Skip to Main content Skip to Navigation

Agents hétérogènes et formation des prix sur les marchés financiers

Abstract : This thesis is devoted to the study of price formation on financial markets, in particular when these are composed of a large number of agents. We start by the empirical study of an emergent market -- the bitcoin -- in order to better understand how individual actions impact prices -- a phenomenon known as « market impact ». We then develop a theoretical model based on the concept of heterogeneous agents, that allows to reproduce the empirical observations of a concave impact in a market that remains non-manipulable. The heterogeneous agents framework allows us to revisit the concepts of supply and demand in a dynamic context, to better understand how the choice of a particular market mechanism can impact liquidity, and to lay some grounds for a realistic market simulator. By studying several bubbles and crashes that happened on the bitcoin market, we finally show how relevant microstructure effects can be, in particular for understanding the occurrence of extreme phenomena.
Document type :
Complete list of metadata
Contributor : Abes Star :  Contact
Submitted on : Monday, January 23, 2017 - 11:20:08 AM
Last modification on : Thursday, December 10, 2020 - 11:04:28 AM


Version validated by the jury (STAR)


  • HAL Id : tel-01383637, version 2


Jonathan Donier. Agents hétérogènes et formation des prix sur les marchés financiers. Mathématiques générales [math.GM]. Université Pierre et Marie Curie - Paris VI, 2016. Français. ⟨NNT : 2016PA066253⟩. ⟨tel-01383637v2⟩



Record views


Files downloads