Microeconomics of Financial Markets
Exam number: 5029
Semester: from 1st semester
Duration of the module: One semester
Form of the module (i.e. obligatory, elective etc.): Elective
Frequency of module offer: Each third semester
Prerequisites: Fundamentals of Microeconomics, Statistics, Mathematics and Capital Market Theory.
Applicability of module for other study programmes:
Obligatory or elective in other study programmes. For further information check regulations of the study programme.
Person responsible for module: Prof. Dr. Karl L. Keiber
Name of the professor: Prof. Dr. Karl L. Keiber
Language of teaching: English
ECTS-Credits (based on the workload): 6
Workload and its composition (self-study, contact time):
Contact time (lecture, tutorials, seminar etc.) 33,75 h; self-study: 146,25 h
Contact hours (per week in semester): 3
Methods and duration of examination:
Successful written exam (120 min)
Emphasis of the grade for the final grade: Please check regulations of the study programme
Aim of the module (expected learning outcomes and competencies to be acquired):
This course focuses on the economics of information of financial markets and has two primary objectives. The first is to make the participants familiar with the major ways of thought concerning the price formation in securities markets from a microeconomic perspective. The second objective is to provide the participants with the necessary tools of information economics as applied to the analysis of financial markets. In the end the participants will understand the informational role of prices and have a broader understanding of the informational efficiency of securities markets.
Contents of the module:
- Equilibrium under Symmetric Information
- Equilibrium under Diverse Information
- Equilibrium under Asymmetric Information
- Equilibrium in the Market for Information
- Rational Expectations
- Multivariate Normal Distribution Theory
- Bayesian Learning
Teaching and learning methods:
Lecture with tutorials, self-studies
Literature (compulsory reading, recommended literature):
Admati, Anat R. (1989), Information in Financial Markets: The Rational Expectations Approach, in: Bhattachary, Sudipto and George M. Constantinides (eds.), Financial Markets and Incomplete Information, Rowman & Littlefield, Savage, Maryland, 1989, 139-152.
De Jong, Frank and Barbara Rindi, The Microstructure of Financial Markets, Cambridge University Press, Cambridge, 2009. Chap. 2.
Huang, Chi-fu and Robert H. Litzenberger, Foundations for Financial Economics, Prentice Hall, Englewood Cliffs, 1988. Chap. 9.
Registration in Moodle Viadrina required.