Within this course you will learn about price formation and liquidity in securities markets. You will discover the determinants of market depth and security trading. In particular, the course focuses on price formation and liquidity in securities markets. The main issues covered are how to measure trading costs; how security prices, their liquidity and speed of price discovery are jointly determined, and how order flow affects prices; what are the determinants of market depth; how security trading is organized and regulated and how it has been reshaped by algorithmic and high frequency trading; how the organization of security trading affects trading costs and informational efficiency.
Market Microstructure
Give your career the gift of Coursera Plus with $160 off, billed annually. Save today.
Market Microstructure
This course is part of multiple programs.
Instructor: Marco Pagano
Included with 
Gain insight into a topic and learn the fundamentals.
Intermediate level
Recommended experience
15 hours to complete
3 weeks at 5 hours a week
Flexible schedule
Learn at your own pace
What you'll learn
security market; trading; market liquidity and funding liquidity
Skills you'll gain
Details to know
Shareable certificate
Add to your LinkedIn profile
Assessments
21 assignments
Taught in English
See how employees at top companies are mastering in-demand skills
Build your subject-matter expertise
This course is available as part of
When you enroll in this course, you'll also be asked to select a specific program.
- Learn new concepts from industry experts
- Gain a foundational understanding of a subject or tool
- Develop job-relevant skills with hands-on projects
- Earn a shareable career certificate
Earn a career certificate
Add this credential to your LinkedIn profile, resume, or CV
Share it on social media and in your performance review
There are 6 modules in this course
This module presents the subject of the course and its main concepts: liquidity and price discovery, and basic notions of trading in securities markets.
What's included
21 videos5 readings3 assignments
In this week you will learn that some trading costs are explicit, others implicit, and how to measure trading costs using different types of data. Furthermore, you will learn how to take the time dimension of trading into account.
What's included
22 videos7 readings6 assignments
This module talks about price formation in markets with asymmetric information. You’ll understand why in these markets prices respond to the order flow and you’ll know how the informativeness of the order flow affects market liquidity and price discovery.
What's included
16 videos4 readings4 assignments
In this week we’ll talk about frictions that contribute to the bid-ask spread and generate mean reversion in prices and you’ll learn about order processing costs. Moreover, you’ll know the imperfect competition among market makers and how inventory holding costs of risk-averse dealers.
What's included
16 videos5 readings3 assignments
This week will explain how orders of different sizes have a different impact on prices and how price impact is an inverse measure of market depth. You’ll learn that depth is affected by order flow informativeness, market risk absorption capacity and competition between liquidity suppliers.
What's included
17 videos4 readings3 assignments
By the end of this week, you will learn the fundamentals of algorithmic and high-frequency trading, their impact on market quality, and explore policies to mitigate trading speed effects.
What's included
15 videos5 readings2 assignments
Instructor
Offered by
Recommended if you're interested in Finance
Indian School of Business
University of Illinois Urbana-Champaign
IE Business School
Illinois Tech
Why people choose Coursera for their career
Felipe M.
Learner since 2018
"To be able to take courses at my own pace and rhythm has been an amazing experience. I can learn whenever it fits my schedule and mood."
Jennifer J.
Learner since 2020
"I directly applied the concepts and skills I learned from my courses to an exciting new project at work."
Larry W.
Learner since 2021
"When I need courses on topics that my university doesn't offer, Coursera is one of the best places to go."
Chaitanya A.
"Learning isn't just about being better at your job: it's so much more than that. Coursera allows me to learn without limits."
New to Finance? Start here.
Open new doors with Coursera Plus
Unlimited access to 7,000+ world-class courses, hands-on projects, and job-ready certificate programs - all included in your subscription
Advance your career with an online degree
Earn a degree from world-class universities - 100% online
Join over 3,400 global companies that choose Coursera for Business
Upskill your employees to excel in the digital economy
Frequently asked questions
Access to lectures and assignments depends on your type of enrollment. If you take a course in audit mode, you will be able to see most course materials for free. To access graded assignments and to earn a Certificate, you will need to purchase the Certificate experience, during or after your audit. If you don't see the audit option:
The course may not offer an audit option. You can try a Free Trial instead, or apply for Financial Aid.
The course may offer 'Full Course, No Certificate' instead. This option lets you see all course materials, submit required assessments, and get a final grade. This also means that you will not be able to purchase a Certificate experience.
When you enroll in the course, you get access to all of the courses in the Specialization, and you earn a certificate when you complete the work. Your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile. If you only want to read and view the course content, you can audit the course for free.
If you subscribed, you get a 7-day free trial during which you can cancel at no penalty. After that, we don’t give refunds, but you can cancel your subscription at any time. See our full refund policy.