Emperical Market Microstructure

Faculty

J. Chen

Description

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.

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