Is it possible to achieve a high degree of diversification with relatively little capital but still be able to determine exactly in which companies one invests and in which one not? So is there a way to create something like my own ETF?
Buying a small number of stocks with limited capital would hardly be considered an ETF.
The easiest thing would be to buy shares of an ETF that does it all. If there are none that are acceptable to you, you might be best served by using a broker like RobinHood that charges no commissions. They offer a stripped down platform and it's fine for the small investor who wants to minimize the effect of commissions and whose needs are minimal. If you need research, charting, fast execution and reporting, quality customer support, low margin rates, portfolio margin, interest on cash balances, or good option analytics, etc., you need to look elsewhere.
Your best bet with minimal capital is to find a mutual fund that matches your interests.
If you want to own stocks directly, you'll find yourself limited by capital too quickly. Amazon is in the top lists of companies doing well in the S&P 500 lately. One share of AMZN trades at ~$2000 right now. With a few stocks like this, you wouldn't be able to diversify much.
Some brokerages offer zero commissions for your first few trades when you sign up. However, keep in mind that there may be fees when you sell later.