• Class Number 4194
  • Term Code 2930
  • Class Info
  • Unit Value 6 units
  • Mode of Delivery In Person
    • AsPr Wai Man Liu
    • AsPr Wai Man Liu
  • Class Dates
  • Class Start Date 25/02/2019
  • Class End Date 31/05/2019
  • Census Date 31/03/2019
  • Last Date to Enrol 04/03/2019
    • Dr Jan Drienko
SELT Survey Results

Most finance courses assume that markets are efficient and that securities can be issued and traded easily and at no cost.  In practice markets are more complex and there are substantial costs associated with issuing and trading securities.  This course therefore explores:
(i) how markets are organised;
(ii) how trading is conducted in these markets;
(iii) the role of different types of market participants; and
(iv) how markets are regulated.  It considers how these factors influence price formation, investment returns and capital raising. 

Research-Led Teaching

While students will not directly engage in research as part of this course, the course will cover significant materials including conference papers and journal articles that reflect the cutting-edge research that is being conducted within the field of financial economics. My aim is to emphasise how academic research can influence industry practice and policy making.

Additional Course Costs


Examination Material or equipment

Non-programmable scientific calculator

Required Resources

de Jong and Rindi, B. (2009) The Microstructure of Financial Markets. Cambridge (on 2-hour library reserve)


Teall, J. L. (2018) Financial Trading and Investing. Elsevier.

Additional reading materials including journal articles, newspaper articles will be available on WATTLE.

Staff Feedback

Students will be given feedback in the following forms in this course:

.Verbal comments during lectures, workshops and consultation hours; and,

 .Written comments on the WATTLE discussion forum.

Student Feedback

ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.

Other Information


Your final mark for the course will be based on the raw marks allocated for each of your assessment items. However, your final mark may not be the same number as produced by that formula, as marks may be scaled. Any scaling applied will preserve the rank order of raw marks (i.e. if your raw mark exceeds that of another student, then your scaled mark will exceed the scaled mark of that student), and may be either up or down.

Support for Students

?The University offers a number of support services for students. Information on these is available online from http://students.anu.edu.au/studentlife/

Class Schedule

Week/Session Summary of Activities Assessment
1 The Role of Markets & Trading Process
2 Order Driven Markets & Intermediated Markets Workshop Introduction to Trading Game Tutorial Trading Game 1 (Introduction) Tutorial Questions Tutorial Participation
3 Analysis of Prices I: Random Walk, Price Formation Process and Roll Model Workshop Analysis of Trading Data Tutorial Trading Game 2 (Warm Up) Tutorial Questions Tutorial/Trading Game Participation
4 Analysis of Prices II: Extensions of the Roll Model Workshop Analysis of Trading Data Tutorial ? Trading Games 3 & 4 Tutorial/Trading Game Participation
5 Public Information Arrival Workshop Analysis of Trading Data Tutorial Trading Games 5 & 6 Tutorial/Trading Game Participation
6 Adverse Selection, Trading & Spreads I Workshop Analysis of Trading Data Tutorial Trading Games 7 & 8 Tutorial/Trading Game Participation Mid- Semester Exam in Week 6
7 Adverse Selection, Trading & Spreads II Workshop Analysis of Trading Data Tutorial Trading Games 9 & 10 Tutorial/Trading Game ParticipationTutorial/Trading Game Participation
8 The Impact of Trading Rules on Trading Outcomes Workshop Analysis of Trading Data Tutorial Trading Games 11 & 12 Tutorial/Trading Game Participation
9 Liquidity and Benchmarking Workshop Analysis of Trading Data tutorial Trading Games 13 & 14 Tutorial/Trading Game Participation
10 Hasbrouck’s Information Share Workshop Analysis of Trading Data Tutorial Tutorial Questions Tutorial Participation
11 Models of the Limit Order Book I Workshop Additional Lecture Material Tutorial Tutorial Questions Tutorial Participation
12 Models of the Limit Order Book II Workshop Additional Lecture Material Tutorial Tutorial Questions Tutorial Participation

Tutorial Registration

Tutorial signup for this course will be done via the Wattle website. Detailed information about signup times will be provided on Wattle or during your first lecture. When tutorials are available for enrolment, follow these steps:

1.   Log on to Wattle, and go to the course site

2.   Click on the link “Tutorial enrolment”

3.   On the right of the screen, click on the tab “Become Member of…..” for the tutorial class you wish to enter

4.   Confirm your choice

If you need to change your enrolment, you will be able to do so by clicking on the tab “Leave group….” and then re-enrol in another group. You will not be able to enrol in groups that have reached their maximum number. Please note that enrolment in ISIS must be finalised for you to have access to Wattle.

Assessment Summary

Assessment task Value Due Date Return of assessment Learning Outcomes
Participation 15 % 04/03/2019 10/05/2019 1,2,3,4
Mid Semester Exam 25 % 01/04/2019 03/05/2019 1,2,4
Final Exam 60 % 06/06/2019 04/07/2019 1,2,3,4

* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details


ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:

Assessment Requirements

The ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the ANU Online website. Students may choose not to submit assessment items through Turnitin. In this instance you will be required to submit, alongside the assessment item itself, hard copies of all references included in the assessment item.

