取引システムの計量分析
担当教員
配当学期・曜日・時限
夏学期 火曜 3限
内容・進め方・主要文献等
Market microstructure studies the process and outcomes of exchanging assets under trading rules. While most economic discussions abstract from trading rules and platforms, the microstructure literature analyzes how specific trading mechanisms affect the price formation process. Although a relatively young subdiscipline in finance, market microstructure has grown rapidly into one of the largest subdisciplines.
The purpose of this course is to update you to the frontier of current empirical studies in market microstructure. My objectives are to stimulate thinking in this subdiscipline, and to encourage you to do independent research in market microstructure. The course will be organized around papers. No textbook is required.