Efficiency and instabilities of financial markets

[Excerpt from the abstract]: In this thesis, we consider two topics in the field of high frequency financial econometrics. The first one is the measurement of market efficiency from high frequency data, within an information theory framework. The study of this topic is performed with an analytical and empirical combined approach. The second topic is that of financial market systemic instabilities at high frequency level and is analysed mainly with an empirical and modelling approach. [...]