Ficha

Versión en español

Course: 2018/2019

Information in Markets and Market Microstructure

(17183)

Study: Master in Business and Finance (69)

EPE

Coordinating teacher: PENALVA ZUASTI, JOSE SEBASTIAN

Department assigned to the subject: Department of Business Administration

Type: Electives

ECTS Credits: 5.0 ECTS

Course: 2º

Semester: 1º

Students are expected to have completed

Financial Economics, Dynamic Asset Pricing, Business Economics I and II, Corporate Finance I & II

Competences and skills that will be acquired and learning results.

The student is expected to achieve a good understanding of the current issues in asset valuation, the role of information in asset pricing and decision problems, and market microstructure.

Description of contents: programme

1- Competitive market equilibrium models
2- Financial innovation with asymmetric information
3- Asymmetric information and trading (or not)
4- Strategic models and asset pricing
5- Market microstructure
AT- Equilibrium and heterogeneity
AT- Behavioral finance and bounded rationality

Learning activities and methodology

Instruction, discussion and analysis of current academic papers

Assessment System

Course evaluation will be done via exams and class discussion, and problems sets 
The assessment system for the retake is the same as the regular one

% end-of-term-examination 80
% of continuous assessment (assigments, laboratory, practicals...) 20

Basic Bibliography

Álvaro Cartea, Sebastian Jaimungal & Jose Penalva. Algorithmic and High-Frequency Trading . Cambridge University Press. 2015
Markus K. Brunnermeier. Asset Pricing Under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding. OUP Oxford. 2001

The course syllabus and the academic weekly planning may change due academic events or other reasons.