Material and information related to Financial Markets Microstructure course read to Masters in Economics students at Københavns Universitet.

The course largely follows the textbook by Foucault, Pagano, and Röell. Later lectures explore special topics based on recent research articles. See the reading list for more detailed info and further readings.

This repo contains lecture slides, homework and exam problems with solutions.

• You can get the compiled files here.
• Video lectures covering broadly the 2020 version of this material can be found on youtube.

NOTE: some lecture slides contain copyrighted pictures, used under fair use in slides but not redistributed in this repo. This means that an attempt to compile slides will in some cases yield errors. When this happens, find and comment out the relevant includegraphics lines.

Current version: Spring 2025.