Strategies for placing orders on the Paris Stock Exchange.

Summary Over the past decade, the number of order-driven markets has been growing steadily. This structure is characterized by low transaction costs, anonymity of transactions and more particularly by a direct confrontation between supply and demand of liquidity. An investor's order placement strategy becomes more difficult because a large number of parameters come into play. These different parameters are studied from a theoretical and empirical point of view using a multinomial Logit regression. By recreating the order book, the order execution characteristics are highlighted. They allow us to evaluate the different risks faced by investors. In addition, the behavior of large order givers is analyzed. They have to combine three elements that are antagonistic by nature: to carry out large transactions, at the best price conditions, in the shortest time.