Summer School on Market Microstructure
Topics: Market design, high frequency trading, and optimal execution algorithms
A one-week full-time intensive course on market microstructure at PhD or advanced research master level. The next edition will be hosted by Björn Hagströmer at Stockholm Business School, Stockholm University.
Student quotes from past editions:
- Thierry and Albert not only "teach" frontier research, they also go over the "thought process" behind the research. You will learn how to think like them. (Saad Khan)
- I really enjoyed the collaborative atmosphere during the entire week. Thierry and Albert have provided me with plenty of helpful comments. Thanks, guys! (Steffen Eibelshäuser)
- A perfect combination of classical and innovative microstructure topics from top researchers in the field. Helped generate new ideas/ new thinking. (Ekaterina Serikova)
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 intended for PhD students who have completed their core courses (macro, micro, econometrics, etc.) and for advanced practitioners. It could be considered a necessary "field course" for those interested in market microstructure.
We expect the course to also be useful for students who completed an advanced (research) master (economics, finance, operations research, or related areas).
Finally, the course is likely to be of interest to professionals in the investment industry (e.g., quants at HFTs, at hedge funds, or at buy-side institutions), or researchers in central banks or regulatory agencies. It will help them gain a deeper economic understanding of the determinants of liquidity and volatility in securities markets. It will further familiarize them with the econometric tools required to analyze high-frequency data. The ideal student is someone who intends to do research in this area.
The course is self-contained. Familiarity with information economics will be helpful.
Four three-hour lectures by Foucault, followed by four three-hour lectures by Menkveld. In the middle of the week, there will be time for students to present their own work to get feedback. Students will receive one theory and one empirical homework. Lectures end on Friday, but those who take the course for credit will have to take a sit-in open-book exam on Saturday or a take-home exam. (Whether there will be a Saturday exam or a take-home exam is still open at this point.)
The next edition of the course lectures will start on Monday June 25, 2018, and end on Friday June 29, 2018.
The course fee is €1000 for those who are currently students or faculty at an academic institution and €2500 for others. This fee includes the lectures, homeworks, and an exam (students who pass the exam will receive an official document to confirm such result, 3 ECTS points included). It further includes a joint dinner. Accommodation costs are not covered (i.e., students need to find their own accommodation). The course fee (except for the cost of the dinner) is waived for PhD students in the Nordic Finance Network and for Stockholm Business School faculty (the latter will only be admitted if space allows).
For more information please click "Further Official Information" below.
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