Università di Napoli Federico II

Market Microstructure

This course is part of multiple programs.

Taught in English

Marco Pagano

Instructor: Marco Pagano

Included with Coursera Plus

Course

Gain insight into a topic and learn the fundamentals

Intermediate level

Recommended experience

15 hours (approximately)
Flexible schedule
Learn at your own pace

What you'll learn

  • security market; trading; market liquidity and funding liquidity

Details to know

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Recently updated!

March 2024

Assessments

21 assignments

Course

Gain insight into a topic and learn the fundamentals

Intermediate level

Recommended experience

15 hours (approximately)
Flexible schedule
Learn at your own pace

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There are 6 modules in this course

This module presents the subject of the course and its main concepts: liquidity and price discovery, and basic notions of trading in securities markets.

What's included

21 videos5 readings3 assignments

In this week you will learn that some trading costs are explicit, others implicit, and how to measure trading costs using different types of data. Furthermore, you will learn how to take the time dimension of trading into account.

What's included

22 videos7 readings6 assignments

This module talks about price formation in markets with asymmetric information. You’ll understand why in these markets prices respond to the order flow and you’ll know how the informativeness of the order flow affects market liquidity and price discovery.

What's included

16 videos4 readings4 assignments

In this week we’ll talk about frictions that contribute to the bid-ask spread and generate mean reversion in prices and you’ll learn about order processing costs. Moreover, you’ll know the imperfect competition among market makers and how inventory holding costs of risk-averse dealers.

What's included

16 videos5 readings3 assignments

This week will explain how orders of different sizes have a different impact on prices and how price impact is an inverse measure of market depth. You’ll learn that depth is affected by order flow informativeness, market risk absorption capacity and competition between liquidity suppliers.

What's included

17 videos4 readings3 assignments

By the end of this week, you will learn the fundamentals of algorithmic and high-frequency trading, their impact on market quality, and explore policies to mitigate trading speed effects.

What's included

15 videos5 readings2 assignments

Instructor

Marco Pagano
Università di Napoli Federico II
1 Course105 learners

Offered by

Recommended if you're interested in Finance

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