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Informatique et Mathématiques appliquées
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> Formation > Cursus ingénieur

Microstructure of Financial Markets

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  • Number of hours

    • Lectures : 36.0
    ECTS : 3.5

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(50%) and empirical project (50%)



N1=50%E1+50%projet
N2=E2

Additional Information

Curriculum->For Financial Engineering->Semester 5

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.

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Université Grenoble Alpes