Ensimag Rubrique Formation 2022

Microstructure of Financial Markets - WMMF9M30

  • Number of hours

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


    ECTS 4.0


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)

    • MCC en présentiel **
      Examen écrit (E, représente 50% de la note finale) et note de contrôle continu(CC, représente 50% de la note finale)
      E = examen écrit de 1h30 sans document
      CC = contrôle continu (projet à rendre)
      E2 = examen écrit (session de rattrapage)
    • MCC en distanciel **
      CC = contrôle continu (projet à rendre)
      E2 = examen écrit à distance (session de rattrapage)


The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 9
see the course schedule for 2023-2024

Additional Information

Course ID : WMMF9M30
Course language(s): FR

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)