Monetary Markets Microstructure – by Sebastian Gutierrez

Hello Pals,

I wished to share a Grasp’s stage college course on the monetary market’s microstructure with you.

Per Robert Kissell,

Market microstructure is the research of economic markets and the way they function. Market microstructure analysis primarily focuses on the construction of exchanges and buying and selling venues (e.g. displayed and darkish), the value discovery course of, determinants of spreads and quotes, intraday buying and selling habits, and transaction prices.

The YouTube Playlist (found here) covers (1 video per bullet level under):

• Lecture 1: Ideas and Establishments

• Lecture 2: Measuring Liquidity

• Lecture 3, half 1: Data and Costs

• Lecture 3, half 2: Glosten-Milgrom Mannequin

• Lecture 4: Determinants of Liquidity

• Lecture 5, half 1: Depth determinants, Kyle Mannequin

• Lecture 5, half 2: Empirics of Illiquidity

• Lecture 6: Restrict Order Ebook Markets

• Train class 3, half 1

• Train class 3, half 2

• Lecture 7, half 1: Market Design

• Lecture 7, half 2: LOB Markets – Dynamic Evaluation

• Lecture 8, half 1: Market Fragmentation

• Lecture 8, half 2: Market Fragmentation

• Lecture 9, half 1: Market Transparency

• Lecture 9, half 2: Market Transparency

• Lecture 10, half 1: Worth of Liquidity

• Lecture 10, half 2: Worth of Liquidity

• Lecture 11, half 1: Company Governance

• Lecture 11, half 2: Digital Markets

• Lecture 12, half 1: Excessive-Frequency and Algorithmic Buying and selling

• Lecture 12, half 2: Excessive-Frequency Buying and selling

• Train class 4, half 1

• Train class 4, half 2

• Lecture 13, half 1: Excessive-Frequency Buying and selling; Public Data

• Lecture 13, half 2: Public Data

• Train class 5, half 1

• Train class 5, half 2

• Lecture 14, half 1: Herding and Bubbles

• Lecture 14, half 2: Herding and Bubbles

• Lecture 15, half 1: Public sale Fashions

• Lecture 15, half 2: Public sale Fashions

The lecturer, Egor Starkov, is an Assistant Professor within the Division of Economics on the College of Copenhagen. He obtained a Ph.D. in Economics from Northwestern College in 2019.

What’s nice about this collection is that you will discover the entire course linked, and while you click on on it, it’ll obtain all of the supplies essential to undergo his course.

The movies and studying record with hyperlinks to the articles are nice.

Take pleasure in!