Universität Wien
Warning! The directory is not yet complete and will be amended until the beginning of the term.

390015 SE PhD-VGSF: Paper Reading - Market Design (2019W)

4.00 ECTS (2.00 SWS), SPL 39 - Doktoratsstudium Wirtschaftswissenschaften
Continuous assessment of course work

Language of Instruction: English

Nur nach persönlicher Anmeldung im Student-Office der VGSF, bitte um vorherige Kontaktaufnahme: office@vgsf.ac.at
Moodle

Details

max. 24 participants
Language: English

Lecturers

Classes

Lectures will take place at the Wirtschaftsuniversität, Welthandelsplatz 1 at Department of Accounting, Finance and Statistics (4th floor of building D)
Di., 15. Okt. 2019 09:30 11:00 D4.4.008
Di., 22. Okt. 2019 09:30 11:00 D4.4.008
Di., 29. Okt. 2019 09:30 11:00 D4.4.008
Di., 5. Nov. 2019 09:30 11:00 D4.4.008
Di., 12. Nov. 2019 09:30 11:00 D4.4.008
Di., 19. Nov. 2019 09:30 11:00 D4.4.008
Di., 26. Nov. 2019 09:30 11:00 D4.4.008
Di., 3. Dez. 2019 09:30 11:00 D4.4.008
Di., 10. Dez. 2019 09:30 11:00 D4.4.008
Di., 17. Dez. 2019 09:30 11:00 D4.4.008
Di., 7. Jan. 2020 09:30 11:00 D4.4.008
Di., 14. Jan. 2020 09:30 11:00 D4.4.008
Di., 21. Jan. 2020 09:30 11:00 D4.4.008
Di., 28. Jan. 2020 09:30 11:00 D4.4.008

Information

Aims, contents and method of the course

The course is intended for advanced masters students as well as doctoral students. It focusses on the design of real world markets. Experimental asset markets are left to a course on Behavioral Finance and will not be covered in this course.

Asset pricing theories fundamentally rely on the concept of market prices as reflections of long-term value of the underlying assets. In a market economy, however, market prices are the results of market interactions. Accordingly, observable market prices are sensitive to the precise trading rules and more generally to the market design. The purpose of this course is to illuminate and classify the rich plethora of market designs that can be observed across, and even within, asset classes in real world markets.

1. Market Design and Asset Prices
a. bargaining and matching framework
b. intermediaries and immediacy

2. Fast Trading
a. liquidity provision
b. price discovery
c. toxic arbitrage

3. Multimarket trading
a. determinants of liquidity
b. price discovery

4. Dark Pools and Crossing Networks
a. intermodal competition
b. price manipulation
c. regulating dark pools

5. Short Sales
a. securities available for lending and price discovery
b. short sale bans

6. Price Discovery in Search Markets
a. funding liquidity and search efforts in brokerage markets
b. discriminatory pricing and customer networks

Assessment and permitted materials

Grading is based on presentation of a paper (40%), the submission of a report on another paper (30%) and active participation in discussion of peer presentation (30%).

Minimum requirements and assessment criteria

The course requires basic knowledge of asset pricing and of market microstructure theory.

Grading is based on presentation of a paper (40%), the submission of a report on another paper (30%) and active participation in discussion of peer presentation (30%).

Examination topics

Examinations are based on papers presented or discussed during the course.

Reading list

A detailed list will be provided in the course.

Background reading (textbooks):

• Thierry Foucault, Marco Pagano, Ailsa Roell: Market Liquidity: Theory, Evidence and Policy, Oxford University Press, 2013.
• Joel Hasbrouck: Empirical Market Microstructure, Oxford University Press, 2007.
• Frank de Jong, Barbara Rindi: The Microstructure of Markets, Cambridge University Press, 2009.
• Dan Spulber: Market Microstructure, Cambridge University Press, 1995.
• Maureen O’Hara: Market Microstructure Theory, Blackwell, 1995.

Association in the course directory

Last modified: Tu 03.09.2019 11:08