Trading and Exchanges [ MGEST2163 ]

' Typology of market structures
' Quality indicators of financial markets
' The basics of execution strategies (order placement,
algorithmic trading, etc.)
' Transaction costs analysis
' The European regulation (MiFID) and its implications for
financial markets

* Explain how financial markets work and how prices come
to reflect information
* Analyze how various trading rules affect price efficiency,
liquidity, transparency, and trading profits
* Implement and assess basic trading strategies
* Analyze and discuss the recent evolution of the
European trading landscape
* Explain and apply the fundamentals of Transaction Cost
Analysis

- oral examination
- oral and written assessment of the case study

- Lectures
- Group work (case study)

* Introduction: some facts & figures
* Market structure and design
* Market quality and liquidity
* MiFID & the European capital markets industry
* Fundamentals of Transaction Cost Analysis

* Foucault T., Pagano M. & Röell A, 2013, "Market
Liquidity: Theory, Evidence, and Policy", Oxford University
Press
* Harris L., 2003, "Trading & Exchanges : Market
Microstructure for Practitioners", Oxford University Press
* Giraud JR. & D'Hondt C., 2006, "MiFID: Convergence
towards a unified European capital markets industry",
Riskbooks
* D'Hondt, C. & J.R. Giraud, 2007, "MiFID: the (in)famous
European Directive?", EDHEC Position Paper, March.
* Kissell, R. and M. Glantz, 2003, "Optimal Trading
Strategies", USA (New York): AMACOM, 382pp.

Some lectures given by guest speakers