Market Microstructure

Albert S. “Pete” Kyle, University of Maryland. September 23–26, 2019, at Swedish House of Finance

Content.

Market microstructure combines theoretical modelling, institutional understanding, and empirical analysis to understand how prices result from the interactions of traders in financial markets. This will be an idiosyncratic course which emphasizes my own, mostlytheoretical contribution.

Course credit.

Students are required to:

• Complete required homework problems.

• Write a 5-page discussion of a small set of papers assigned at the end of the course in lieu of an exam. Both requirements are to be completed after the lectures have finished. Format. 18 hours of lectures over four days.

 

Please read more about the course in the Syllabus.