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4395: Trading and Exchanges ( efterår 2010 - 5 ECTS )

Rammer for udbud

  • Uddannelsessprog: engelsk
  • Niveau:   COURSE LEVEL: Elective master's level course.  
  • Semester/kvarter:   SEMESTER FOR WHICH THE COURSE DESCRIPTION APPLIES: Autumn 2009  
  • Timer per uge:   NUMBER OF HOURS PER WEEK: Lectures 4 hours per week in 6 weeks (total of 24 hours).  
  • Deltagerbegrænsning:   RESTRICTIONS ON ADMISSION: Students cannot take this course together with: 4094 Securities Markets.
  • Undervisningssted: Århus
  • Hovedområde: Det Samfundsvidenskabelige Fakultet
  • Udbud ID: 23441

Formål

 

LEARNING OBJECTIVES:

Students who pass this course can

 

  • Describe
  • o the main ideas in the functioning of exchanges and markets.
  • o the fundamentals of liquidity services.
  • Contrast concepts like
  • o orders, trades and quotes.
  • o brokers, dealers, market makers and specialists.
  • o dealer markets, auction markets, order-driven markets, floor markets, continuous markets, call markets, hybrid markets.
  • Identify
  • o flaws in market and exchange design
  • o factors that affect the quality of markets.
  • Analyze
  • o trading and order submission strategies.
  • Analyze and paraphrase academic papers and case studies within the field.

 

Indhold

 

COURSE DESCRIPTION:

Students will learn how securities markets function. In particular how trading is organized and how market structures are different for different securities. That the same type of security can trade in very different market structures, but that trading models for equities seem to converge across the globe. Finally, we will take a look at regulation and why regulation matters.  Overall the main focus will be on equity markets, but many of the concepts are relevant also for FX, derivatives and fixed income instruments. We will read and discuss several articles. The majority of the articles will have a strong empirical content or be case studies.

 

COURSE SUBJECT AREAS:

  • Types of securities issued.
  • Markets and exchanges.
  • The history of trading and exchanges.
  • Auction/order driven markets.
  • Dealer, OTC and hybrid markets.
  • Floor markets and electronic trading.
  • Measurements of market quality.
  • Exchange design: priority rules, tick size, transparency and intermarket competition.
  • Enhancing liquidity: specialists, market makers and call auctions.
  • Issues in the regulation of markets and exchanges.
  • Recent developments in Nordic/European and US markets.
  • Why people trade
  • Types of traders

 

Faglige forudsætninger

 

REQUIRED COURSES:  An introductory econometrics course is strongly recommended.

 

Underviser

 

LECTURER: Carsten Tanggaard

 

Undervisnings- og arbejdsform

 

TEACHING METHOD: Lectures and workshops.

 

 

TEACHING LANGUAGE: English

 

Litteratur

 

LITERATURE:

  1. Harris, Larry: Trading and Exchanges - Market Microstructure for Practitioners, Oxford University Press, 2003. 400-500 pages.
  2. Cases and articles (approx. 12). Titles will be announced before the course starts.

 

Total: around 900 pages.

 

Bedømmelse

  • Mundtl. eks., bedømt efter 7-skala med intern censur
    • 5 xxxxx

 

FORM OF ASSESSMENT: Oral exam of 20 min. duration with 20 minutes preparation time. Exam questions will be posted 2 weeks before the oral exam.

EXAMINATION AIDS ALLOWED: None.