Institute of Finance
The course aims to acquaint students with the field of market microstructure, both theoretically and empirically.
Market microstructure has grown rapidly as an important subfield of finance. Research in this field focuses on the intertwined relationships between volatility, liquidity, price discovery, market design, and ultimately welfare. Models in market microstructure provide a framework for the analysis of price movements and trading volume.
After the course students will be aware of canonical models in microstructure and how they can be adapted to study the effects of recent changes in market structures and trading technologies (e.g., high frequency trading). They will also learn what the appropriate econometric models are to test the predictions of microstructure models, when and why particular models should be used for data analysis, and understand their relative advantages and drawbacks.
The course is evenly split between theory and empirics. The theory part will be taught by Prof. Thierry Foucault of HEC Paris. The empirical part will be taught by Prof. Albert Menkveld of Vrije Universiteit Amsterdam.
Date: June 24 – 28, 2019
Auditorium Lugano Campus (main building 3rd level)