La Mifid 2 prévoit un ratio maximum de messages par rapport aux transactions affectant les traders à haute-fréquence. Il est également de plus en plus difficile et coûteux de s’engager dans du prop trading. Nos résultats empiriques montrent pourtant que ces deux catégories de traders fournissent de la liquidité aux investisseurs et permettent d’absorber les chocs de liquidité. Cette matinale sera l’occasion de discuter de cette question de l’offre de liquidité sur les marchés : qui la fournit, quand et comment?

Speaker: Fany Declerck, Professor of Finance and Research Fellow at the Toulouse School of Economics (TSE)

Agency trading constrained by conflict so finterest and information a symmetry (customers vs traders) ? Prop traders, likely to be less constrained and thus better position ed to carry in ventory risk ? Slow traders with limit orders ” that maybe exposed to severe adverse selection?

Fast trading technology can improve trader’s ability to monitor the market and avoid being picked off. Toshed light on these points, Fany Declerck, relygonunique data from Euronext and the AMF, observes the connectivity of traders to the market. Her study finds that proprietary traders, be they fastors low, provide liquidity with contrarian market able orders, thus helping the market absorbshocks, evenduring crisis, and earn profits doing so. Moreover, fast trader sprovide liquidity by leaving limit or dersin the book. Yet, only prop traders can do sowi thout making losses. This suggests that technology is not enough to over come adverse selection, monitoring incentives are also needed. 


Fany Declerphoto site web declerckck is Professor of Finance at the IAE School of Management (University of Toulouse 1 Capitole )and Research Fellow at the Toulouse School of Economics, and the Institut d’économie industrielle. After her master in econometrics and a Phd infinance, she spent 3months as Marie Curie fellowat the Centre for Studies in Economics and Finance (University of Salerno). She was on visiting position at Carnegie Mellon University (2014 2015), the Banque de France (May2014), the Haas School of Business at Berkeley University (May2013),and Euronext Paris (1999-2000). Her research studies the microstructure off in ancial markets by relying on large stocks and bondshigh frequency databases. She has published in the Journal of Financial Markets. She is in volved in the“Trading and Post-trading” ER Cobtained by Bruno Biais fromTSE. In 2014 she received a CNRS international mobility grant, in 2013 a research Prize EIF (Europlace Institute of Finance). She teaches about corporate finance, empirical finance,and financial markets. She is director of the Ph.D. program in management sciences.

Cliquer ici pour consulter la présentation de Fanny Declerck. 



Participation : 75 euros


  • EIFR, Louis Bachelier


Auditorium The Royal Bank of Scotland 96 Boulevard Haussmann, Paris, 75008 France