Organisation et microstructure des marchés

Organisation et microstructure des marchés :

  • Impact des transactions sur les prix : observations empiriques et modélisation mésoscopique.
  • Modèle de Glosten-Milgrom. «Spread» et volatilité.
  • Boucles de rétroactions et instabilités.
  • Réflexions sur les aspects systémiques et réglementaires

Références

De nombreuses parties de ce cours sont inspirées de :

Bouchaud, J. P., Bonart, J., Donier, J., & Gould, M. (2018). Trades, Quotes and Prices: Financial Markets under the Microscope. Cambridge University Press.

qui contient de multiples références, en particulier :

  • A. Laumonier, « 6 », Zones Sensibles
  • Jones, C. M. (2002). A century of stock market liquidity and trading costs. Available at SSRN 313681.
  • Glosten, L. R., & Milgrom, P. R. (1985). "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders". Journal of Financial Economics, 14(1), 71-100.
  • Wyart, M., Bouchaud, J. P., Kockelkoren, J., Potters, M., & Vettorazzo, M. (2008). "Relation between Bidask Spread, Impact and Volatility in Order-Driven Markets". Quantitative Finance, 8(1), 41-57.
  • Madhavan, A., Richardson, M., & Roomans, M. (1997). "Why Do Security Prices Change? A Transaction-level Analysis of NYSE Stocks". Review of Financial Studies, 10(4), 1035-1064.
  • Bouchaud, J. P., Farmer, J. D., & Lillo, F. (2009). "How Markets Slowly Digest Changes in Supply and Demand". Handbook of Financial Markets: Dynamics and Evolution, North-Holland, Elsevier.
  • Bouchaud, J. P., Gefen, Y., Potters, M., & Wyart, M. (2004). "Fluctuations and Response in Financial Markets: The Subtle Nature of Random Price Changes". Quantitative finance, 4(2), 176-190.
  • Bouchaud, J. P., Kockelkoren, J., & Potters, M. (2006). "Random Walks, Liquidity Molasses and Critical Response in Financial Markets". Quantitative finance, 6(02), 115-123.
  • Taranto, D. E., Bormetti, G., Bouchaud, J. P., Lillo, F., & Toth, B. (2016). Linear Models for the Impact of Order Flow on Prices I. Propagators: Transient vs. History Dependent Impact.
  • Kyle, A. S. (1985). "Continuous Auctions and Insider Trading". Econometrica: Journal of the Econometric Society, 1315-1335.
  • Donier, J., & Bouchaud, J. P. (2016). "From Walras Auctioneer to Continuous Time Double Auctions: A General Dynamic Theory of Supply and Demand". Journal of Statistical Mechanics: Theory and Experiment, 2016(12), 123406.
  • Donier, J., Bonart, J., Mastromatteo, I., & Bouchaud, J. P. (2015). "A Fully Consistent, Minimal Model for Non-linear Market Impact". Quantitative finance, 15(7), 1109-1121.
  • Fosset, A., Bouchaud, J. P., & Benzaquen, M. (2020). "Endogenous Liquidity Crises". Journal of Statistical Mechanics: Theory and Experiment, 2020(6), 063401.