Financial Market Microstructure

Financial Market Microstructure

Year: This course will not run in session 2018/19.
Course code: ECON4051
Course credits: 15
Taught: Semester 2
Course co-ordinator: Professor Bart Taub
Entry requirements: Normally admission to an honours programme in Economics and completion of or enrolment to ECON4003 Econometrics 1.
Available to visiting students: Yes
Contact for more informationGillian Weir

Market microstructure analyses how stocks are traded and prices determined. At a deeper level this turns out to express how traders learn and reveal information about the companies they are trading, and this in turn determines how capital is allocated in the economy. To understand this we will need to develop tools in dynamic optimization, games, auction theory and other concepts from economics.  We will also touch on institutional details of diff erent market arrangements and trading processes.

Learning and teaching methods

20 hours of lectures (10 x 2 hours), Monday, 12.00 - 14:00, and 5 1-hour tutorials (held fortnightly)

Course texts

The main text is:

Hasbrouck, J. (2007).  Empirical Market Microstructure: The Institutions, Economics and Econometrics of Securities Trading. New York: Oxford University Press.


A 1-hour in-course exam (30%) (30%)
A 2-hour degree exam (April/May) (70%)