Market Microstructure (HEC)


The purpose of the course is to acquaint students with market microstructure.

This course presents some auction theory tools used in financial markets microstructure. It then presents the main models of market microstructure analyzing the role of risk aversion and private information in the process of price formation. The last part of the courses is dedicated to specific topics such that herd behavior in the stock market and robust price formation.


  1. Introduction
  2. Auctions
  3. Dealers’ inventories
  4. Informed non-strategic traders
  5. Informed strategic traders
  6. Informed dealers
  7. Market Efficiency and rational herding
  8. Robust price formation
  9. Limit order markets


T. Foucault, M. Pagano and A Roëll, Market LIquidity, Oxford University Press.

M. O'Hara, Market Microstructure, Blackwell Publishing.

V. Krishna, Auction Theory, Academic Press.