Institutional traders' behavior and market microstructure: a big data approach.

Summary This thesis is composed of four chapters.The first chapter is a preliminary description of the Factset Ownership database. The first chapter is a preliminary description of the Factset Ownership database. We give a statistical description of the database and present some stylized facts characterizing the portfolio structure of financial institutions and investment funds, as well as the market capitalization of the companies listed in the database.The second chapter proposes a method for statistically evaluating the similarity between pairs of financial institutions' portfolios. The second chapter proposes a method to statistically evaluate the similarity between pairs of portfolios of financial institutions. Since a statistically significant pair leads to the creation of a similarity link between these two entities, we are able to project an originally bi-partite network (between financial institutions and firms) into a mono-partite network (between institutions only) in order to study the evolution of its structure over time. Indeed, from an economic point of view, it is suspected that similar investment motives constitute an important risk factor of financial contagion that can be at the origin of bankruptcies with significant systemic consequences.The third chapter focuses on the collective behavior of investment fund managers and, in particular, on the way in which the structure of the portfolio of these funds optimally takes into account, on average, transaction costs in the presence of weak investment constraints. This phenomenon, where in many situations the median or average of a group of people's estimates is surprisingly close to the true value, is known as the wisdom of the crowd.The fourth chapter is devoted to the simultaneous study of market data. We use over 6.7 billion trades from the Thomson-Reuters Tick History database, and portfolio data from the FactSet Ownership database. We study the tick-to-tick dynamics of the order book as well as the aggregate action, i.e. on a much larger time scale, of investment funds. In particular, we show that the long memory of the sign of market orders is much shorter in the presence of the action, absolute or directional, of investment funds. Conversely, we explain to what extent a stock characterized by a weak memory is subject to directional trading due to the action of investment funds.