We study the coefficients of the characteristic polynomial (also called secular coefficients) of random unitary matrices drawn from the Circular Beta Ensemble (i.e. the joint probability density of the eigenvalues is proportional to the product of the power beta of the mutual distances between the points). We study the behavior of the secular coefficients when the degree of the coefficient and the dimension of the matrix tend to infinity. The order of magnitude of this coefficient depends on the value of the parameter beta, in particular, for beta = 2, we show that the middle coefficient of the characteristic polynomial of the Circular Unitary Ensemble converges to zero in probability when the dimension goes to infinity, which solves an open problem of Diaconis and Gamburd. We also find a limiting distribution for some renormalized coefficients in the case where beta > 4. In order to prove our results, we introduce a holomorphic version of the Gaussian Multiplicative Chaos, and we also make a connection with random permutations following the Ewens measure.
