Empty set literal?

Yes. The same notation that works for non-empty dict/set works for empty ones.

Notice the difference between non-empty dict and set literals:

{1: 'a', 2: 'b', 3: 'c'} -- a number of key-value pairs inside makes a dict
{'aaa', 'bbb', 'ccc'} -- a tuple of values inside makes a set

So:

{} == zero number of key-value pairs == empty dict
{*()} == empty tuple of values == empty set

However the fact, that you can do it, doesn't mean you should. Unless you have some strong reasons, it's better to construct an empty set explicitly, like:

a = set()

Performance:

The literal is ~15% faster than the set-constructor (CPython-3.8, 2019 PC, Intel(R) Core(TM) i7-8550U CPU @ 1.80GHz):

>>> %timeit ({*()} & {*()}) | {*()}
214 ns ± 1.26 ns per loop (mean ± std. dev. of 7 runs, 1000000 loops each)

>>> %timeit (set() & set()) | set()
252 ns ± 0.566 ns per loop (mean ± std. dev. of 7 runs, 1000000 loops each)

... and for completeness, Renato Garcia's frozenset proposal on the above expression is some 60% faster!

>>> ϕ = frozenset()

>>> %timeit (ϕ & ϕ) | ϕ
100 ns ± 0.51 ns per loop (mean ± std. dev. of 7 runs, 10000000 loops each)

NB: As ctrueden noticed in comments, {()} is not an empty set. It's a set with 1 element: empty tuple.

Just to extend the accepted answer:

From version 2.7 and 3.1 python has got set literal {} in form of usage {1,2,3}, but {} itself still used for empty dict.

Python 2.7 (first line is invalid in Python <2.7)

>>> {1,2,3}.__class__
<type 'set'>
>>> {}.__class__
<type 'dict'>

Python 3.x

>>> {1,2,3}.__class__
<class 'set'>
>>> {}.__class__
<class 'dict'>

More here: https://docs.python.org/3/whatsnew/2.7.html#other-language-changes

By all means, please use set() to create an empty set.

But, if you want to impress people, tell them that you can create an empty set using literals and * with Python >= 3.5 (see PEP 448) by doing:

>>> s = {*()}  # or {*{}} or {*[]}
>>> print(s)
set()

this is basically a more condensed way of doing {_ for _ in ()}, but, don't do this.

No, there's no literal syntax for the empty set. You have to write set().