中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
您将学到什么
security market; trading; market liquidity and funding liquidity
您将获得的技能
要了解的详细信息
可分享的证书
添加到您的领英档案
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
此课程作为 的一部分提供
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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
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
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
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
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
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
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