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Empirical Market Microstructure Analysis

Instructors


Lectures

  • Topics course, blocked format

03.05.2016

10:00-12:00 (HS 2006)

 

14:00-16:00 (HS 2006)

 

16:00-18:00 (HS 2006)

06.05.2016

10:00-12:00 (HS 2006)

 

14:00-16:00 (HS 2006)

 

16:00-18:00 (HS 2006)

24.05.2016

10:00-12:00 (HS 2006)

 

14:00-16:00 (HS 2004)

 

16:00-18:00 (HS 2004)

31.05.2016

10:00-12:00 (HS 2006)

 

14:00-16:00 (HS 2006)

 

16:00-18:00 (HS 2006)

28.06.2016

10:00-12:00 (HS 2006)

 

14:00-16:00 (HS 2006)

 

16:00-18:00 (HS 2006)

 

Retake exam

  • Wednesday, 18 January 2017, 16:00 - 18:00, HS 2121


Credits

  •   6 ECTS (M.Sc. VWL PO 2014 & M.Sc. in Finance)


The course "Empirical Market Microstructure Analysis" is eligible for the following fields:

Accounting, Finance and Taxation OR Empirical Economics for PO 2014

Volkswirtschaftstheorie OR Quantitative Methoden for PO 2011


Grade

  • 100% Final Exam, 90 minutes


Course Material

Course material for the first block session can be downloaded at the department’s website. For further material, updates, and relevant information, please keep checking ILIAS (https://ilias.uni-freiburg.de/login.php). The access password will be announced during the first block session ! 


Prerequisites

Knowledge of calculus, linear algebra, statistics, probability theory, and econometrics as taught in the first three semesters of the bachelor program in economics for the students in the M.Sc. VWL PO 2014.

 

Qualification Target

 Students

  • have an in-depth knowledge of the theories and models as well as the empirical research literature in the field of financial market microstructure.
  • have the required analytical abilities and understand the relevant methods in the field of financial market microstructure

 

 Course Description

The course delivers the relevant knowledge concerning market microstructure and trading. Teaching of the theoretical fundamentals as well as in-depth discussion of the empirical studies and current developments.

 

Outline

1. Introduction: Financial Markets and Market Structure 

2. Financial Market Equilibrium Theory and Asset Pricing Models 

3. Statistical Building Blocks and Econometric Basics 

4. Transaction and Trading Models 

5. Information-Based Models 

6. Inventory Models 

7. Limit Order Book Models 

8. Price Discovery and Liquidity 

9. High-frequency Trading

10. Current Developments

 

Main References

  • de Jong, F. and B. Rindi (2009). The Microstructure of Financial Markets. Cambridge Books. 
  • Hasbrouck, J. (2007). Empirical Market Microstructure. Oxford Press.
  • Lo, A.W. (2007). Continuous-Time Methods and Market Microstructure. Edward Elgar.
  • Harris, L. (2003). Trading & Exchanges: Market Microstructure for Practitioners. Oxford Press.
  • O’Hara, M. (2000). Market Microstructure Theory. Blackwell Publishers.
  • Campbell, J. Y., A.W. Lo and A.C. MacKinlay (1996). The Econometrics of Financial Markets. Princeton University Press.
  • O’Hara, M. (2015). High frequency market structure. Journal of Financial Economics, 116, pp. 257–270

 

 

Dateien
EMMA Lecture 6   729.3 kB   Preview
Kontakt

Abteilung für Empirische Wirtschaftsforschung und Ökonometrie

Raum 2309

Platz der Alten Synagoge

D-79085 Freiburg

Tel.: 0761 203-2338

Fax: 0761 203-2340

Benutzerspezifische Werkzeuge