BUFN 758X

Market Microstructure
Credits
2

The course examines--from theoretical, institutional, and empirical perspectives--how prices in speculative markets are determined by the interaction of traders. Topics covered include market making, informed trading strategies, liquidity, bid-ask spreads, transactions costs, market impact, price manipulation, and high-frequency trading. The course examines markets for equities, bonds, commodities, and foreign exchange. There are several empirical exercises using transactions data.