Econometrics, Statistics and Empirical Economics

S310 Financial Market Microstructure

Lecturer Prof. 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

Video format + feedback sessions

Lecture: Tuesday, 14.15
Practical Class: Wednesday, 12.15

Links to online rooms are provided on ILIAS

Registration via ILIAS; password: M!crostructure
Credit points 6 ECTS
Practical class using SAS


The course 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.

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).