Lecture Notes in Market Microstructure and Trading
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This book, written by Joakim Westerholm, Professor of Finance and former trading professional, is intended to be used as basis for developing courses in Securities markets, Trading, and Market microstructure and connects theoretic rigor with practical real world applications. Market technology evolves, the roles of market participants change, and whole market segments disappear to be replaced by new ways to exchange securities. Yet, the same underlying economic principles continue to drive trading in securities markets. Thus, the scope of the book is global, providing a framework that is relevant both for current market designs and for future markets we will see develop. It is designed to stay relevant in a rapidly evolving field. The book contains a selection of lecture notes through which students will gain an in-depth understanding of the mechanism that drives trading in securities markets. The book also contains another set of lecture notes with more advanced, research-based material, suitable for Honours or Master level research students, or for PhD candidates. The material is self-explanatory and can also be used for self-study, preferably in conjunction with assigned readings. Preface Author’s Nore Contents Part 1. Securities Trading and Markets Introduction Lecture in Trading in Securities Markets and Advanced Market Microstructure Theory — The Economics of Trading Lecture 1. Introduction to Securities Trading and Markets Lecture 2. Institutional Trading Lecture 3. Execution Costs Lecture 4. Market Fragmentation and Regulation Lecture 5. Adverse Selection and Market Making Lecture 6. Behavioral Finance Lecture 7. Random Walks, Risk and Arbitrage Lecture 8. Arbitrage in Real Trading Markets and Hedging Lecture 9. Market Efficiency Lecture 10. Trading Gone Wrong Lecture 11. Revision and Exam Preparation Part 2. Advanced Application and Research Lecture 12. Linking Market Microstructure to Mainstream Finance Lecture 13. Limit Order Markets Lecture 14. Liquidity Providers: Dealing and Market Making Lecture 15. Liquidity, Volatility and Transparency Lecture 16. The Glosten–Milgrom and Kyle Models
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