Finance 494: Market Microstructure and Electronic Trading
Instructor: Dale Rosenthal
Tuesdays and Thursdays, 3:30-5:00, Lecture Center A7
This course introduces the details (microstructure) of how financial
markets work. We will also discuss electronic trading since it has
spurred the study of microstructure — and has changed
microstructure. After this course, students should:
recognize microstructure effects in markets;
know how electronic traders use microstructure; and,
trade and conduct research more thoughtfully and successfully.
Edwin Lefèvre's Reminiscences of a Stock Operator is a
gentle backgrounder for the material — and is required reading. I
suspect anyone interested in trading will find it enjoyable.