This advanced course focuses on the determinants of transactions prices and liquidity in markets for traded securities. While transaction prices can change almost instantly – and at high frequency – asset prices typically are proxies of hypothetical long-term values. In this sense this sequence of courses complements, and builds on, the sequence of asset pricing courses by studies of short term determinants of real transactions prices; i.e. of bid- and ask-prices rather than mid-prices.
Obviously price determination will be closely linked to market organization. Prices in unorganized search markets (OTC) will differ from prices established in organized auction or dealership markets, and accordingly also market participation and liquidity. The different organizational forms of markets and the way they affect price formation and liquidity are the key elements of the elementary course on market microstructure I. The more advanced course on market microstructure II will address the strategic elements of market design, transparency, competition between different organizations (intermodal competition) as well as market failures and regulation.

Course Outline:

1. Introduction

2. Measuring Liquidity

3. Trading Systems:

a. Market Makers: Bid-Ask Spreads
b. Auction Markets: Limit Order Books
c. Search Markets: Intermediary Networks and OTC

4. Market Participation and Liquidity

5. Market Design

The course takes place at the University of Vienna:  Oskar-Morgenstern-Platz 1, Seminarraum 15, 3.Stock

Attendance of the opening meeting at March 2nd is mandatory.

Grading will depend on:

• course participation including random quizzes (25%)
• homework exercises (45%)
• and a final exam (30%) on June 29, 11:30-13:00 (HS 12)
• The passing requirement is 50% of the total score

Selected student are given the option of a full fee waiver for an intensive training course of the Börse Wien.

VGSF students from WU have to co-enrol at the University of Vienna in order to participate in the course.

https://ufind.univie.ac.at/de/course.html?lv=390027&semester=2026S

The course takes place at the University of Vienna:  Oskar-Morgenstern-Platz 1, Seminarraum 15, 3.Stock

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A basic knowledge of finance and microeconomic theory is required. Some prior knowledge in statistics, probability theory and econometrics is also necessary.

This course requires prior knowledge in asset pricing.

More information:

https://ufind.univie.ac.at/de/course.html?lv=390027&semester=2026S