Market Microstructure and Trading

Module code: EC7104

Module co-ordinator: Dr Aristotelis Boukouras

In this module you will explore how trading in financial markets works from both a theoretical and a practical perspective. We will investigate the motives and strategies of traders, dealers, and other financial market participants. The module is divided into three equal parts: theoretical models of trading, empirical analysis of financial data, and trading strategies.

Topics covered

  • Introduction to financial markets
  • Inventory models of trading
  • Information-based models
  • Models of limit order markets
  • Empirical market microstructure
  • The dynamics of financial returns
  • Market volatility
  • Technical trading
  • Arbitrage trading
  • Back-testing trading
  • Execution strategies

Learning

  • 20 one-hour lectures
  • 5 one-hour tutorials

Assessment

  • Exam, 2 hours (70%)
  • Coursework (30%)