FIN548 Advanced Empirical Market Microstructure

• Topics

  he 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

  Knowledge:

  Students are able to understand and assess important topics on the research frontier of empirical market microstructure

  Skills:

  Students can develop hypotheses and execute research within empirical market microstructure

  Competence:

  Students can communicate research within empirical market microstructure

  Students can evaluate research in order to actively participate in debates about the field in scholarly forums

• 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 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

  Pass/Fail