Summer School on Market Microstructure

Description

Summer School on Market Microstructure, University of Edinburgh Business School

Lecturers: Thierry Foucault (HEC Paris) and Albert Menkveld (VU Amsterdam)

WHEN: June 16 to June 20, 2025

WHERE: University of Edinburgh Business School and Edinburgh Futures Institute, Edinburgh (UK); Host: Prof. Khaladdin Rzayev

WHAT: University of Edinburgh Business School and Edinburgh Futures Institute invite graduate students, faculty members, and advanced practitioners to apply for 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. The theory part will be taught by Prof. Thierry Foucault of HEC Paris. The empirical part will be taught by Prof. Albert Menkveld of Vrije Universiteit Amsterdam. The first set of lectures focus on theory and present (i) the canonical frameworks used in market microstructure and (ii) how these can be used to analyze recent technological changes, in particular the rise of alternative data and algorithmic trading. The second set of lectures focus on empirics and review the approaches most often used and embeds them in time series econometrics. The lectures further touch on novel approaches, their pros and cons, and discuss structural econometrics.

WEBSITE: For more information, see http://microstructure-course.com/

APPLICATION: There is limited availability (due to classroom size). If you are interested, please fill out the application form available at the website: http://microstructure-course.com/ The deadline for the first round of applications is December 1, 2024.

FEE: The course fee is €1250 (including VAT) for those who are currently students or faculty at an academic institution and €3750 (including VAT) 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). 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 PhD students from University of Edinburgh, from HEC Paris, from Vrije Universiteit Amsterdam, from Tinbergen Institute and for Edinburgh Business School faculty.