Moderation of Assessment

Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.


See Assessment Task 1 above for discussion about participation.


See Assessment Task 2 and 3 above for exam details.

As a further academic intergrity control, students may be selected for a 15 minute individual oral examination of their written assessment submissions.

Any student identified, either during the current semester or in retrospect, as having used ghost writing services will be investigated under the University’s Academic Misconduct Rule.

Assessment Task 1

Value: 15 %
Due Date: 04/03/2019
Return of Assessment: 10/05/2019
Learning Outcomes: 1,2,3,4


The 15 participation marks are designed to assess ongoing learning in the course and are divided into three parts:

1.   Weeks 2 – 9: Students can earn 5 participation marks if they demonstrate achievement of learning outcomes 1-4 across at least seven of the eight trading game tutorials.

2.   Weeks 4 – 9: The top (20%) performing students in these trading games will earn 5 participation marks. The mechanism for determining the top students will be discussed in lectures and outlined on WATTLE.

3.Weeks 2, 3, 10, 11, 12: Students that hand in a copy of their tutorial solutions to the tutor at the beginning of the class for four out of five of these tutorials will earn 5 participation marks. The solutions do not have to be correct for the student to receive the participation marks. The solutions will only be judged to determine whether the student made a genuine attempt to answer the tutorial questions before attending the tutorial

Assessment Task 2

Value: 25 %
Due Date: 01/04/2019
Return of Assessment: 03/05/2019
Learning Outcomes: 1,2,4

Mid Semester Exam

Mid-Semester Examination – 2 hours (Week 6).

Total weighting: 25%.

This is a closed book exam with no formula sheet. A mixture of theory and practical (numerical) questions will be asked. Students will need to review and revise all materials (weeks 1-6) pertaining to the course. No past exam papers are available for practice.

Assessment Task 3

Value: 60 %
Due Date: 06/06/2019
Return of Assessment: 04/07/2019
Learning Outcomes: 1,2,3,4

Final Exam

Final Examination – 3 hours (Date: TBA).

Total weighting: 60%.

This is a closed book exam with no formula sheet. A mixture of theory and practical (numerical) questions will be asked. Students will need to review and revise all materials (weeks 1-12) pertaining to the course. Students will be provided with further details regarding the exam as it approaches. The marking criteria will be based on model solutions and answers prepared by the lecturer. Past exam papers will be available for practice.

Academic Integrity

Academic integrity is a core part of our culture as a community of scholars. At its heart, academic integrity is about behaving ethically. This means that all members of the community commit to honest and responsible scholarly practice and to upholding these values with respect and fairness. The Australian National University commits to embedding the values of academic integrity in our teaching and learning. We ensure that all members of our community understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with. The University has policies and procedures in place to promote academic integrity and manage academic misconduct. Visit the following Academic honesty & plagiarism website for more information about academic integrity and what the ANU considers academic misconduct. The ANU offers a number of services to assist students with their assignments, examinations, and other learning activities. The Academic Skills and Learning Centre offers a number of workshops and seminars that you may find useful for your studies.

Online Submission

There is no online assignment submission for this course.

Hardcopy Submission

There are no assignment submissions for this course.

Late Submission

No submission of assessment tasks without an extension after the due date will be permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.

Referencing Requirements

Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.

Extensions and Penalties

Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.

Privacy Notice

The ANU has made a number of third party, online, databases available for students to use. Use of each online database is conditional on student end users first agreeing to the database licensor’s terms of service and/or privacy policy. Students should read these carefully. In some cases student end users will be required to register an account with the database licensor and submit personal information, including their: first name; last name; ANU email address; and other information.
In cases where student end users are asked to submit ‘content’ to a database, such as an assignment or short answers, the database licensor may only use the student’s ‘content’ in accordance with the terms of service – including any (copyright) licence the student grants to the database licensor. Any personal information or content a student submits may be stored by the licensor, potentially offshore, and will be used to process the database service in accordance with the licensors terms of service and/or privacy policy.
If any student chooses not to agree to the database licensor’s terms of service or privacy policy, the student will not be able to access and use the database. In these circumstances students should contact their lecturer to enquire about alternative arrangements that are available.

Distribution of grades policy

Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.

Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.

Support for students

The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).

AsPr Wai Man Liu

Research Interests

Market microstructure, behavioural finance, asset pricing, liquidity and financial econometrics.

AsPr Wai Man Liu

Monday 17:00 18:00
Monday 17:00 18:00
AsPr Wai Man Liu
6125 3471

Research Interests

AsPr Wai Man Liu

Monday 17:00 18:00
Monday 17:00 18:00
Dr Jan Drienko

Research Interests

Dr Jan Drienko

Monday 00:00 00:00

Responsible Officer: Registrar, Student Administration / Page Contact: Website Administrator / Frequently Asked Questions