Financial Markets Microstructure

Københavns Universitet - Financial Markets Microstructure Course, Spring 2020

Hi Friends,

I wanted to share a Master’s level university course on the financial market’s microstructure with you.

Per Robert Kissell¹,

Market microstructure is the study of financial markets and how they operate. Market microstructure research primarily focuses on the structure of exchanges and trading venues (e.g. displayed and dark), the price discovery process, determinants of spreads and quotes, intraday trading behavior, and transaction costs.

The YouTube Playlist (found here) covers (1 video per bullet point below):

• Lecture 1: Concepts and Institutions

• Lecture 2: Measuring Liquidity

• Lecture 3, part 1: Information and Prices

• Lecture 3, part 2: Glosten-Milgrom Model

• Lecture 4: Determinants of Liquidity

• Lecture 5, part 1: Depth determinants, Kyle Model

• Lecture 5, part 2: Empirics of Illiquidity

• Lecture 6: Limit Order Book Markets

• Exercise class 3, part 1

• Exercise class 3, part 2

• Lecture 7, part 1: Market Design

• Lecture 7, part 2: LOB Markets - Dynamic Analysis

• Lecture 8, part 1: Market Fragmentation

• Lecture 8, part 2: Market Fragmentation

• Lecture 9, part 1: Market Transparency

• Lecture 9, part 2: Market Transparency

• Lecture 10, part 1: Value of Liquidity

• Lecture 10, part 2: Value of Liquidity

• Lecture 11, part 1: Corporate Governance

• Lecture 11, part 2: Digital Markets

• Lecture 12, part 1: High-Frequency and Algorithmic Trading

• Lecture 12, part 2: High-Frequency Trading

• Exercise class 4, part 1

• Exercise class 4, part 2

• Lecture 13, part 1: High-Frequency Trading; Public Information

• Lecture 13, part 2: Public Information

• Exercise class 5, part 1

• Exercise class 5, part 2

• Lecture 14, part 1: Herding and Bubbles

• Lecture 14, part 2: Herding and Bubbles

• Lecture 15, part 1: Auction Models

• Lecture 15, part 2: Auction Models

The lecturer, Egor Starkov, is an Assistant Professor in the Department of Economics at the University of Copenhagen. He received a Ph.D. in Economics from Northwestern University in 2019.

What’s great about this series is that you can find the whole course linked, and when you click on it, it’ll download all the materials necessary to go through his course.

Download the zip file to get the full course

The videos and reading list with links to the articles are great.

Enjoy!

1. Robert Kissell Ph.D, in The Science of Algorithmic Trading and Portfolio Management, 2014