WAVASSEUR Maxime

This thesis is organized in three articles. The first one is dedicated to the case of the Toulouse mills whose data allow us to test some points of the asset pricing theory. More precisely, we propose a measure of local consumption and perform an analysis based on relative entropy to extract the stochastic discount factor of this economy. We find that the latter is related to consumption and that a simple Lucas-like model is not rejected for low levels of risk aversion. In the second paper, we describe in a purely theoretical way the relationship between the volume of trade and the composition of the market through a model where the preferences of an agent depend on his environment and where a liquidity shock can occur collectively for all members of the same group. We then introduce the concept of desirable channel as a necessary condition for the realization of an exchange and link the network topology to the expected volume of exchanges. The third paper focuses on the role of social status in market dynamics. We propose a model where two types of goods are available, a positional good and a non-positional good. By distinguishing in the economy between those who have status and those who do not, we justify how exchanges take place over time with respect to this social distinction. The predictions of the model are then tested on historical data from the Toulouse mills.