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.
Market Microstructure
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中级 等级
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中级
Basic knowledge of mathematics (analysis and theory of games, calculus and game theory), statistics, asset pricing.
2 周 完成
在 10 小时 一周
灵活的计划
自行安排学习进度
深入了解一个主题并学习基础知识。
中级 等级
推荐体验
推荐体验
中级
Basic knowledge of mathematics (analysis and theory of games, calculus and game theory), statistics, asset pricing.
2 周 完成
在 10 小时 一周
灵活的计划
自行安排学习进度
您将学到什么
security market; trading; market liquidity and funding liquidity
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作业
21 项作业
授课语言：英语（English）
了解顶级公司的员工如何掌握热门技能
积累特定领域的专业知识
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该课程共有6个模块
This module presents the subject of the course and its main concepts: liquidity and price discovery, and basic notions of trading in securities markets.
涵盖的内容
21个视频5篇阅读材料3个作业
21个视频•总计77分钟
- Introduction•2分钟
- Perfect vs. real-world financial markets•2分钟
- Liquidity•4分钟
- Price discovery•4分钟
- Why should we care?•3分钟
- Market microstructure and empirical puzzles•3分钟
- Policy Issues•4分钟
- Where does trading occur?•3分钟
- Who trades securities?•2分钟
- The life-cycle of an order•2分钟
- The two basic trading mechanisms: limit order and dealer markets•1分钟
- Limit order markets: how do they work?•8分钟
- Dealer markets: how do they work?•6分钟
- Many real-world markets are dual or hybrid•3分钟
- Dimensions in which market platforms differ•1分钟
- Market transparency•2分钟
- Frequency of trading•1分钟
- Interplay of public regulation and self-regulation•5分钟
- Role of competition between market platforms in shaping their design•5分钟
- Effect of changes in regulation on competition between platforms•6分钟
- Effect of changes in technology on trading strategies and competition between platforms•9分钟
5篇阅读材料•总计51分钟
- What is market microstructure?•15分钟
- Basics of security trading•3分钟
- Market mechanisms•15分钟
- Who sets the rules?•15分钟
- Key takeaways•3分钟
3个作业•总计50分钟
- Why should we care?•10分钟
- Limit order market•10分钟
- Basics•30分钟
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.
涵盖的内容
22个视频7篇阅读材料6个作业
22个视频•总计60分钟
- Explicit and implicit trading costs•3分钟
- Breaking down implicit trading costs•2分钟
- Data requirements of implicit trading cost measures•2分钟
- Quoted spread•3分钟
- Effective spread•5分钟
- Realized spread•4分钟
- Value-Weighted Average Price (VWAP)•3分钟
- Price Impact•2分钟
- Example of estimates of price impact•1分钟
- Amihud Illiquidity Ratio•2分钟
- Other volume-based measures•4分钟
- Definition and rationale of Roll's measure•2分钟
- Assumptions and derivation of Roll's measure•4分钟
- Possible biases in Roll's measure•1分钟
- Bias in Roll's measure due to unbalanced order flow•2分钟
- Bias in Roll's measure due to autocorrelated order flow•2分钟
- Bias in Roll's measure if the order flow is informative•1分钟
- Bias in Roll's measure if there is a trend in expected returns•2分钟
- Empirical performance of Roll's measure•2分钟
- Time dimension of liquidity•3分钟
- Implementation shortfall•4分钟
- Intuitive meaning•5分钟
7篇阅读材料•总计41分钟
- Explicit and implicit trading costs•2分钟
- Quoted spread•3分钟
- Spread: based measures•10分钟
- Measure based on order flow and volume data•5分钟
- Roll's measure•15分钟
- Time dimension of liquidity•5分钟
- Key takeaways•1分钟
6个作业•总计48分钟
- Quoted spread•5分钟
- Realized spread•5分钟
- Price impact•3分钟
- Assumptions and derivation of Roll's measure•3分钟
- Implementation shortfall•2分钟
- Measuring Liquidity•30分钟
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.
涵盖的内容
16个视频4篇阅读材料4个作业
16个视频•总计64分钟
- Real-world intraday price fluctuations•3分钟
- Price formation in a frictionless world•4分钟
- Real-world intraday price fluctuations•2分钟
- The static Glosten-Milgrom model•6分钟
- Learning from the order flow•5分钟
- Derivation of the first ask in the trading day•6分钟
- Derivation and properties of the bid-ask spread•1分钟
- Dynamics of quotes in the Glosten-Milgrom model•5分钟
- Derivation and properties of the bid-ask spread at any time in the trading day•6分钟
- Price dynamics in response to the order flow•5分钟
- Belief dynamics and price dynamics•2分钟
- Dual role of equilibrium bid and ask quotes•2分钟
- Price discovery and informational efficiency•8分钟
- Dynamics of squared pricing errors•5分钟
- Tradeoff between speed of price discovery and market illiquidity•1分钟
- Return volatility•2分钟
4篇阅读材料•总计28分钟
- Price formation and order flow•4分钟
- Prices with informative order flow: static model•8分钟
- Prices with informative order flow: dynamic model•15分钟
- Key takeaways•1分钟
4个作业•总计55分钟
- Prices with informative order flow•10分钟
- Examples•5分钟
- Price discovery and informational efficiency•10分钟
- Price Dynamics and Liquidity part 1•30分钟
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.
