Econometrics, Statistics and Empirical Economics

S310 Financial Market Microstructure

Lecturer PD Dr. Thomas Dimpfl
Focus module

Applied Economics,

Elective Studies,

Banking & Finance

Language English
Prerequisites Quantitative Methoden
Applied Econometrics (can be taken simultaneously)
Time and Place

Tuesday 2-4 pm

VG Wilhelmstr. - Seminarraum 001 0.01

Exam 60 minutes (written) + assignment
Credit points 6 ECTS
Practical class using SAS
Course limit 60 participants


Start of the lecture 16-04-2019


The course consists of two hours lecture and two hours practical class each week. It starts with institutional background and market microstructure basics, in particular market types (dealer or limit order book markets), order types and market participants. It moves on to the main theoretical models of price formation (Roll model, Kyle model, Glosten model, and others). The course then covers structural models of the trading process (Huang/Stoll, Glosten/Harris, Madhavan/Richardson/Roomans model). Finally, insight is given into recent developments in the analysis of high frequency financial data (such as realized volatility, microstructure noise, algorithmic trading).

The theoretical aspects are illustrated in empirical applications using SAS. Case studies covering the different topics will be treated in the practical sessions in the PC-lab.

Aim of the course

The aim of this course is to equip students with a general knowledge about the design of financial markets. They will learn to understand the influence of market characteristics on market efficiency and trading patterns. Besides gaining an insight into theoretical models, students will also learn to apply their knowledge within the framework of empirical case studies using the econometric/statistical software (SAS).