Research project Financial Market Microstructure (FMM)
Financial market structure is about how legislation, technology, and trading rules and traditions influence trading strategies and market quality, such as efficiency and liquidity. Efficiency and liquidity are often taken for granted in financial economic theory, but in reality they vary considerably, both over time and across assets (for example stocks, bonds, and derivatives).
Examples of research topics that faculty members and PhD students at SBS pursue within this field include:
- Market quality implications of how European equities markets (traditional stock exchanges, dark pools, and systematic internalisers) are organized and regulated.
- High-frequency trading and the introduction of speedbumps in trading.
- Price discovery in foreign exchange markets.
- Liquidity measurement in US equity markets.
- Hedging, liquidity and price discovery in the futures markets.
Financial market structure researchers at SBS interact with policy-makers both locally and at the EU level (Finansinspektionen and ESMA, respectively) and collaborates with the Swedish Securities Markets Association to promote the discussion of market structure issues in academia and in the industry. Furthermore, SBS is host for two webinar series and an annual academic conference in this field (see links).
The research activity in this field is also reflected in the teaching at SBS. All masters students in Finance take a course in Financial Market Structure, and every second year SBS hosts the Summer School on Market Microstructure for PhD students (see links).