AØKK08396U Financial Markets Microstructure (F)
in Economics – elective course
The PhD Programme in Economics at the Department of Economics:
- The course is an elective course with research module. PhD students must contact the study administration AND the lecturer in order to register for the research module and write the research assignment.
This course examines the financial markets from a Micro perspective. How does a “market” as we know it form from individual traders’ actions? How is the market price determined from individual trades and offers? How is the traders’ dispersed information incorporated into these prices? What determines the liquidity and depth of an asset market? What is the optimal behaviour for traders in financial markets? Why do bubbles and crashes arise? Do the institutional details of the exchange influence this price formation process? If so, how should exchanges and regulators ideally design the rules of trading? Is there a role for market making, should the market be fully transparent, should insider trading be permitted, should transactions be taxed, and is high-frequent trading good or bad for the market?
In this course we will address these and related questions. The course seeks to give a broad introduction to the field of Financial Markets Microstructure covering theory, evidence and policy. It also provides deeper insight on topics of current interest on the basis of selected current research papers.
The course partly gives participants a review of the facts on financial markets, partly presents the key theoretical models, and partly addresses how the models are applied to the important issues.
After completing the course the student is expected to be able to:
Define types of financial markets and their characteristics
Account for the standard theoretical models used to model financial markets
Discuss current issues in the financial markets literature
Set up financial market problems as game-theoretic models
Analyze price formation in different types of financial markets and derive results on measures such as liquidity and market depth
- Analyze the pros and cons of different market structures seen from the perspectives of different market participants
Explain and discuss key theoretical concepts from academic articles, as well as discuss their interpretation
Apply the most relevant theoretical apparatus to analyze case-based problems
Thierry Foucault, Marco Pagano and Ailsa Röell: “Market Liquidity: Theory Evidence and Policy,” Oxford University Press, 2013. 439 pages.
Various papers that will be announced later.
In case of a pandemic like Corona the teaching in this course may be changed to be taught either fully or partly online. For further information, see the course room on Absalon.
2 hours lectures one to two times a week from week 6 to 20 (except holidays).
The overall schema can be seen at KUnet:
MSc in Economics => "courses and teaching" => "Planning and overview" => "Your timetable"
KA i Økonomi => "Kurser og undervisning" => "Planlægning og overblik" => "Dit skema"
Timetable and venue:
To see the time and location of lectures please press the link under "Timetable"/"Se skema" at the right side of this page (F means Spring).
You can find the similar information in English at
-Select Department: “2200-Økonomisk Institut” (and wait for respond)
-Select Module:: “2200-F21; [Name of course]”
-Select Report Type: “List – Weekdays”
-Select Period: “Forår/Spring – Week 5-30”
Press: “ View Timetable”
Please be aware:
- That it is the students´s own responsibility to continuously update themselves about their studies, their teaching, their schedule, their exams etc. through the study pages, the course description, the Digital Exam portal, Absalon, KUnet, myUCPH app, the curriculum etc.
The lecturer gives collective oral feedback during lectures and individual oral feedback upon request.
For gæste- og enkelfagsstuderende: Tilmelding via Uddannelse i Økonomi.
- 7,5 ECTS
- Type of assessment
- Written assignment, 12 hoursindividual take-home exam. It is not allowed to collaborate on the assignment with anyone.
The exam assignment is in English and must be answered in English.
- Exam registration requirements
There are no requirements during the course that the student has to fulfill to be able to sit the exam.
- All aids allowed
for the written exam.
In case of an oral reexam, please go to the section "Reexam" for further information about allowed aids.
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
for the written exam.
- Exam period
The regular exam takes place:
16 June 2021 from 10 AM to 10 PM
In special cases, the exam can change to another day.
Further information about the exam will be available in Digital Exam from the middle of the semester.
The reexam takes place:
21 August 2021 from 10 AM to 10 PM
NOTE: If only few students register for the written re-exam, the re-exam might change to a 20 minutes oral examination with 20 minutes preparation time.
All written aids allowed during the preparation time, no aids allowed during the examination.
If changed to oral, the date, time and place might change as well, which will be informed by KU e-mail.
In case of a pandemic crisis the oral exam as well as use of aids may be changed.
Info is available in Digital Exam early August.
Criteria for exam assesment
Students are assessed on the extent to which they master the learning outcome for the course.
To receive the top grade, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material and can make use of the knowledge, skills and competencies listed in the learning outcomes.