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Comportement des traders institutionnels et microstructure des marchés : une approche big data

Abstract : The thesis is divided into four parts.Part I introduces and provides a technical description of the FactSet Ownership dataset together with some preliminary statistics and a set of stylized facts emerging from the portfolio structure of large financial institutions, and from the capitalization of recorded securities.Part II proposes a method to assess the statistical significance of the overlap between pairs of heterogeneously diversified portfolios. This method is then applied to public assets ownership data reported by financial institutions in order to infer statistically robust links between the portfolios of financial institutions based on similar patterns of investment. From an economic point of view, it is suspected that the overlapping holding of financial institution is an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at a systemic level.Part III investigates the collective behaviour of fund manager and, in particular, how the average portfolio structure of institutional investors optimally accounts for transactions costs when investment constraints are weak. The collective ability of a crowd to accurately estimate an unknown quantity is known as the Wisdom of the Crowd. In many situation, the median or average estimate of a group of unrelated individuals is surprisingly close to the true value.In Part IV, we use more than 6.7 billions of trades from the Thomson-Reuters Tick History database and the ownership data from FactSet. We show how the tick-by-tick dynamics of limit order book data depends on the aggregate actions of large funds acting on much larger time scale. In particular, we find that the well-established long memory of marker order signs is markedly weaker when large investment funds trade in a markedly directional way or when their aggregate participation ratio is large. Conversely, we investigate to what respect an asset with a weak memory experiences direction trading from large funds.
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Submitted on : Thursday, November 29, 2018 - 11:13:06 AM
Last modification on : Saturday, May 1, 2021 - 3:49:45 AM


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  • HAL Id : tel-01939121, version 1


Kevin Primicerio. Comportement des traders institutionnels et microstructure des marchés : une approche big data. Autre. Université Paris Saclay (COmUE), 2018. Français. ⟨NNT : 2018SACLC036⟩. ⟨tel-01939121⟩



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