Microstructure and high frequency data: a study of the French equity market.

Summary Market microstructure is the study of the behavior of market participants and the characteristics of the resulting exchange under specific and explicit transaction rules. This is why any microstructure study requires a perfect knowledge of the market studied. The aim of this thesis is first to describe and analyze the French equity market. Then we compare, using usual criteria, the particular functioning of this market to other trading systems and propose alternative systems that would allow to correct the possible problems they may present. Based on high frequency data from the Paris Stock Exchange, we propose statistical analysis tools and new measures of market performance by studying the dynamics of the order book at regular time intervals and by using duration and time formation model approaches applied to transactions. Then, on the basis of the results obtained, we propose a model that is compatible with its functioning and, more particularly, that takes into account its main characteristic: it is a market that operates continuously and on which orders are stored in a book before being matched.