International Summer School 9/13 July, 2018 AGNONE, ITALY

International Summer School

Empirical Methods in Market Microstructure Research 9/13 July, 2018 AGNONE, ITALY

UNDER THE PATRONAGE OF

COMUNE ACCADEMIA ITALIANA DI AGNONE DI ECONOMIA AZIENDALE The Department of Economics of the University of Molise, in collaboration with ECMCRC (European Capital Markets Cooperative Research Centre) and CMCRC (Capital Markets Cooperative Research Centre), is organizing an International Summer School on “Empirical Methods in Market Microstructure Research”. The Summer School will take place from 9 to 13 July, 2018, and it is hosted in the beautiful medieval town of Agnone, located in the upper part of Molise. Conducted in English, the programme addresses graduate and postgraduate students from Economics with background knowledge in introductory finance and basic statistics. The programme deals with empirical market microstructure research; it aims at investigating the impact of regulation or market structure on the quality and efficiency of markets, through a combination of introductory classes on how DATES to conduct empirical research and “hands on” 9/13 July 2018 practical work in computer laboratory sessions. This course is designed to provide students with an understanding of (1) approaches VENUE to empirical tests in market microstructure Convento San Francesco research, (2) Thompson Reuters Tick History Agnone (ITALY) (TRTH) data and how it can be used to conduct empirical tests, and (3) the SAS language and how it can be used to analyse large datasets (Big PRICE Data) comprised of billions of observations. 200 € The University of Molise is one of the youngest Italian higher education institutions. The Department of Economics plays a leading role in education and research, as well as in the international commitment and collaboration with social enterprises and corporations on the THE SUMMER SCHOOL territory. SCIENTIFIC COMMITTEE The European Capital Markets Cooperative Research Centre (ECMCRC) Foundation operates as a not for profit scientific institution Prof. Francesco Capalbo towards promoting and facilitating capital University of Molise markets research amongst member universities and industry partners on European capital Prof. Alex Frino markets, and providing data for academic research purposes. CMCRC The Capital Markets Cooperative Research Centre (CMCRC) is Australia’s leading Prof. Claudio Lupi research and development organisation University of Molise providing break-through technology solutions for capital and health markets and assuring market quality. CMCRC examines issues Prof. Riccardo Palumbo in health economics and finance, provides ECMCRC consulting, as well as funding for innovation and scholarship programs. Prof. Alberto Pozzolo We are looking forward to meeting you in University of Molise Agnone in summer 2018. 9/13 July, 2018 AGNONE, ITALY International Summer School International Summer School 9/13 July, 2018 AGNONE, ITALY Empirical methods Who should apply? in The EMMMR School is targeted to market those who would like to supplement their current studies and research in microstructure the field of financial markets. The EMMMR Summer School, taught entirely in English, is intended for Master’s degree students*, PhD students, recent graduates and assistant research researchers in all subjects related to the Summer School topics.

Empirical market microstructure research practical work in computer laboratory often examines the impact of regulation or sessions. The aim is to enable students to market structure (or changes in them) on replicate the empirical analysis in a number Summer School prize winning the quality or efficiency of markets. A typical of seminal (empirical) microstructure papers, microstructure “experiment” will require and eventually to be able to design and independent (explanatory) and dependent conduct their own empirical microstructure variables to be specified and measured research. Students are expected to have using commonly available databases, and some background knowledge in introductory Capital Market CRC, a leading research student, depending on his/her performance, then conduct analysis in order to ascertain finance and basic statistics. and development organisation assuring will be offered the possibility to join one of the impact of the independent variables on market quality, will offer the best performing the CMCRC PhD programs. the dependent ones. This analysis usually student a grant of up to 5.000 AUD The PhD program has a duration of 3 requires the implementation of sampling for reimbursement of costs to spend 3 years, to be spent mainly in Sydney, and the procedures (e.g., event study methods or weeks visiting its headquarter in Sydney to student, if successful, will benefit of annual matched pairs sampling) as well as statistical LEARNING work on a specific research project. The scholarship of AUD 50,000. tests (e.g., t tests or regression analysis). CLASSES AND LABORATORIES This course is designed to provide students 27 HOURS IN TOTAL with an understanding of (1) approaches to empirical tests in market microstructure 2 x 4.5 hour classes are intended to research, (2) Thompson Reuters Tick offer the necessary background of History (TRTH) data and how it can be used to conduct empirical tests, and (3) the SAS statistics and finance. language and how it can be used to analyse large datasets (Big Data) comprised of The remaining 18 hour classes are billions of observations. divided into 7 hours of lectures and 11 hours of lab sessions. The course is designed for students with little or no experience in conducting empirical research in market microstructure, and Learning also includes direct introduces them to common variables and engagement with researchers and methodologies used to conduct empirical scholars during a dedicated session. research. This is followed by “hands on” *this category is restricted to University of Molise students 9/13 July, 2018 AGNONE, ITALY International Summer School International Summer School 9/13 July, 2018 AGNONE, ITALY

