Contributions to the analysis of a fragmented financial market: three essays on the Nasdaq.

Summary Financial markets have undergone significant changes in recent years, marked by the emergence of new trading platforms and a significant fragmentation of order flow. What is the impact of such fragmentation on market efficiency? Should we promote the multiplication of trading venues or favor a market structure that consolidates order flow? This thesis aims to shed light on these questions. This empirical work is based on the analysis of a fragmented market: the Nasdaq. In the first chapter we detail the changes that have affected the structure and organization of the Nasdaq. The second chapter analyzes the effect of an increase in the level of fragmentation of the order flow on the execution quality obtained on this market. Our results do not suggest an overall deterioration in the quality of execution obtained. However, a significant portion of the order flow is executed at a price below the best limits. The third chapter studies the effects of anonymity on competition between market makers and informational efficiency of the market. The move to anonymity on Nasdaq did not increase the intensity of competition among market makers. Moreover, anonymously quoted prices contain information but to a lesser extent than non-anonymous quotes and those from Nasdaq's competing platforms. In the final chapter, we analyze the impact of order placement automation on order placement strategies. Our results suggest that the new electronic platforms can be used by traders as a means of communication and coordination.