Ensimag Rubrique Formation 2022

Microstructure of Financial Markets - WMMF9M30

  • Number of hours

    • Lectures 36.0
    • Projects -
    • Tutorials -
    • Internship -
    • Laboratory works -
    • Written tests -

    ECTS

    ECTS 4.0

Goal(s)

The aim of this course is to present the mechanisms governing financial markets. We describe the different ways in which financial markets are organized, as well as the behavior of agents on these markets. We present the theory of microstructure, which studies the financial asset prices formation. In particular, asset pricing models with asymmetrically informed investors will be studied. The question of financial markets liquidity will also be addressed.

Responsible(s)

Sonia JIMENEZ GARCES

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, fragmented vs centralized market….

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

Prerequisites for this course are the following 2nd year finance courses:

  • Investment, Financing and Firm Valuation (IFEE)
  • Financial Markets
  • Financial Theory

Test

Evaluation : 50% of Projet (évaluation en continu et sur le rendu) and 50% of Examen Ecrit (1h30)

Resit : Examen Ecrit (1h30)

Session 1 CONTINUOUS ASSESSMENT: Project due
Session 1 exam: 1h30 written exam (no documents allowed, no material allowed)
Session 2 exam: 1h30 written exam (no documents allowed, no material allowed)

Calendar

The course exists in the following branches:

see the course schedule for 2025-2026

Additional Information

Course ID : WMMF9M30
Course language(s): FR

The course is attached to the following structures:

  • Team Finance.

You can find this course among all other courses.

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)