Advanced Empirical Market Microstructure

FIN548 Advanced Empirical Market Microstructure

Autumn 2024

  • Topics

    The course introduces students to recent advances in the area of empirical market microstructure. After an introduction to event studies, we will cover the topic of news and price discovery. We will also deal with algorithmic / high frequency trading. Finally, we will examine more specialized topics such as the effect of short sales on market quality.

  • Learning outcome

    Upon course completion, the candidate can:


    • Understand and assess important topics on the research frontier of empirical market microstructure.


    • Develop hypotheses and execute research within empirical market microstructure.


    • Communicate research within empirical market microstructure.
    • Evaluate research in order to actively participate in debates about the field in scholarly forums.

  • Restricted access

    • PhD candidates at NHH
    • PhD candidates at Norwegian institutions
    • PhD candidates at other institutions
    • PhD candidates from the ENGAGE.EU alliance

  • Required prerequisites

    Successful completion of a PhD level course in asset pricing.

  • Compulsory Activity

    Each student must present on each course day an assigned paper and write an accompanying paper introduction (2-3 pages long).

  • Assessment

    The final course evaluation consists of an individual in-class 35-minute presentation. The presentation includes a presentation of an assigned paper and the development of a new research idea based on the assigned paper.

  • Grading Scale


  • This is an ENGAGE-course

    This course is offered to PhD candidates from the ENGAGE.EU alliance.


ECTS Credits

Spring. Offered spring 2024.

Course responsible

Professor Jonathan Brogaard, University of Utah

Associate Professor Konrad Raff (Internal NHH contact person)