Thierry FOUCAULT

Professor

Finance

foucault@hec.fr http://thierryfoucault.com/
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Biography

Thierry Foucault is Professor of Finance at HEC Paris where he hold a chair from the HEC Foundation and a research fellow of the Centre for Economic Policy (CEPR). His research focuses on the determinants of financial markets liquidity, the production of information in these markets, their industrial organization, and their effect on the real economy. It is published in leading scholarly journals such as Journal of Finance, Review of Financial Studies, or Journal of Financial Economics. In 2021, he received a grant from the European Research Council (ERC) to work on the effects of AI and big data on information production in financial markets. He has received research awards from the Louis Bachelier Institute, the HEC Foundation, and the Analysis Group award for the best paper on Financial Markets and Institutions presented at the 2009 Western Finance Association (WFA) meetings. He serves or served on the scientific committees of the Autorité des Marchés Financiers (AMF), the Norges Bank Academic Program (NBAP), the Research Foundation of the Banque de France, the Group of Economic Advisors of the Committee of Economic and Markets Analysis of the European Securities and Markets Authority (ESMA) and was a member the executive committee of the European Finance Association (EFA). He is currently co-managing editor of the Journal of Financial and Quantitative Analysis (JFQA) and an Associate Editor of the Journal of Economic Theory and the Journal of Finance, and a former Associate Editor of The Review of Financial Studies. He also served as co-editor of the Review of Finance from 2009 to 2013 and the Review of Asset Pricing Studies (RAPS). He co-authored, with Marco Pagano and Ailsa Röell, “Market Liquidity: Theory, Evidence and Policy” , a textbook on market liquidity published by Oxford University Press in 2013.

Scientific articles

Individual Investors and Volatility

Journal of Finance, August 2011, vol. 66, n° 4, pp 1369-1406, (in coll. with D. SRAER, D. THESMAR)

Stock price informativeness, cross-listings and investment decisions

Journal of Financial Economics, April 2008, vol. 88, n° 1, pp 146-168, (in coll. with T. Gehrig)

Competition for Order Flow Smart Order Routing Systems

Journal of Finance, February 2008, vol. 63, n° 1, pp 119-158, (in coll. with A.J. Menkveld)

Does anonymity matter in electronic limit order markets ?

Review of Financial Studies, September 2007, vol. 20, n° 5, pp 1707-1747, (in coll. with S. Moinas, E. Theissen)

Consolidation et Fragmentation des Marchés Financiers: Coûts et Bénéfices

La Documentation Française, August 2007, vol. 67, pp 103-128,

Liquidité, Coût du capital et organisation de la négociation des valeurs mobilières

Revue d'Économie Financière, 2006, n° 82, pp 123-138,

Limit Order Book as a Market for Liquidity

Review of Financial Studies, Winter 2005, vol. 18, n° 4, pp 1171-1217, (in coll. with O. Kadan, E. Kandel)

Reputation-based pricing and price improvements in dealership markets

Journal of Economics and Business, 2005, vol. 57, n° 6, pp 493-527, (in coll. with G. Desgranges)

Competition for Listings

RAND Journal of Economics, Summer 2004, vol. 35, n° 2, pp 329-355, (in coll. with C. Parlour)

Information Sharing, Liquidity and Transaction Costs in Floor-Based Trading Systems

Finance, 3 February 2003, vol. 24, pp 45-78, (in coll. with L. Lescourret)

Books

Chapters in edited books

Proceedings

Working papers

Does anonymity matter in electronic limit order markets ?

Cahier de Recherche du Groupe HEC , 2003

Linkage Principle, Multi-dimensional Signals and Blind Auctions

Cahier de Recherche du Groupe HEC , 2003

Information sharing, liquidity and transaction costs in Floor-based Trading Systems

Cahier de Recherche du Groupe HEC , 2001

Limit Order Book as a Market for Liquidity

Cahier de Recherche du Groupe HEC et CEPR Discussion Series , 2001

Price Improvements in Financial Markets

Cahier de Recherche du Groupe HEC , 2000

Competition for Listings

Cahier de Recherche du Groupe HEC et CEPR Discussion Series , 1999

Equity Trading Systems in Europe - A Survey of Recent Changes

Cahier de Recherche du Groupe HEC , 1999

Imperfect Market Monitoring and SOE Trading

Cahier de Recherche du Groupe HEC et CEPR Discussion Series , 1999

Minimum Price Variations, Time Priority and Quote Dynamics

Cahier de Recherche du Groupe HEC et CEPR Discussion Series , 1998

Order Flow Composition and Trading Costs in a Dynamic Limit Order Market

Document de travail, Universitat Pompeu Fabra et CEPR Discussion Papers , 1997

Scientific articles

Data abundance and asset price informativeness

Journal of Financial Economics, November 2018, vol. 130, n° 2, pp 367-391, (in coll. with J. DUGAST)

