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. 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 microstructure
- 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.
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Course Delivery Information
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| Academic year 2024/25, 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 14,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
84 )
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| Assessment (Further Info) |
Written Exam
0 %,
Coursework
100 %,
Practical Exam
0 %
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| Additional Information (Assessment) |
100% Coursework (Individual) - Assesses all course Learning Outcomes |
| Feedback |
Formative: Feedback is provided throughout the course.
Summative: Feedback is provided on the assessment within agreed deadlines. |
| 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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Learning Resources
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 |
Communication, ICT, and Numeracy Skills
After completing this course, students should be able to:
Critically evaluate and present digital and other sources, research methods, data and information; discern their limitations, accuracy, validity, reliability and suitability; and apply responsibly in a wide variety of organisational contexts.
Cognitive Skills
After completing this course, students should be able to:
Be self-motivated; curious; show initiative; set, achieve and surpass goals; as well as demonstrating adaptability, capable of handling complexity and ambiguity, with a willingness to learn; as well as being able to demonstrate the use digital and other tools to carry out tasks effectively, productively, and with attention to quality.
Knowledge and Understanding
After completing this course, students should be able to:
Demonstrate a thorough knowledge and understanding of contemporary organisational disciplines; comprehend the role of business within the contemporary world; and critically evaluate and synthesise primary and secondary research and sources of evidence in order to make, and present, well informed and transparent organisation-related decisions, which have a positive global impact.
Identify, define and analyse theoretical and applied business and management problems, and develop approaches, informed by an understanding of appropriate quantitative and/or qualitative techniques, to explore and solve them responsibly. |
| Keywords | Not entered |
Contacts
| Course organiser | Dr Gbenga Ibikunle
Tel: (0131 6)51 5186
Email: Gbenga.Ibikunle@ed.ac.uk |
Course secretary | Miss Tamara Turford
Tel: (0131 6)50 8074
Email: Tamara.Turford@ed.ac.uk |
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