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Formation des prix et stratégies de placement d'ordres dans les marchés financiers

Abstract : This dissertation is devoted to the theory of financial markets microstructure. The first part analyses information revelation by prices. The impact of different hypotheses on the existence and informativeness of rational expectations equilibria is analysed within a simple synthetic model. In particular, we prove the sensibility of the hypotheses concerning the noise, which prevents prices from being fully revealing. In a second part, we study the impact of transactions costs on the informationnal efficiency of prices. It is proved that an increase in transactions costs is always detrimental to price efficiency. For this reason, transactions costs can increase the value of being informed and can induce more traders to become informed. In the third part, a model of the trading process in an order driven system is proposed. We analyse in a dynamic framework how traders determine their order placement strategies. On the other hand, bid and ask prices of the limit order traders are characterized
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  • HAL Id : pastel-00994931, version 1



Thierry Foucault. Formation des prix et stratégies de placement d'ordres dans les marchés financiers. Economies et finances. HEC PARIS, 1994. Français. ⟨NNT : 1994EHEC0019⟩. ⟨pastel-00994931⟩



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