Heterogeneous agents and price formation in financial markets.

Summary This thesis is devoted to the study of price formation in financial markets, especially when these markets are composed of a large number of agents. We begin with an empirical study of an emerging market -- bitcoin -- in order to better understand how individual actions affect prices -- the so-called "market impact". We then develop a theoretical model of impact based on the concept of the heterogeneous agent, which manages to replicate empirical observations of a concave impact in a non-manipulable market. The heterogeneous agent framework allows us to revisit the concepts of supply and demand in a dynamic framework, to better understand the impact of the market mechanism on liquidity, and to lay the foundations of a realistic market simulator. Finally, we show, through the empirical study of several bubbles and crashes on the bitcoin market, the crucial role of the micro-structure in the understanding of extreme phenomena.