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
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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
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Assessments
21 assignments
Taught in English
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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
University of Virginia
McMaster University
Yunus Social Business Fund Bengaluru
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