1650 Market Microstructure - Theory and Applications
Assist.Prof. Dr. Felix Fattinger
Contact details
Weekly hours
Language of instruction
09/01/23 to 09/22/23
Registration via LPIS
Notes to the course
Day Date Time Room
Thursday 11/02/23 02:00 PM - 05:00 PM TC.3.08
Thursday 11/09/23 02:00 PM - 05:00 PM TC.3.08
Thursday 11/16/23 02:00 PM - 05:00 PM TC.3.08
Thursday 11/23/23 02:00 PM - 05:00 PM TC.3.08
Thursday 11/30/23 02:00 PM - 05:00 PM TC.3.08
Thursday 12/07/23 02:00 PM - 05:00 PM TC.3.08
Thursday 12/14/23 02:00 PM - 05:00 PM TC.3.08
Thursday 12/21/23 02:00 PM - 04:00 PM D4.0.022

To understand how security prices are determined in practice, one needs to understand how they are traded in real-world financial markets. This course begins with an overview of the predominant trading mechanisms. Gradually deviating from the efficient market paradigm, we then study the impact of market design and prevalent frictions, such as asymmetric information, trading costs, and strategic behavior, on liquidity and price discovery. Throughout the course, the theoretically founded concepts are applied to financial market data and/or investigated directly via the means of asset market experiments.

The main reference text for this course is: Foucault, T., Pagano, M., & Röell, A. (2013). Market liquidity: theory, evidence, and policy. Oxford University Press.

Learning outcomes

After completing this course students will have the ability to:

  • Understand how financial assets are traded in practice.
  • Understand how fundamental economic concepts such as asymmetric information and adverse selection affect trading prices.
  • Understand how technology impacts market design and price efficiency.
  • Use real-world high-frequency data to analyze market liquidity.
Attendance requirements

Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed.

Teaching/learning method(s)

This course is taught as a lecture combined with in-class trading experiments/exercises. For the group project, teams with up to three members will analyze real-world data, write a report, and present their findings with respect to a course-related research question.


The course evaluation is based on three components:

  1. In-class trading experiments/exercises (20%)
  2. Group project and presentation (50%)
  3. Written final exam (30%)

Further details will be announced in due course. For the group project, peer-evaluation will be applied. The lecturer reserves the right to adjust the evaluations of individual group members accordingly. Please note that there will be no opportunity to retake the written final exam.


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Last edited: 2023-03-16