Market Impact in Systematic Trading and Option Pricing.

Summary The main objective of this thesis is to understand the various aspects of market impact. It consists of four chapters in which 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 in 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 meta-order allows us to recover all the results highlighted in the equity markets. The third chapter focuses on market impact in the context of derivatives valuation. This chapter attempts to bring a microstructure component to the valuation of options by proposing a theory of market impact disturbances during the re-hedging process. In the fourth chapter, we explore a fairly simple model for metaorder relaxation. Metaorder relaxation is treated in this section as an informational process that is transmitted to the market. Thus, starting from the point of departure that at the end of the execution of a meta-order the information carried by it is maximal, we propose an interpretation of the relaxation phenomenon as being the result of the degradation of this information at the expense of the external noise of the market.