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Master 104 - Market Microstructure: Instructor

This document provides information about the Master 104 - Market Microstructure course. It will be taught by Professor Jérôme Dugast and covers the field of market microstructure, which combines theory, institutions, and empirical analysis to understand how prices form from trader interactions. The course will introduce canonical microstructure models and how they apply to recent market changes, as well as econometric models used to test predictions. Students will be evaluated through a final exam worth 70% and an assignment worth 30%. The tentative syllabus includes topics like market structure, liquidity, information, and high-frequency trading. Recommended textbooks are also listed.

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60 views2 pages

Master 104 - Market Microstructure: Instructor

This document provides information about the Master 104 - Market Microstructure course. It will be taught by Professor Jérôme Dugast and covers the field of market microstructure, which combines theory, institutions, and empirical analysis to understand how prices form from trader interactions. The course will introduce canonical microstructure models and how they apply to recent market changes, as well as econometric models used to test predictions. Students will be evaluated through a final exam worth 70% and an assignment worth 30%. The tentative syllabus includes topics like market structure, liquidity, information, and high-frequency trading. Recommended textbooks are also listed.

Uploaded by

Thiện Tâm
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© © All Rights Reserved
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Master 104 – Market Microstructure

Instructor
Instructor: Jérôme DUGAST
Web: https://sites.google.com/view/jeromedugast/home
Bureau: P604bis, Université Paris-Dauphine, Place du Maréchal de Lattre de Tassigny
E-mail: [email protected]

Overview
The field of market microstructure combines theoretical modeling, institutional knowledge,
and empirical analysis to understand how prices result from the interactions of traders in
financial markets. The course aims to acquaint students with (i) the canonical models in
microstructure and how they can be adapted to study the effects of recent changes in market
structures and trading technologies (e.g., high frequency trading), and (ii) econometric models
used to test the predictions of microstructure models.

Evaluation
Final exam: 70%. Assignment: 30%.

Tentative Syllabus
1. Trading Mechanics and Market Structure

2. Market Liquidity and Transaction costs

3. Information and Trading

4. Order Processing Costs, Inventories, and Trading

5. Trade Size and Market Depth

6. Limit Order Markets

7. Market Fragmentation

8. Market Transparency

9. Trading Automation: Algorithmic and High-Frequency Trading


Textbooks
• Foucault, Thierry, Marco Pagano, and Ailsa Röell, Market Liquidity: Theory, Evidence,
and Policy, Oxford University Press, 2013.

• Hasbrouck, Joel, Empirical Market Microstructure, Oxford University Press, 2007.

Readings
• To be completed

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