Claudio Lupi Scientific PROFESSOR OF ECONOMIC STATISTICS Committee University of Molise, Italy He was formerly Research Director at the Institute for Studies and Francesco Capalbo Economic Analyses (Isae), a public economic research PROFESSOR OF ACCOUNTING institute based in Rome, and University of Molise, Italy senior researcher at the Italian National Institute of Statistics Riccardo Palumbo He is currently a member (Istat). His research has been of the International Public published in a number of international PROFESSOR OF ACCOUNTING Sector Accounting Standard journals, including Information Sciences, Journal Board (IPSASB) in Toronto AND BEHAVIOURAL FINANCE of Statistical Software, Labour Economics, Oxford University “G. D’Annunzio”, Italy (Canada). He has authored many Bulletin of Economics and Statistics, Oxford publications on leading journal Economic Papers, Physica A: Statistical Mechanics on financial accounting issues He coordinates (a) the Unit of and its Applications, Reliability Engineering and Behavioral Economics and and he has held visiting academic positions System Safety. Prof. Lupi graduated in Economics at several universities including the University Neuroeconomics (Department of from “La Sapienza” University in Rome and holds Neuroscience and Imaging), (b) of Gent (Belgium), University of Birmingham a Doctoral degree in economics from “Federico II” (UK), the University of Sydney (Australia), and the Laboratory of Behavioural University in Naples and a Ph.D. in Economics from Economics, Human Centered the Macquarie Graduate Management School of the University of Oxford. Sydney, where he is currently Adjunct Professor Design & Health Care (CEsI- of Accounting and Finance. His current areas Alex Frino MET) and (c) the PhD program on of research include public accountability and DEPUTY VICE-CHANCELLOR Business and Behavioural Sciences at the University financial statements quality of public sector “G. D’Annunzio” of Chieti-Pescara. His research entities and State owned entities. He sat on the PROFESSOR OF FINANCE Alberto Franco Pozzolo specialization includes behavioural economics Scientific Committee of the Internal Training University of Wollongong, Australia and finance and capital markets based research in Board of the Italian Auditor General (Corte dei PROFESSOR OF ECONOMICS accounting. He has presented seminars at a number Conti) and chaired the Department of Accounting He is a distinguished economist University of Molise, Italy of leading Universities in Europe and Australia. He of the Local State Council. He holds a PhD in who fosters the interaction of has held a number of research positions including international accounting from the University of business with academe. He He was formerly an economist in as a visiting professor at the University of Sydney Naples “Federico II”. is an alumnus of UOW and the Research Department of the and as a visiting scholar at the Capital Markets Cambridge University, and is Bank of Italy. His research has Cooperative Research Centre (Sydney) and at the also a former Fulbright Scholar. been published in international Macquarie Graduate School of Management. CEO He is one of the best published journals, including the Journal of the European Capital Markets Cooperative finance academics in the world with over 100 of Monetary Economics, Research Centre (www.ecmcrc.org) he holds a PhD TOP LEVEL papers in leading scholarly journals. He has the Journal of International in International Accounting from the University won over $10 million in national competitive Economics, and the Journal of “Federico II” of Naples. research funding and is frequently cited by the Business. He is currently working on major mainstream global press. He was previously empirical banking and FDIs. Mr. Pozzolo graduated Chief Executive Officer of the Capital Markets in Economics from Bocconi University in Milan ACADEMICS Cooperative Research Centre Limited – a $100 and holds a Doctoral degree in economics from the million research installation funded by the University of Ancona and a Ph.D. in Economics Australian Federal Government and partnering from the University of Southampton. He has visited at forefront with 20 major global financial corporations. He a number of international universities, including the has held visiting academic positions at leading University of Chicago, Cass School of Business and Universities in Italy, New Zealand, the UK and Beijing Normal University. the United States. He has also held positions with of leading financial market organisations including INTERNATIONAL the Sydney Futures Exchange, Credit Suisse and the Commodity Futures Trading Commission in the USA. He is regularly called upon to act as an FACULTY independent expert witness in major Australian Prof. Alex Frino Prof. Claudio Lupi Prof. Alberto F. Pozzolo Dr. Ivy Zhou RESEARCH court cases and has acted as a consultant to many large Australian listed companies. (University of Wollongong) (University of Molise) (University of Molise) (University of Wollongong) 9/13 July, 2018 AGNONE, ITALY International Summer School International Summer School 9/13 July, 2018 AGNONE, ITALY Timetable Suggested Readings

