This Master Class will examine market microstructure with a particular focus on the issues connected with the new high frequency markets. We will set the stage for what microstructure research studies by briefly describing the functioning of securities markets and the role that they play in providing liquidity and price discovery. We then develop asymmetric-information microstructure models, and the role that market microstructure plays in asset pricing and in determining the cost of capital. Finally, we will examine recent innovations in markets with a focus on the role played by high frequency traders and the recent episodes of extreme market volatility. We will present new approaches to modeling and measuring order toxicity and volatility in high frequency markets. A further description and reading list can be found here.