Liquidity, price discovery, and market design

This course covers standard models of price discovery and asset illiquidity in financial markets. It will discuss how and why trades impact asset prices, relating this impact to asymmetric information, inventory holding costs for intermediaries (e.g., securities dealers), and market design (transparency, inter-market competition, matching rules, high frequency trading etc.). It will also present empirical techniques to assess the contribution of these factors to securities illiquidity and price volatility.