PRESCRIBED BACKGROUND

DATE TIME LECTURE LAB DELWICHE AND SLAUGHTER, 2012 FOUCALT, PAGANO AND ROELL, 2013 The Little SAS Book Market Liquidity: SAS Institute Inc. Theory, Evidence, and Policy Oxford University Press HARRIS, 1994 9 July 2.00 pm Statistical methods Minimum price variations, discrete 6.30 pm bid-ask spreads, and quotations sizes Review of Financial Studies, 149-178

HOLTHAUSEN, ROBERT W., RICHARD W. LEFTWICH, AND DAVID MAYERS, 1990 An 10 July 9.00am Theoretical modelling financial Large-block transactions, the speed of INTERNATIONAL 1.30pm market microstructure response, and temporary and permanent price effects Journal of Financial Economics 26, 71-95

An introduction to empirical McINISH AND WOOD, 1992 NETWORK of peers 10 July 2.30pm microstructure research & An analysis of intraday patterns in 5.30pm Variables typically examined in bid/ask spreads for NYSE stocks microstructure research - Part I Journal of Finance 47, 753-764 at the meeting POINT PATELL AND WOLFSON, 1984 Variables typically examined in The intraday speed of adjustment of stock prices 11 July 9.00am microstructure research Part II & to earnings and dividend announcements between 1.00pm The event study methodology Journal of Financial Economics, 223-252 STUDY WOOD, MCINISH AND ORD, 1985 An investigation of transaction data and Lab 1 An introduction to SAS for NYSE stocks RESEARCH 11 July 2.30pm and TRTH data – reading data Journal of Finance 5.30pm and calculating simple statistics

Lab 2 Calculation of variables typically used in microstructure 9.00am research FINAL ASSESSMENT 12 July 1.00pm Lab 3 Conducting cross-sectional and time series 4 LABORATORY ASSIGNMENTS WORTH 25 PERCENT EACH = 100% regression analysis Students will have one week to complete their laboratory assignments and are required to hand in the results of their analysis, Lab 4 Event study – An a print-out of their SAS codes and a short (1 page) write-up of their results 9.00am examination of market for each lab assignment 13 July 1.00pm behaviour around defined information events Agnone is a small medieval town located HOW TO APPLY in the northern part of Molise; its natural landscape is made up of mountains, forests, To apply please complete the application small rivers, pastures and agriculture land. form available on the Summer School website During the centuries the town has known and return it to [email protected] with periods of great economic and especially the required attachments. The deadline for cultural prosperity, which earned it the submission is 30 April 2018. Places will be name of “Athens of the Samnium”. awarded on a first come first served basis, provided that the application meets the The attractiveness of Agnone is closely participation criteria and is relevant for its connected to the culinary aspect: the overall strength. geographic location and the integrity of the surrounding nature accounts for the FEES high quality of its food: cheese, meats, wine and oil, sweets are worth tasting at least The participation fee to the Summer School once in a lifetime. Nature is also a distinctive is 200€. This fee includes all teaching, social mark of the type of tourism and leisure of activities, some meals and transfer from and the area, which is closely connected to the to Isernia on shuttle bus.All other expenses landscape: farm stays, horse riding, hiking or incurred by Participants are chargeable skiing in wintertime make Northern Molise to themselves only. Admitted applicants (in Italian: Alto Molise) internationally who accept the place shall agree to pay the famous. programme fees in full within 15 days of notification of acceptance. Failure to do so, Activities during the Summer School will will result in the applicant’s cancellation. include social meals and networking in the framework of the historic Convento San Francesco, as well as a guided tour of A the Marinelli Bell Foundry, the oldest still LEARNING active family-run business in the world, and the archaeological site of Pietrabbondante, with a temple/ theatre compound built by the Samnites during the II century B.C. ENVIRONMENT ACCOMMODATION where We propose a list of hospitality facilities INNOVATION all located in town, from the newer, fully equipped hotel, to the cosy BB placed in ancient buildings in the very heart of the medieval borough. in teaching and research Find a list on our webpage and choose whichever best suits your inclinations. meets ancient HISTORY Learning beyond the Classroom and CULTURE CONTACT [email protected]

WEBSITE dipeconomia.unimol.it/EMMMR