Checking date: 14/11/2018


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:
Semester:




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
  • % end-of-term-examination 40
  • % of continuous assessment (assigments, laboratory, practicals...) 60
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.