Postgraduate Course: Modern Financial Market Microstructure (CMSE11404)
Course Outline
| School | Business School |
College | College of Arts, Humanities and Social Sciences |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Availability | Not available to visiting students |
| SCQF Credits | 10 |
ECTS Credits | 5 |
| Summary | The course provides an advanced level analysis of the technological transformation of modern financial markets from a market microstructure perspective. Particular focus will be on the evolution of UK financial markets. While the course will focus mainly on equity markets in the UK, special topics related to unique commodity markets will also be explored. |
| Course description |
Financial markets have undergone transformational changes over the past few decades; however, the last decade has witnessed the most significant changes in the way financial trading platforms operate. The changes induced by the declining costs of technology and changes in policy, hold significant implications for market structure in several respects. For example in Europe, the enactment of the Markets in Financial Instruments Directive (MiFID) in 2007 coupled with technological advances in trading systems led to the proliferation of trading venues in Europe (i.e. new electronic competitors to traditional stock exchanges or securities exchanges). These include Broker Crossing Networks (BCNs) and Electronic Communication Networks (ECNs) or Multilateral Trading Facilities (MTFs) as they are called in Europe. The growth of alternative platforms, as with algorithmic trading and high frequency trading, has been largely driven by technology. This course therefore provides an advanced level microstructure analysis of modern financial markets as viewed through the lens of the technological transformation markets have been subjected to over the past decade. Particular focus will be on the evolution of UK financial markets.
Outline Content
Below are some of the issues that the course covers, these are not specific lecture titles:
Traders, orders, systems and market making
Transaction costs
Exchanges and alternative trading systems
Algorithmic trading/high frequency trading/Fast trading
Market policies: Markets in Financial Instruments Directives (MiFIDs) and Reg NMS
Price discovery, liquidity and adverse selection
Call auctions as opening and closing mechanisms
Market fragmentation
Information asymmetry
Dark trading
Price impact on electronic exchanges
Competition for order flow
Student Learning Experience
Formal teaching occurs in lectures. Much of the learning will be the result of students¿ own reading and reflection, and preparation for lectures and coursework. A high level of student participation is expected, through discussion in class and working in groups. Scholarly endeavor is fundamentally about building on the discoveries and insights of others, and we hope that team co-operation will enrich all students. There will be time for questions and discussion in class at all times.
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Course Delivery Information
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| Academic year 2019/20, Not available to visiting students (SS1)
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Quota: None |
| Course Start |
Semester 2 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
100
(
Lecture Hours 16,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
82 )
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| Assessment (Further Info) |
Written Exam
0 %,
Coursework
100 %,
Practical Exam
0 %
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| Additional Information (Assessment) |
Essay (Individual) 100% |
| Feedback |
All students will be given at least one formative feedback or feedforward event (individually or as part of a group) for the assessment component in the course in time to be useful in the completion of the summative coursework.
Feedback on formative assessed work will be provided within 15 working days of submission, or in time to be of use in subsequent assessments within the course, whichever is sooner. Summative marks will be returned on a published timetable, which will be made clear to students at the start of the course.
Summative feedback will comprise individual feedback on the course assessment.
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| No Exam Information |
Learning Outcomes
On completion of this course, the student will be able to:
- Develop a critical understanding of the nature of modern financial markets and how prices are formed within them
- Develop a critical understanding of the roles technology and policy in the evolution of the microstructure of financial markets
- Critically assess specific financial market policies and their impact on named financial markets
- Develop an appreciation for the role of financial markets within the global economy
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Reading List
Recommended texts
Hasbrouck, J. (2007) Empirical Market Microstructure, Oxford University Press
Schmidt, A. B. (2011) Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies. New Jersey: Wiley Finance
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Additional Information
| Graduate Attributes and Skills |
- Engaging with new ideas and be able to detect false logic by leveraging available resources;
- Effectively managing time and workload demands within a dynamic and challenging work environment;
- Demonstration of advanced numeracy and quantitative skills;
- Competently communicating and exchanging ideas within different contexts and to audiences of varied compositions;
- Presentation of reasonable and data-supported arguments.
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| Keywords | Not entered |
Contacts
| Course organiser | Dr Gbenga Ibikunle
Tel: (0131 6)51 5186
Email: Gbenga.Ibikunle@ed.ac.uk |
Course secretary | Miss Yvonne Stewart
Tel: (0131 6)51 5333
Email: Yvonne.Stewart@ed.ac.uk |
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