涵盖的内容
16个视频5篇阅读材料3个作业
16个视频•总计55分钟
- Short term reversal in asset prices following an order•2分钟
- Can informed trading account for such price reversals?•2分钟
- Introduce order processing costs and inventory holding costs•2分钟
- Bid-ask spread with order processing costs•3分钟
- Price dynamics with order processing costs•1分钟
- Short-run price impact with order processing costs•1分钟
- Long-run price impact with order processing costs•1分钟
- Dealer rents or order processing costs?•3分钟
- Prices and bid-ask spread with inventory holding costs•5分钟
- Price pressure from the order flow•10分钟
- Move to a dynamic model of prices with inventory holding costs•3分钟
- Dynamic optimization by dealers•8分钟
- Price dynamics with inventory holding costs•1分钟
- Inventory and price dynamics with inventory holding costs•3分钟
- Testable implications of the dynamic inventory holding cost model•6分钟
- Price dynamics if asymmetric information, order processing costs and inventory holding costs are all present•5分钟
5篇阅读材料•总计47分钟
- Mean reversion in prices after orders•8分钟
- Prices and bid-ask spread in the presence of order processing costs•8分钟
- Prices and bid-ask spread with inventory holding costs•20分钟
- The full picture•1分钟
- Key takeaways•10分钟
3个作业•总计37分钟
- Prices and bid-ask spread in the presence of order processing costs•2分钟
- Prices and bid-ask spread with inventory holding costs•5分钟
- Price Dynamics and Liquidity part 2•30分钟
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.
涵盖的内容
17个视频4篇阅读材料3个作业
17个视频•总计68分钟
- Societé Generale, January 2008•3分钟
- Depth vs. liquidity•3分钟
- Assumptions of the Kyle model•5分钟
- Steps in solving the model•1分钟
- First step: market makers' inference•4分钟
- Second step: imposing market makers' zero-profit condition•5分钟
- Third step: choice of the trade size by the informed investor•3分钟
- Fourth step: Nash equilibrium•6分钟
- Equilibrium market depth and expected profits of the insider•7分钟
- Introducing imperfect competition in the Kyle model•4分钟
- Market depth with imperfect competition in the Kyle model•4分钟
- Optimization by competitive and risk-averse market makers•7分钟
- Equilibrium price with competitive and risk-averse market makers•2分钟
- Depth with competitive and risk-averse market makers•4分钟
- Introducing imperfect competition in the model•4分钟
- Depth with imperfectly competitive and risk-averse market makers•2分钟
- Risk sharing with perfectly and imperfectly competitive market makers•3分钟
4篇阅读材料•总计38分钟
- Impact of trade size on prices•2分钟
- Market depth in call markets with asymmetric information•25分钟
- Market depth in call markets with risk averse dealers•10分钟
- Key takeaways•1分钟
3个作业•总计51分钟
- Market depth in call markets with asymmetric information•6分钟
- Risk sharing with perfectly and imperfectly competitive market makers•15分钟
- Trade side and Market Depth•30分钟
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.
涵盖的内容
15个视频5篇阅读材料2个作业
15个视频•总计58分钟
- Definition of algorithmic and high-frequency trading•5分钟
- Types of algo trading strategies•4分钟
- Potential effects on market liquidity•8分钟
- Empirical evidence regarding the effects on market liquidity•2分钟
- Effects on price discovery•2分钟
- Effects on market manipulation•4分钟
- Modelling investment in speed as an arms race•4分钟
- Determination of quotes and of the competitive bid-ask spread•6分钟
- Speculators' expected profits and choice of speed•8分钟
- Nash equilibrium where all speculators are fast•4分钟
- Inefficiency of the investment in speed•2分钟
- Investment in speed by market makers•1分钟
- Effect of high-frequency trading on operational risk•1分钟
- Effects of high-frequency trading on market liquidity and stability•4分钟
- Slowing down trading•4分钟
5篇阅读材料•总计60分钟
- What are algorithmic and high frequency trading?•4分钟
- Effects of algorithmic and high frequency trading on market quality•15分钟
- Investment in trading speed as an arms race•20分钟
- Destabilizing effects of speed and regulatory interventions•20分钟
- Key takeaways•1分钟
2个作业•总计33分钟
- Speculators' expected profits and choice of speed•3分钟
- Algorithmic and High-Frequency Trading•30分钟
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Università di Napoli Federico II
Founded in 1224, Federico II is the oldest lay University in Europe. With its "Federica Web Learning" Center, it is the leader in Europe for open access multimedia education, and in the world's top ten for the production of MOOCs for providing new links between higher education and lifelong learning. Find out more on www.federica.eu.
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