The course discusses the functioning of financial markets and trading and price determination in these markets. Topics covered include order submission and trading strategies, market structure and quality, transaction costs and liquidity, bubbles and crashes, price formation and technical analysis. The lectures will draw on academic and practitioner research as well as information from markets. The course is technical at some points but I will emphasize intuition and practical applications.
A set of power point slides to be handed out in advance will form the basis for the class discussion and exam.
Grades will be based on an exam, to be held during the normal exam period. Exam questions will be drawn from material covered in class.
TOPIC 1. ORDERS
TOPIC 2. MARKETS
TOPIC 3. TRANSACTION COSTS
TOPIC 4. LIQUIDITY
TOPIC 5. NON-EQUITY MARKETS
TOPIC 6. INSTITUTIONAL TRADES
TOPIC 7. MARKET QUALITY AND PRICE FORMATION
TOPIC 8. BEHAVIORAL ASPECTS OF TRADING
TOPIC 9. CRASHES, BUBBLES AND SPECULATION
TOPIC 10. TECHNICAL ANALYSIS AND PREDICTION