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Market Microstructure and High-Frequency Trading


Grades of Taken Exams
Grade Number
1 3
1,3 3
1,7 6
2 1
2,3 2
2,7 2
3 2
3,3 2
3,7 5
4 1
5 3
Average: 2,64  




Lectures (exercise session included)

  • Wednesday, 16:00 - 18:00, R 00 006 Wilhelmstr. 26
  • Thursday, 12:00 - 14:00, HS 1228, KG I


Credit points

  • 8 ECTS   


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.

Learning/qualification target


  • 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.



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. Also a trading seminar

Outline (ordering subject to adjustments)

  1. Introduction: Financial Markets and Market Structure
  2. Financial Market Equilibrium Theory and Asset Pricing Models
  3. Statistical Building Blocks and Econometric Basics
  4. Classical Spread Component Models
  5. Limit Order Book Models
  6. Price Discovery and Liquidity
  7. Integrated Trading Simulation Seminar (at Börse Stuttgart, seminar and travelling costs are covered) *)
  8. High-frequency Aspects
  9. Current Developments

*) The upper limit for the course is 54 students, due to the seminar restrictions.

Lecture Slides



  • 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 (see also literature cited in the paper)
  • More literature will be announced in-course.

Additional information
The course is eligible for the following fields:

  • Accounting, Finance and Taxation OR Empirical Economics for PO 2014
  • Volkswirtschaftstheorie OR Quantitative Methoden for PO 2011
  • Finance OR Information Systems and Network Economics for M.Sc. in Economics


Students who already passed „Empirical Market Microstructure Analysis“ in summer term 2016 are not eligible for this course.

Exam (120 min)

  • Wednesday, 21 February 2018, 2-5 p.m., HS 1199



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