THE UNIVERSITY of EDINBURGH

DEGREE REGULATIONS & PROGRAMMES OF STUDY 2020/2021

Information in the Degree Programme Tables may still be subject to change in response to Covid-19

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DRPS : Course Catalogue : Business School : Common Courses (Management School)

Postgraduate Course: Modern Financial Market Microstructure (CMSE11404)

Course Outline
SchoolBusiness School CollegeCollege of Arts, Humanities and Social Sciences
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) AvailabilityNot available to visiting students
SCQF Credits10 ECTS Credits5
SummaryThe 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. The course will focus mainly on equity markets in the UK, with some focus on international equity markets, such as those in the United States and elsewhere.
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
Foundational topics
Introduction to the art of trading in financial markets and market microstructure
Liquidity
Price discovery
Modern financial market microstrcuture
Algorithmic/high frequency trading
Market fragmentation
Dark trading


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 during lectures and working informally 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 sessions at all times.
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Co-requisites Students MUST also take: Financial Markets and Investment (CMSE11407) OR Financial Markets and Investment (CMSE11170)
Prohibited Combinations Other requirements None
Course Delivery Information
Academic year 2020/21, Not available to visiting students (SS1) Quota:  None
Course Start Semester 2
Timetable Timetable
Learning and Teaching activities (Further Info) Total Hours: 100 ( Lecture Hours 16, Summative Assessment Hours 48, Programme Level Learning and Teaching Hours 2, Directed Learning and Independent Learning Hours 34 )
Assessment (Further Info) Written Exam 0 %, Coursework 100 %, Practical Exam 0 %
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.

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 of individual feedback on the course assessment.
No Exam Information
Learning Outcomes
On completion of this course, the student will be able to:
  1. Develop a critical understanding of the nature of modern financial markets and how prices are formed within them
  2. Develop a critical understanding of the roles technology and policy in the evolution of the microstructure of financial markets
  3. Critically assess specific financial market policies and their impact on named financial markets
  4. Develop an appreciation for the role of financial markets within the global economy
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
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.
KeywordsNot entered
Contacts
Course organiserDr Gbenga Ibikunle
Tel: (0131 6)51 5186
Email: Gbenga.Ibikunle@ed.ac.uk
Course secretaryMrs Kelly-Ann De Wet
Tel: (0131 6)50 8071
Email: K.deWet@ed.ac.uk
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