Toxic Arbitrage

Review of Financial Studies, April 2017, vol. 30, n° 4, pp 1053-1094, (in coll. with R. KOZHAN, W. W. THAM)

News Trading and Speed

Journal of Finance, February 2016, vol. 71, n° 1, pp 335-382, (in coll. with J. HOMBERT, I. ROSU)

Equilibrium fast trading

Journal of Financial Economics, May 2015, vol. 116, n° 2, pp 292-313, (in coll. with B. BIAIS, S. MOINAS)

Books

Chapters in edited books

Limit Order Markets

Encyclopedia Of Quantitative Finance, John Wiley & Sons US

Market Transparency

Encyclopedia Of Quantitative Finance, John Wiley & Sons US

Consolidation et Fragmentation des Marchés Financiers: Coûts et Bénéfices

Consolidation Mondiale Des Bourses, Rapport Du Conseil D’analyse Economique Et Social, La Documentation Française, Paris, 67 , 103-128

Enseignement de la gestion : l'apport de la recherche

L'Art Du Management 3, HEC Paris, Dunod, 11-18

Proceedings

Working papers

Is Trading Fast Dangerous?

TSE Working Papers , 2018

Ripple Effects of Noise on Corporate Investment

Cahier de Recherche du Groupe HEC , 2016

Corporate Strategy, Conformism, and the Stock Market

Cahier de Recherche du Groupe HEC , 2015

Data Abundance and Asset Price Informativeness

Cahier de Recherche du Groupe HEC , 2014

Education

  • Habilitation a diriger des recherches (Qualified Research Supervisor), Finance, Université Paris Dauphine - France
  • Doctorat es Sciences de Gestion, HEC Paris - France
  • DEA de Finance, magistere Banque/Finance/Assurance, Université Paris Dauphine - France

Academic appointments

External Academic Responsibilities

  • 2007- Member of Scientific Committee of the Banque de France research Foundation Banque de France

Scientific Activities

Membership in Academic or Professional Organisation

  • Member of the Scientific Committee, 4Nations Conference
  • Member of the Western Finance Association, the American Finance Association, the American Economic Association, the European Finance Association and the French Finance Association
  • CEPR Research Affiliate
  • Since 2003 Senior Research Fellow, Europlace Institute of Finance
  • Since 2004 Member of Scientific Committees of AMF ("Autorite des Marches Financiers" - French SEC)
  • Since 2006 Member of Scientific Committee of the Banque de France research Foundation
  • Since 2008 Member of the steering Committee of the "pole d'innovation financiere", Paris Europlace
  • Member of Scientific Committee of the research chair: "Chaine de valeur des marches financiers et banques d'investissement"
  • Depuis 2010 Membre du conseil scientifique de MTS Spa
  • Since 2009 Member, Comite Executif, European Finance Association
  • Depuis 2010, membre du comite executif de la European Finance Association
  • Membre du comite de l'ESMA

