Complexity in financial markets : networks, uncertainty and globalization.

Summary This thesis, articulated in three chapters, aims to study the structural interdependencies between different financial markets. In Chapter 1, we study the architecture of the interdependencies between the main European markets. By modeling these interdependencies through dynamic networks, we propose a new methodology to measure, as a function of time, the direct and indirect links connecting each pair of elements within a given system. This topological measure allows us to evaluate the hierarchy of a system and its level of organization, thus constituting a complexity proxy. Our index is based on Simon's definition of complexity which links the complexity of a system to its hierarchical level of organization. We validate the relevance of our index by empirically studying the link between complexity and uncertainty. In Chapter 2, we study the impact of globalization on the economy, as an increase in interdependencies in a dynamic panel of 94 countries, from 1970 to 2011. Our contribution is to estimate the endogenized threshold of globalization on a dynamic panel. Finally, we study the role of economic uncertainty on the sovereign debt market: Chapter 3 exposes the impact of economic uncertainty on the level of sovereign rates in the Eurozone. Thus, this thesis studies the role of complexity and uncertainty on the structure of financial interdependencies.