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Market Impact in Systematic Trading and Option Pricing

Abstract : The main objective of this thesis is to understand the various aspects of market impact. It consists of four chapters in which the market impact is studied in different contexts and at different scales. The first chapter presents an empirical study of the market impact of limit orders on European equity markets. In the second chapter, we have extended the methodology presented for the equity markets to the options markets. This empirical study has shown that our definition of an options metaorder allows us to retrieve all the results highlighted on the equity markets. The third chapter focuses on market impact in the context of option pricing. This chapter is based on previous works of option pricing with market impact and attempts to bring a microstructure component to pricing option theory by proposing a perturbation theory of market impact during the re-hedging process. We explore in the fourth chapter a fairly simple model for the relaxation of metaorders. The relaxation of metaorders is treated in this part as an informational process which is transmitted to the market. Thus, starting from the starting point that at the end of the execution of a metaorder the information carried by this one is maximum, we propose an interpretation of the relaxation phenomenon as being the result of the degradation of this information at the expense of outside market noise.
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Submitted on : Tuesday, July 7, 2020 - 12:19:42 PM
Last modification on : Saturday, May 1, 2021 - 3:50:23 AM
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  • HAL Id : tel-02892083, version 1


Emilio Said. Market Impact in Systematic Trading and Option Pricing. Pricing of Securities [q-fin.PR]. Université Paris-Saclay, 2020. English. ⟨NNT : 2020UPASC030⟩. ⟨tel-02892083⟩



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