Market Microstructure from Coursera

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Syllabus

Basics

This module presents the subject of the course and its main concepts: liquidity and price discovery, and basic notions of trading in securities markets.

Measuring liquidity

In this week you will learn that some trading costs are explicit, others implicit, and how to measure trading costs using different types of data. Furthermore, you will learn how to take the time dimension of trading into account.

Price dynamics and Liquidity (part 1)

This module talks about price formation in markets with asymmetric information. You’ll understand why in these markets prices respond to the order flow and you’ll know how the informativeness of the order flow affects market liquidity and price discovery.

Price dynamics and Liquidity (part 2)

In this week we’ll talk about frictions that contribute to the bid-ask spread and generate mean reversion in prices and you’ll learn about order processing costs. Moreover, you’ll know the imperfect competition among market makers and how inventory holding costs of risk-averse dealers.

Trade side and Market Depth

This week will explain how orders of different sizes have a different impact on prices and how price impact is an inverse measure of market depth. You’ll learn that depth is affected by order flow informativeness, market risk absorption capacity and competition between liquidity suppliers.

Algorithmic and High-Frequency Trading

By the end of this week, you will learn the fundamentals of algorithmic and high-frequency trading, their impact on market quality, and explore policies to mitigate trading speed effects.

Good to know

Know what's good

, what to watch for

, and possible dealbreakers

Explores security trading, which is a fundamental part of finance

Examines how liquidity affects price discovery, which is essential for transparent and efficient markets

Taught by Marco Pagano, a recognized expert in the field of securities markets

Develops understanding of algorithmic and high-frequency trading, which are shaping the future of financial markets

May require some background in finance or economics for full comprehension

Career center

Learners who complete Market Microstructure will develop knowledge and skills that may be useful to these careers:

Quantitative Researcher

Quantitative researchers are responsible for developing and implementing mathematical models to help investment firms make better decisions. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as measuring trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a quantitative researcher.

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Portfolio Manager

Portfolio managers are responsible for managing the investments of individuals and institutions. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a portfolio manager.

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Financial Analyst

Financial analysts are responsible for providing investment advice to individuals and institutions. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a financial analyst.

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Risk Manager

Risk managers are responsible for identifying and managing risks for financial institutions. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a risk manager.

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Investment Banker

Investment bankers are responsible for advising companies on mergers and acquisitions, capital raising, and other financial transactions. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as an investment banker.

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Trader

Traders are responsible for buying and selling securities for their own account or for the account of their clients. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a trader.

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High-Frequency Trader

High-frequency traders are responsible for trading securities at very high speeds. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a high-frequency trader.

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Algorithmic Trader

Algorithmic traders are responsible for developing and implementing computer programs that trade securities. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as an algorithmic trader.

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Financial Economist

Financial economists are responsible for conducting research on financial markets and institutions. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a financial economist.

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Market Regulator

Market regulators are responsible for regulating the securities markets. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a market regulator.

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Market Microstructure Academic

Market microstructure academics are responsible for teaching and conducting research on the structure and function of financial markets. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a market microstructure academic.

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Financial Journalist

Financial journalists are responsible for writing about financial markets and institutions. This course provides a strong foundation in the concepts of price formation and liquidity in securities markets, which are essential for anyone who wants to succeed in this field. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a financial journalist.

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Economist

Economists are responsible for conducting research on economic issues. This course may be useful for economists who want to specialize in financial economics. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as an economist specializing in financial economics.

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Computer Scientist

Computer scientists are responsible for designing and developing computer software. This course may be useful for computer scientists who want to specialize in financial computing. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a computer scientist specializing in financial computing.

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Statistician

Statisticians are responsible for collecting, analyzing, and interpreting data. This course may be useful for statisticians who want to specialize in financial statistics. The course covers topics such as how to measure trading costs, how security prices and liquidity are jointly determined, and how order flow affects prices. This knowledge will give you a competitive edge in the job market and help you to succeed as a statistician specializing in financial statistics.

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Market Microstructure

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