FIN 740 Financial Market Microstructure
The field of market microstructure is concerned with how markets operate and how transaction dynamics influence security price behavior. Market microstructure has quickly rapidly as an important subfield of finance. The studies in this are concentrate on the relationships between liquidity, volatility, market design, price discovery, and ultimately also social welfare. Different models in market microstructure offer a framework for the investigations of trading volume and price momentums. The course covers the canonical models in the field of microstructure and how they can be adjusted to investigate the effects of recent changes in market structures and trading technologies (e.g., high frequency trading). They students will also learn various relevant econometric models and how they can be applied in practice.