The objective of this module is to equip the student with principles of mechanism design and market micro-structure, especially in terms of electronic stock market environments and institutions such as modern clearing and settlement systems. The course is organized in 2 parts, taught respectively, by Dr. Daniele Condorelli and Calum Macaskill.
Part I will be covered in weeks 1-5 and will focus on the micro-structure of markets from a game theoretic viewpoint. In particular the first five lectures focus on the economic theory of matching and mechanism design. Part II will be covered in weeks 6-10. This will focus on artificial stock market models and the London Stock Exchange Electronic Order book Trading System (SETS), followed by the principles behind modern clearing and settlement systems for derivatives markets. In Part II of the module, software based computational modelling will be used for the development of the London Electronic Stock Market and also agent based models of stock markets and clearing systems for derivatives markets.
- Module Supervisor: Sheri Markose