Empirical Analysis of Market Microstructure

Description

The objective of this course is to study financial and capital markets from a game-theoretic and market microstructure viewpoint. We begin with an overview of the institutional background of US and Japanese markets, and then examine major theoretical, empirical, and policy issues.
The organization of the course is as follows:

1. The institutional structure of financial markets
2. Strategic trading behavior, price formation, and market efficiency
3. Behavior of institutional investors and its impact on asset pricing and the stability of financial markets
4. Regulatory policy issues

We will use a field trip to the Tokyo Stock Exchange, documentary films, guest lectures, and databases to supplement lectures.

Course materials

 

Evaluation