ECO463H1: Financial Market Microstructure

Hours: 
24L/12T

Security prices evolve through a large number of bilateral trades, performed by people that have specific, well-regulated and institutionalized roles. Market microstructure is the subfield of financial economics that studies the price formation process. Using the lens of theoretical economic models, this course reviews insights concerning the strategic trading behaviour of individual market participants, and models are brought market data. The course further studies how public and private information, market regulation, and trading arrangements, such as limit order books or dark pools, affect behavior.

Prerequisite: 

ECO358H1(70%)/RSM330H1(70%), ECO374H1(70%)/ECO375H1(70%)

Exclusion: 
Distribution Requirements: 
Social Science
Breadth Requirements: 
Society and its Institutions (3)