Number of hours
- Lectures 36.0
ECTS
ECTS 3.5
Goal(s)
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(s)
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
Test
written exam of 1h30(50%) and empirical project (50%)
N1=50%E1+50%projet
N2=E2
Bibliography
Biais B., Foucault T. et P. Hillion (1997) "Microstructure des marchés financiers", PUF Collection Finance.
O’Hara, M. (1995) "Market microstructure theory", Blackwell Business.