BISIERE Christophe

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Blockchains are distributed ledgers, operated within peer-to-peer networks. We model the proof-of-work blockchain protocol as a stochastic game and analyze the equilibrium strategies of rational, strategic miners. Mining the longest chain is a Markov perfect equilibrium, without forking, in line with Nakamoto (2008). The blockchain protocol, however, is a coordination game, with multiple equilibria. There exist equilibria with forks, leading to orphaned blocks and persistent divergence between chains. We also show how forks can be generated by information delays and software upgrades. Last we identify negative externalities implying that equilibrium investment in computing capacity is excessive.

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Over the centuries, financial institutions have shaped the financial landscape and influenced economic activity. The objective of this thesis is to highlight, from a theoretical point of view, the fundamental limitations of modern institutions and to deduce the implications for the future role of these institutions.The first chapter proposes an analysis of clearing houses. Following the financial crisis of 2008, financial authorities around the world have implemented regulations imposing central clearing on most derivatives. We show that central clearing requires a higher level of liquidity than bilateral clearing.The second chapter presents a continuous time learning model that is supposed to represent the learning process of an institution with respect to a hidden information held by the market. The last chapter introduces and analyzes the Lightning Network which is a payment network based on the Blockchain. It allows users to transfer value instantly without the need for a trusted third party. We discuss the implications about the structure of this payment network as well as its ability to take an important place in the financial landscape.

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We conduct a series of experiments that simulate trading in financial markets. We find that the information content of the order flow varies with the strength of subjects' prior beliefs about fundamentals. The presence of intrinsic uncertainty about the asset's fundamentals reduces informational efficiency. This originates from subjects' risk attitudes and biases in the way some subjects update their beliefs. The behavior of approximately 63% of the subjects is consistent with the expected utility maximization. These subjects are either risk averse (52%) or risk loving (11%). About 22% of the subjects display non-Bayesian updating of beliefs: underconfidence emerges for weak prior beliefs, and confirmation bias occurs for strong prior beliefs. Non-Bayesian belief updating reduces market efficiency when subjects' prior beliefs are weak and increases it when the prior beliefs are strong.

Outstanding consumer credit represents 7 or even 8% of a country's GDP. The regulatory framework for consumer credit has been profoundly modified by the European directive 2008/48/EC and by the law n°2010-737, known as the "Lagarde law". Our work therefore aims to answer the following question: what type of relationship exists between lenders and borrowers on the consumer credit market? Are these relationships specific? Three objectives are proposed, for each of them, we present an insight on the borrower's side and on the lender's side. The first, linked to regulatory changes, shows that information is at the heart of the relationship and that any change or evolution in information impacts the relationship. The second objective, more strategic, shows that taking into account behavioral biases (overconfidence and optimism biases) or the establishment of a lasting relationship between the lender and the borrower has an impact on lending decisions. The third objective, financial in nature, shows that the lender-borrower relationship leads to the determination of "optimal" debt paths for a household but also to the reduction of lender risk within the framework of portfolio theory. Both qualitative and quantitative methodology is used. We find that the equilibrium is of a mixing type and that the banking relationship only indirectly impacts this market. Taking into account biased borrower behavior leads to a less risky loan portfolio composition for the lender. The lender-borrower relationship is understood by analyzing the information sharing systems of the 27 European Union countries.

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.

The market in which exchanges operate has become extremely competitive, with many mergers and acquisitions taking place. In this context, exchanges are constantly seeking to improve the quality of the market system they offer to their clients. Market microstructure is the area of finance that studies the link between market organization and quality, and two specific microstructure issues are addressed in this thesis. In the area of information asymmetry, we compare different models of price range decomposition applied to an order-driven market, and propose a recommendation as to which models are likely to provide the best results. With respect to market transparency, we first provide a detailed review of the literature, before analyzing the issue of pre-trade anonymity using two methods: an empirical analysis of the switch to anonymity on Euronext Paris in April 2001, and an experimental study. Our results conclude that anonymity has no effect on information asymmetry, efficiency and liquidity, which contradicts other results in the literature. Our empirical analysis also hypothesizes the existence of an aggregate liquidity factor, which is likely to be fundamental in studies of the evolution of liquidity in markets.

This thesis attempts to contribute to the empirical analysis of the determinants of ownership and the link between ownership structure and firm performance. We analyze the market reaction to a change in ownership concentration and find a non-monotonic relationship between ownership concentration and firm value. Moreover, certain characteristics of the firm and its environment are determinant of the choice of ownership structure. We also study the interactions between ownership structure, the legal system, control skills and firm performance. The quality of legal protection affects the distribution of control rights among major shareholders. Finally, a complementarity of their control competences is beneficial for the firm, but only for certain combinations of shareholder identity.

This thesis is devoted to the theoretical analysis of the term structure of interest rates from a microeconomic perspective. The first chapter examines the so-called traditional theories. These approaches are built on imprecise modeling of uncertainty and microeconomic behavior. The next two chapters show that modern asset pricing theory overcomes these shortcomings. The focus is on equilibrium models of the term structure, based on the work of Cox, Ingersoll and Ross. Two models, expressed in the formalism of continuous-time stochastic calculus, are examined in detail and compared. The first one, based on an arbitrage principle, proves insufficient. The second is an intertemporal general equilibrium model. It links the structure of rates to uncertainty, individual preferences, and the fundamental variables of the economy (production, consumption, etc.). The analysis developed in the last chapter is based on the theoretical foundations of this model, but focuses more specifically on the structure of uncertainty. The study is conducted within the framework of a two-period model of contingent markets, in which the structure of rates is characterized by the sign of two premiums: the liquidity premium and the strength premium. The structure of uncertainty refers to the type of economy considered (exchange or production economy), and to the content of the messages likely to reach the markets. Depending on whether these messages reveal the current situation or provide information on the future situation, they define a "wealth effect" or an "information effect". Existing works on the subject are reconsidered and completed. In particular, the wealth effect and the information effect are studied in the context of an economy in which only endowments are random, but in which certain production technologies are available.