Market microstructure is the study, both theoretically and empirically of tick by tick price determination in a security market. Such a study includes the nature of quotes, orders and how transactions evolve. The focus of this course is the set of a relatively few number of standard theoretical models in the area. The course starts with a discussion of market “plumbing,” i.e. the way markets work and their rules. This will form the basis for analyzing the realism of various models. We then work through the models and their variants in order to understand their key contributions and empirical implications. We end with a discussion of regulatory issues and how the models inform, or do not inform, the regulatory discussion.

Lawrence Glosten

S. Sloan Colt Professor of Banking and International Finance

Lawrence R. Glosten is the S. Sloan Colt Professor of Banking and International Finance at Columbia Business School. He is also co-director (with Merritt Fox and Ed Greene) of the Program in the Law and Economics of Capital Markets at Columbia Law School and Columbia Business School and is an adjunct faculty member at the Law School. He has been at Columbia since 1989, before...

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