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 through prices. We propose a model that allows us to analyze the role of the assumptions traditionally used in models studying price formation in the presence of information asymmetries. We highlight the decisive role of the assumptions concerning the origin of the noise that prevents the equilibrium from being perfectly revealing. In the second essay, we study the impact of transaction costs on the revelation of information by prices. 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 can increase the proportion of informed agents. The third essay proposes a model of the auction mechanism involved in an order-driven market. We analyze in a dynamic framework how agents determine their order placement strategies (best-order choice limit orders). In addition, we characterize the bid and ask prices of limit order givers.