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Durham University

Postgraduate Modules 2019/2020

Module Description

Please ensure you check the module availability box for each module outline, as not all modules will run in each academic year. Each module description relates to the year indicated in the module availability box. Please be aware that modules may change from year to year, and may be amended to take account of, for example: changing staff expertise, disciplinary developments, the requirements of external bodies and partners, and student feedback.

No such Code for pgprog: L1K709
No such Code for pgprog: L1K809
No such Code for pgprog: L1K609
No such Code for pgprog: L1K509
No such Code for pgprog: L1K109

Department: Economics and Finance

ECON42315: MARKET MICROSTRUCTURE

Type Tied Level 4 Credits 15 Availability Available in 2019/20
Tied to L1K709
Tied to L1K809
Tied to L1K609
Tied to L1K509
Tied to L1K109
Tied to L1T109 Economics
Tied to L1T209 Public Economics
Tied to L1T309 Experimental Economics
Tied to L1T409 Environmental & Natural Resource Economics
Tied to N3K109 Finance
Tied to N3K409 Finance (Finance and Investment)
Tied to N3K509 Finance (International Money, Finance and Investment)
Tied to N3K609 Finance (International Banking and Finance)
Tied to N3K709 Finance (Economics and Finance)

Prerequisites

  • None

Corequisites

  • EITHER Advanced Financial Theory (ECON41215) OR Advanced Microeconomics (ECON44715 or ECON41815)

Excluded Combination of Modules

  • None.

Aims

  • to develop students' ability to master the knowledge and understanding at an advanced level of key issues in the organisation and operations of financial markets;
  • to provide students with the opportunity to develop the ability to critically understand theoretical and empirical research in the field of market microstructure and the implications of alternative trading mechanisms;
  • to provide students with the ability to critically review this specialised complex area of knowledge with a view to undertaking a dissertation in the field of market microstructure and potentially future research work in this area.

Content

  • Financial Markets and Trading Industry: An Introduction (To include financial markets; traders; trading instruments; market regulations);
  • The Structure of Trading (To include market structure and order executions; Orders and order properties; Order driven markets);
  • Trading Systems (To include Floor vs. Automated Trading systems, Internalisation, preferencing, and crossing);
  • The suppliers of Liquiduity and Market Liquidity (To include Dealers; Bid/Ask spreads; Arbitrage);
  • Empirical Issues on Market Microstructure (Contemporary empirical issues on market microstructure not covered elsewhere in this module. Depending on the topic, these sessions (or part of) could be led by students. These contemporary empirical issues will be reviewed every year by the module team and the key papers selected. For instance, possible issues include: Modelling the cost components of bid-ask spread; What makes the stocks to migrate from one stock exchange to another?)

Learning Outcomes

Subject-specific Knowledge:
  • By the end of this module students should:
  • have an advanced knowledge and critical understanding of the principles and practice of the working of the main stock exchanges, their microstructure and the implications of this for trading efficiency and regulation;
  • have understood the roles of information, liquidity, trading costs and major players in financial markets, including the complexity and contradictions inherent in these roles;
  • have explored, understood and appreciated the complexity and contradictions of the current academic literature and its implications for professional practice;
  • have demonstrated ability to learn and work independently in this area, exercising critical judgement and discrimination in the resolution of complex problematic situations.
Subject-specific Skills:
  • have used highly specialised and advanced technical, professional and academic skills in the analysis of relevant specific problems in the area of market microstructure;
  • have practised problem solving and analytical skills in the area of market mcirostructure.
Key Skills:
  • Written Communication;
  • Planning, Organising and Time Management;
  • Problem Solving and Analysis;
  • Using Initiative;
  • Numeracy;
  • Computer Literacy.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

  • A combination of lectures, seminars and guided reading will contribute to achieving the aims and learning outcomes of this module. The summative written examination will test students' knowledge and critical understanding of the material covered in the module, their analytical and problem-solving skills.

Teaching Methods and Contact Hours

Activity Number Frequency Duration Total/Hours
Lectures 9 1 per week 2 hours 18
Seminars 3 1 per fortnight 1 hour 3
IT Practical 1 Once 1 hour 1
Preparation & Reading 126
Revision session 1 2 hours 2
Total 150

Summative Assessment

Component: Unseen examination Component Weighting: 100%
Element Length / duration Element Weighting Resit Opportunity
Unseen examination 2 hours 100% Same

Formative Assessment:

Work prepared by students for seminars; answers to questions either discussed during a seminar, or posted on DUO.


Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University


    If you have a question about Durham's modular degree programmes, please visit our User Guide. If you have a question about modular programmes that is not covered by the User Guide, or a query about the Postgraduate Module Handbook, please contact us using the Comments and Questions form below.