Introduction to Market Microstructure < Back to MOOC Home / ILB Mooc / ILB Mooc / Introduction to Market Microstructure Introduction 3 Part 1: Fragmentation and Liquidity in European Markets Part 2: Introduction to the orderbook Introduction: test 4 questions I. European markets fragmentation and liquidity 3 Part 1: European markets fragmentation and liquidity Part 2: Turnover, volumes and spreads European markets fragmentation and liquidity: test 4 questions II. Key practical questions from an investor's point of view 4 Part 1: Key practical questions from an investor’s point of view Part 2: Main types of trading, trading algorithms Part 3: How to measure the performances of trading algorithms Key practical questions from an investor’s point of view: test 6 questions III. Key orderbook properties 5 Part 1: Orderbook properties: How bid-ask spreads, turnover, available sizes and volatility relate together Part 2: Orderbook properties: How bid-ask spreads, turnover, available volumes and volatility relate together Part 3: Orderbook properties: Average Trade Size and Turnover, Bid-Ask spreads and Turnover Part 4: Orderbook properties: Bid-Ask spreads and Volatility, First limit sizes and Turnover Key orderbook properties: test 4 questions IV. Market fragmentation and competition across venues 4 Part 1: Market fragmentation: How does market fragmentation relate to the characteristics of the orderbooks across different venues? Part 2: Market fragmentation: Fragmentation, relative number of trades and relative average trade sizes Part 3: Market fragmentation: Fragmentation, relative available sizes and relative bid-ask spreads Market fragmentation and competition across venues: test 4 questions V. Key forecast based on the orderbook 5 Part 1: Key forecast based on the orderbook: Which data for which forecasting horizon? Part 2: Key forecast based on the orderbook: Using the orderbook imbalance to forecast the next trade side Part 3: Key forecast based on the orderbook: Forecasting the next trade’s orderbook after an agressive buy Part 4: Key forecast based on the orderbook: Future price profile after an agressive trade on a given venue Key forecast based on the orderbook: test 5 questions Introduction to Market Microstructure ILB MOOC Back to Course This content is protected, please login and enroll course to view this content! Prev Part 1: Key forecast based on the orderbook: Which data for which forecasting horizon? Next Part 3: Key forecast based on the orderbook: Forecasting the next trade’s orderbook after an agressive buy