Anatomy of high-frequency financial markets: analysis of the influence of automation on the microstructure of financial markets.

Summary This thesis studies the main transformations in the microstructure of financial markets since the generalization of market automation. Today, the structural change in financial markets, combined with the evolution of information technology, has led to upheavals in both market practices and in the instruments used to measure market quality. The cost of liquidity has continued to improve between 2010 and 2019, notably by reducing the spreads of smaller SBF 120 companies. On the other hand, effective spreads narrow significantly less showing the shallow depth of the order book at best limits for smaller firms. The work presents the changes in trading platforms and the technological developments that have enabled the deployment of high-frequency trading. The research team developed a financial market replication tool, VirteK. The library has enabled a simulation replicating the stylized facts of the May 6, 2010 flash-crash illustrating order book imbalances using VPIN.