Market microstructure is one of the youngest but most rapidly growing areas of finance. It focuses on the organization of traded markets, including those for equities, bonds, money market instruments, foreign exchange and derivatives (including futures, options and swaps). It explores the concepts of liquidity, transparency, the information content of bids, offers and trades, information asymmetries, order flow externalities, principal-agent problems, the design of markets, the rules of markets, the volatility of markets, the failure of markets, the regulation of markets and the costs of trading. Empirical work in this area typically involves huge datasets. Students will leave this course with a thorough understanding of the structure of the markets in which they will likely spend their careers.
[(MSF 504 with min. grade of C and MSF 505 with min. grade of C)]