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> Formation > Cursus ingénieur

Microstructure of Financial Markets - WMMF9M30

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  • Number of hours

    • Lectures : 36.0
    ECTS : 4.0

Goals

This course deals with financial markets mechanisms. We expose the different organization types of financial markets as well as the participants of these markets.
We present the financial markets microstructure theory which studies asset pricing mechanisms. In particular, asset pricing models in a context of information asymmetry are studied. We also address the issue of liquidity on financial markets.

Contact Sonia JIMENEZ (ÉP. BURLACU)

Content

1. The financial market organization
1.1 Financial markets : functions and main participants
1.2. Financial markets characteristics : fixing or continuous markets, market-makers markets, order-
driven markets, regulation,….
1.3. Financial markets effectiveness

2. Asset pricing
2.1. Asset pricing in a context of information asymmetry : rational expectations models with strategic vs. non strategic agents
2.2. Asset pricing and competitiveness: the position effect

3. Liquidity and transaction costs
3.1 The bid-ask spread and its different parts
3.2. The liquidity and the market performance
3.3. The transaction costs



Prerequisites

Finance courses in 2nd year of the school

Tests

written exam of 1h30 without any document (E1, represents 50% of the final grade) and project (P, represents 50% of the final grade)



Examen écrit (E, représente 50% de la note finale) et note de contrôle continu(CC, représente 50% de la note finale)
N1=50%*E+50%*CC
N2=E2


E = examen écrit de 1h30 sans document
CC = contrôle continu (projet à rendre)
E2 = examen écrit ou oral (session de rattrapage)

Additional Information

Curriculum->Financial Engineering->Semester 9

Bibliography

Microstructure des marchés financiers – B. Biais, T. Foucault, P. Hillion (PUF, 1997)
La Microstructure des marchés d’actions – A. Minguet (Economica, 2003)
Market Microstructure Theory – M. O’Hara (Blackwell Business, 2004)
The Microstructure of Financial Markets – F. De Jong and B. Rindi (Cambridge 2009)
Equity Markets in Action – R. A. Schwartz and R. Francioni (Wiley Trading, 2004)

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Date of update January 15, 2017

Grenoble INP Institut d'ingénierie Univ. Grenoble Alpes