onto mynes before the deadline.
- Midterm examA midterm 90-minute exam is in-class and closed-book. One double-sided A4 cheat-sheet is allowed.
- Projects
- Final examA final 90-minute exam is in-class and closed-book. One double-sided A4 cheat-sheet is allowed.
Interim Assessment
- 2024/2025 1st module0.2 * Assignments + 0.2 * Final exam + 0.2 * In‐class tests + 0.2 * Midterm exam + 0.2 * Projects
Bibliography
Recommended Core Bibliography
- Elements of financial risk management, Christoffersen, P. F., 2012
- Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition. [Place of publication not identified]: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1538007
- Röman, J. R. M. (2017). Analytical Finance: Volume I : The Mathematics of Equity Derivatives, Markets, Risk and Valuation. Cham, Switzerland: Palgrave Macmillan. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1344244
Recommended Additional Bibliography
- Remington, T. F. (2019). Institutional Change in Authoritarian Regimes: Pension Reform in Russia and China. Problems of Post-Communism, 66(5), 301–314. https://doi.org/10.1080/10758216.2018.1450154