2007/08 Taught Postgraduate Module Catalogue

LUBS5038M Securities Markets Microstructure

15 creditsClass Size: 120

Module manager: Charlie Cai
Email: xc@lubs.leeds.ac.uk

Taught: Semester 2 (Jan to Jun) View Timetable

Year running 2007/08

This module is not approved as an Elective

Objectives

On completion of this module students will be able to demonstrate understanding of:

- Market design and trading mechanisms
- Methods used in investigating market microstructure
- Market frictions and liquidity
- Trading strategies and information asymmetry

Syllabus

The module focuses on the structure and operational efficiency of security markets, through study of the theoretical and empirical analysis of market microstructure.

Topics included are market design and trading mechanisms, trading activities and intraday returns, empirical methods for market microstructure research, market frictions, liquidity and price discovery, strategic traders and trading strategy, information structure and diffusion.

Teaching methods

Delivery type	Number	Length hours	Student hours
Tutorial	10	3.00	30.00
Private study hours			120.00
Total Contact hours			30.00
Total hours (100hr per 10 credits)			150.00

Private study

60 hours reading for lectures;
40 hours preparation for classes;
20 hours examination revision

Opportunities for Formative Feedback

Formative feedback will be given on individual and group contributions to classes, and through a short mid-module progress test.

Methods of assessment

Exams

Exam type	Exam duration	% of formal assessment
Standard exam (closed essays, MCQs etc)	3 hr	100.00
Total percentage (Assessment Exams)		100.00

Normally resits will be assessed by the same methodology as the first attempt, unless otherwise stated

Reading list

The reading list is available from the Library website

Last updated: 25/09/2009

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