Market Microstructure Introduction参考.pptx

Market MicrostructureLecture 1 IntroductionDaniel Sungyeon Kim;Investments vs. This class;What is market microstructure?;Harris, Chapter 2 Trading StoriesA Retail Trade in a NYSE-listed Stock;Harris, Chapter 2 Trading StoriesA Retail Trade in a NYSE-listed Stock;;Just for fun trivial question: From 1885 - 2003, this exchange was called the Cincinnati Stock Exchange. What has been the physical location of this exchange from 1976 to the present?;Cincinnati Stock Exchange;More on Consolidated Quotation System;More on Consolidated Quotation System;More on Consolidated Quotation System;More on Retail Trade in NYSE-listed Stk.;More on Retail Trade in NYSE-listed Stk.;More on Retail Trade in NYSE-listed Stk.;Why is no one interested in filling Jennifer’s order when it first arrives?;More on Retail Trade in NYSE-listed Stk.;More on Retail Trade in NYSE-listed Stk.;More on Retail Trade in NYSE-listed Stk.;More on Retail Trade in NYSE-listed Stk.;NBBO Example;A Retail Trade in a NASDAQ Stock;A Retail Trade in a NASDAQ Stock;;More on a Retail Trade in a NASDAQ St.;More on a Retail Trade in a NASDAQ St.;More on a Retail Trade in a NASDAQ St.;Which trading system appears to be more competitive?;An Institutional Trade in a NYSE Stock;An Institutional Trade in a NYSE Stock;More on Institutional Trade in NYSE Stk.;More on Institutional Trade in NYSE Stk.;More on Institutional Trade in NYSE Stk.;More on Institutional Trade in NYSE Stk.;More on Institutional Trade in NYSE Stk.;Harris, Chapter 3 The Trading IndustryPlayers;Players; ; Players; ;Properties of buy side vs. sell side;Why are buy-side traders willing to suffer an “immediate loss”?;Why willing to suffer an “immediate loss”?;Real = tangible, physical vs. financial = intangible, paper;Instrument Class;More on Instrument Classes;Why are options, futures,and swaps listed as having 0% capital wealth?;Why 0% Capital Wealth?;More on Instrument Classes