The SAFE Visitors Program organizes and cordially invites you to attend a PhD-level mini course on
Market Liquidity
Marco Pagano, Professor of Finance, Department of Economics and Statistics of the University of Naples Federico II
Course Description
This course deals with liquidity and price formation on securities markets. The structure and performance of prominent real-world securities markets are analyzed using theory and evidence from research in financial economics. The issues covered in the course are how to measure trading costs; how security prices and their liquidity are jointly determined, and how order flow affects prices; and how trading speed affects their functioning in terms of trading costs, informational efficiency, and volatility.
The course will be based on chapters 1, 3, 4 and 9 from the book Market Liquidity: Theory, Evidence, and Policy by Thierry Foucault, Marco Pagano and Ailsa Röell, OUP, 2024.
Schedule
4 March, Wednesday
9:00 - 9:45 a.m., room HoF E.22 (Commerzbank), ground floor
"Trading Mechanisms"
9:45 - 10:00 a.m., break
10:00 - 11:30 a.m. room HoF E.22
"Price Dynamics with Adverse Selection"
5 March, Thursday
9:00 - 10:30 a.m., room HoF E.22 (Commerzbank), ground floor
"Price Dynamics with Order Processing or Inventory Holding Costs"
10 March, Tuesday
10:00 - 11:30 a.m., room HoF E.20 (DZ Bank), ground floor
"Trade Size and Market Depth"
12 March, Thursday
9:00 - 10:30 a.m., room HoF E.20 (DZ Bank), ground floor
"Algo Trading and High-Frequency Trading"
Kindly note that the event will start promptly at the indicated time.
The attendance is free of charge upon registration.
