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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.
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
Finance courses in 2nd year of the school
written exam of 1h30 without any document (E1, represents 50% of the final grade) and project (P, represents 50% of the final grade)
The course exists in the following branches:
Course ID : WMMF9M30
The course is attached to the following structures:
You can find this course among all other courses.
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)
Date of update January 15, 2017