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Teaching Market Microstructure

Contents
In Class Teaching Materials
Prepared Cases
Storylines
Recommended Simulation Sessions
What about the book?
Current Research on Microstructure

Book Materials

Chapter 1
Images for Chapter 1
Chapter 2
Images for Chapter 2
Chapter 3
Images for Chapter 3
Chapter 4
Images for Chapter 4
Chapter 5
Images for Chapter 5
Chapter 6
Images for Chapter 6
Chapter 7
Images for Chapter 7
Chapter 8
Images for Chapter 8
Chapter 9
Images for Chapter 9

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In Class Lecture Materials

Lecture slides for in class discussion - for download
Topic 1: Introduction
Topic 2: Liquidity
Topic 3: Order Driven Markets
Topic 4: Call Auctions
Topic 5: Intermediated Markets
Topic 6: Technical Analysis and Algorithmic Trading
Topic 7: Performance Measurement
Appendix: Prices, Returns, Trading Costs
Simulation Slides

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Trader Exercises

Prepared cases to illustrate various concepts. Includes individual and group projects.
Case 1: The Search for Alpha

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News Stories

Preconfigured storylines with associated equalibrium price changes
Story 1: Fish Stock CEO
Story 2: Wild Ride on Wall Street
Story 3: Steady Plow

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Research Papers
Current Research Papers
The Dynamic Process of Price Discovery in an Equity Market: Pagano, Davis and Schwartz

Market Sidedness: Insights into Motives for Trade Initiation Schwartz (forthcoming Journal of Finance

Trading, Price Setting and Volatility in Equity Markets Under Divergent Expectations and Adaptive Valuations Schwartz

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The Book

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