Summer School on Market Microstructure

Focus: High-frequency trading

Hosted by Francesco Franzoni at the Institute of Finance of the Università della Svizzera italiana (USI)

A one-week full-time intensive course on market microstructure at PhD or advanced research master level.


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.

For whom?

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, hedge funds, or at a buy-side institution's execution desk), 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.

By whom?

The course is evenly split between theory and empirics. The theory part will be taught by Prof. Thierry Foucault of HEC Paris. The empirical part will be taught by Prof. Albert J. Menkveld of Vrije Universiteit Amsterdam.


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.


The course lectures will start on Monday June 19, 2017, and end on Friday June 23, 2017. Students have the option to take the exam on Saturday June 24 (and obtain the credit if they pass).


The course will be taught on campus at the Università delle Svizzera italiana. To see it on Google Maps, click [here].


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 individuals at universities and public sector institutions located in Switzerland.


There is limited availability (due to classroom size). If you are interested, please apply by filling out a short form by clicking [here]. At this point there are only a few seats left and they will go on a first-come-first-served basis. You will hear whether you are admitted within two weeks of your application.

If you cannot make it for this one, you can be added to an email alert list for future editions of this summer school by filling out a very short form [here].

If you have any further questions, please email us at