Editorial activities

  • 2021- Co-editor, Journal of Financial and Quantitative Analysis

    • Conference organisation

  • 2024- Invited keynotes talks at the Economics of Financial Technology Conference in Edinburgh (June 2024), the 8th FMND workshop in Paris (May 2024), the 17th Risk Forum, Institut Louis Bachelier, Paris (March 2024)
  • 2024- Papers in academic conferences / invited seminars (*=presentation by co-author): Western Finance Association Meetings*, European Finance Association 2024 (×2, scheduled)*, Plato 2024 Conference*, Chinese University Hong Kong (CUHK), City University Hong Kong, Ludwig-Maximilian Universität Munich (LUM), Hong Kong University (HUK), Hong Kong Technological University (HKUST), Nanyang Technological University (NTU), National University of Singapore (NUS), Fudan University (FISF), Paul Merage School of Business (UC Irvine), EWFC*, Singapore Management University (SMU), Financial Markets Authority (AMF), Paris Dauphine University Tech for Finance Conference
  • 2023-2023 Co-organizer of the 5th conference on the future of financial information
  • 2023-2023 Invited keynotes talks at the 15th Annual Financial Markets Liquidity Conference, Budapest (Nov. 2023), the 2023 International Risk Management Conference, Florence (July 2023 ), the Luiss Finance Worshop, Rome (May 2023)
  • 2023- Papers in academic conferences / invited seminars (*=presentation by co-author): Western Finance Association Meetings*, American Finance Association Meetings*, European Finance Association Meetings*, CFM-Imperial Workshop, NBER conference on big data and securities markets*, Cornell University, ESSEC, John Hopkins University, Swedish House of Finance, University of British Columbia, Victoria University, NYU Market microstructure conference*, Banque de France, Aalto University (Helsinki)
  • 2022-2022 Invited keynotes talks at the 17th International Conference on Asia-Pacific Financial Markets (CAFM), Seoul (Dec. 2022), the AI & Machine Learning in Finance, Swedish House of Finance Annual Conference (Aug. 2022), the ESADE Spring workshop, Barcelona (May 2022)
  • 2022-2022 Co-organizer of the Artificial Intelligence and Financial Markets Workshop at the Oxford-Man Institute of Quantitative Finance
  • 2022- Papers in academic conferences / invited seminars (*=presentation by co-author): 2022 American Finance Association Meetings*, CEMFI, Leeds University, CUNEF, Paris I University, Carnegie Mellon University (Tepper School of Business), London Business School, Michigan State University, KU Leuven, Paris December Conference (Eurofidai-ESSEC)
  • 2021-2021 Invited keynotes talks at the 16th Central Bank Conference on market microstructure, Zurich (Oct. 2021)
  • 2021- Papers in academic conferences / invited seminars (*=presentation by co-author): 2021 Western Finance Association Meetings (×2), American Economic Association Meetings*, Frankfurt School of Management, Zicklin School of Business (Baruch College), Southern Methodist university (SOX Business School), University of Maryland, FIRS conference*, Swedish Securities Markets Association, 2021 Space for Finance Conference (European Space Agency), Financial Markets Authority (AMF), NHH, Federal Reserve Board of Governors, EPFL
  • 2020-2020 Organizer of the HEC-IP Paris Center for AI and Data Analytics for Science, Technology, Business, and Society webinar on “Pandemics: New tools for prediction and measuring economic effects”
  • 2020-2020 Organizer of the 1st HEC-IP Paris Center for AI and Data Analytics for Science, Technology, Business, and Society Webinar on "Virus, Tracking, and Data Privacy"
  • 2012-2012 Co-organisation de la conférence: "Market Microstructure: Confronting many viewpoints", Paris
  • 2012-2012 Co-organisateur de la conference « On the microstructure of equity and currency markets » organisée par la Banque Centrale Canadienne
  • 2010-2010 Organisation scientifique du workshop «Feedback effects between real and financial markets», animé par Kathy Yuan, Professeur visitant HEC
  • 2007-2008 2007-2008 EFMA Meetings Scientific Committee
  • 2007-2008 German Finance Association Meetings, Scientific Committee
  • Organisation de l'atelier « Trading and market microstructure », en collaboration avec Charles-Albert Lehalle (Cheuvreux) au collège de France, 10 décembre 2008 et octobre 2009
  • Co.Organiser: The Paul Wooley Centre for the Study of Capital Market Dysfunctionality
  • Track-Chair, European Finance Association Conference
  • Member of the Scientific Committee of the conferences on the interactions of market and credit risk organized by the Bank for International Settlement (BIS, 2007) and The Industrial Organisation of Securities Markets (CFS, E-Finance lab and Deutsche Börse AG, 2008)
  • Member of the scientific committee for the workshop on the ¿Microstructure of Equity and Currency markets¿ organized by Norges Bank and the Norwegian School of Management, (September 2005) , Central bank of Canada (October, 2006), Central bank of Hungary (September 2007), Hong Kong Monetary Authority (September 2008) and Swiss National Bank (September 2009)
  • European Finance Association Scientific Committee (1997, 1999, 2000, 2001, 2003, 2004-present)
  • French Finance Association Finance Conference Scientific Committee (1997,1998, 2001, 2003, - 2009)
  • 1999-2002 / 2008-2009-2010, 2012 Western Finance Association, Program Committee
  • American Finance Association (2009), Session Chair
  • Organisation scientifique du workshop «Market microstructure and financial intermediation », animé par Eugene Kandel (Professeur visitant HEC) dans le cadre du GREGHEC-GIS
  • Organisation de la conférence: "Market Microstructure: Confronting many viewpoints", Paris

    • Awards & honors

    • 2021 European Research Council (ERC) Advanced Grant for conducting research on the effects of AI and Data Abundance on financial markets
    • 2017 2017 Review of Financial Studies Referee of the year Award
    • 2016 Institut Europlace de Finance Les Echos Award for the best article on a topical issue for the paper Equilibrium Fast Trading, Bruno Biais, Thierry Foucault, Sophie Moinas, published in Journal of Financial Economics
    • 2014 Prix du meilleur article utilisant les donnees Eurofidai ("Individual Investors and Volatility", Journal of Finance, 2011) in coll. with D. Thesmar
    • 2013 Prix du Chercheur de l'annee 2013, Fondation HEC
    • 2009 Prix du meilleur article en finance de l'EIF (Europlace Institute of Finance)
    • 2009 Prix du Chercheur de l'annee 2009, Fondation HEC
    • 2009 Analysis Group Award for the Best Paper on Financial Institutions and Markets
    • 2006 Research Prize of the HEC Foundation
    • 2005 Best Young French Researcher Award in Finance Award, granted by the scientific committee of the Europlace Institute of Finance
    • 1995 Prize of "La Societe des Bourses Francaises" (SBF) for a research on transaction costs and information revelation in financial markets
    • 1991 Laureate of the "Prix de these de la Societe des Bourses Francaises", for the doctoral dissertation