Price formation and order placement strategies in financial markets.

Summary The objective of our research is to contribute to the theory of the microstructure of financial markets. The first essay is devoted to the revelation of information by prices in a fixing market. We propose a model to analyze the role of the assumptions traditionally used in microstructure models studying price formation in the presence of information asymmetries. We show that the assumptions concerning the origin of the noise that prevents the equilibrium from being perfectly revealing are particularly important. Thus, depending on whether we consider this noise to be exogenous or endogenous, completely different results are obtained with respect to the properties of rational expectations equilibria (existence, uniqueness, quantity of information revealed by prices). In the second essay, we study the impact of transaction costs on the revelation of information through prices. In the framework of a Grossman-Stiglitz model, we show that an increase in transaction costs is always at the expense of informational efficiency. For this reason, transaction costs increase the value of information and induce agents to inform themselves. Thus, in some cases, an increase in transaction costs may result in an increase in the proportion of informed agents. On the other hand, transaction costs reduce the amount of trade that informed agents want to make. This makes it possible to obtain a rational expectations equilibrium even when these agents are risk-neutral or when they receive information of infinite precision. The third essay proposes a model of the auction mechanism involved in an order-driven market. We analyze, in a dynamic framework, the way agents determine their order placement strategies (best-order/limit-order choice). Furthermore, we characterize the bid and ask prices of agents placing limit orders. We show that there are no strategies strictly preferred by all agents. Furthermore, the imbalance between the number of buy orders and the number of sell orders is found to be a key determinant of bid and ask prices. Finally, we explain the price range between the best bid and ask prices by the strategic behavior of buyers and sellers and the need to compensate agents who place limit orders for the risk of non-execution This dissertation is devoted to the theory of financial markets microstructure.