Thierry FOUCAULT

Professor

Finance

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

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.

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Scientific articles

Equilibrium data mining and Data Abundance

Journal of Finance (The), Forthcoming, (in coll. with J. DUGAST)

Does Alternative Data Improve Financial Forecasting? The Horizon Effect?

Journal of Finance (The), June 2024, vol. 79, n° 3, pp 2237-2287, (in coll. with O. DESSAINT, L. FRÉSARD)

Non-Standard Errors

Journal of Finance (The), June 2024, vol. 79, n° 3, pp 2339-2390, (in coll. with A. MENKVELD, A. DREBER, F. HOLZMEISTER, J. HUBER, M. JOHANNESSON, M. KIRCHLER, M. RAZEN, U. WEITZEL, J. E. COLLIARD, T. DUEVSKI, H. LANGLOIS-BERTRAND, C. PERIGNON, I. ROSU, ET AL.)

Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News

Review of Financial Studies, July 2021, vol. 34, n° 7, pp 3403–3455, (in coll. with H. BENAMAR, C. VEGA)

Inventory Management, Dealers' Connections, and Prices in OTC Markets

Journal of Finance (The), October 2021, vol. 76, n° 5, pp 2199-2247, (in coll. with J. E. COLLIARD, P. HOFFMANN)

Noisy stock prices and corporate investment

Review of Financial Studies, July 2019, vol. 32, n° 7, pp 2625-2672, (in coll. with O. DESSAINT, L. FRESARD, A. MATRAY)

Corporate Strategy, Conformism, and the Stock Market

Review of Financial Studies, 1 March 2019, vol. 32, n° 3, pp 905–950, (in coll. with L. FRESARD)

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

Books

Market Liquidity: Theory, Evidence, and Policy (revised edition)

Oxford University Press 2023 (in coll. with M. PAGANO, A. RÖELL )

Market Liquidity: Theory, Evidence and Policy

Oxford University Press 2013 (in coll. with M. Pagano, A. Roëll )

Market Microstructure: Confronting Many Viewpoints

John Wiley & Sons UK 2012 (in coll. with F. ABERGEL, J.-P. BOUCHAUD, C.-A. LEHALLE, M. ROSENBAUM )

Microstructure des marchés financiers : institutions, modèles et tests empiriques

Presses Universitaires de France (PUF) 1997 (in coll. with B. Biais, P. Hillion )

Chapters in edited books

Technology, data and trading in securities markets

Technology And Finance, The Future Of Banking 4, Darrell Duffie, Thierry Foucault, Laura Veldkamp and Xavier Vives, CEPR, 1 , 29-33

Is Trading Fast Dangerous?

Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, And Regulatory Challenges, W. Mattli, Oxford University Press, 1

Where are the risks in high frequency trading?

Financial Stability Review, Banque de France, 20 , 53-67

Arbitrage Haute Fréquence : faut-il s'en inquiéter ?

La Revue Du Conseil Scientifique De L’autorité Des Marchés Financiers, Autorité des Marchés Financiers, 2 , 59-67

Algorithmic trading: issues and preliminary evidence

Market Microstructure: Confronting Many Viewpoints, F. Abergel, J. P. Bouchaud, T. Foucault, C. Lehalle, M. Rosenbaum (Eds), John Wiley & Sons US

CLOB vs. exchange order books

Foresight: The Future Of Computer Trading In Financial Markets, The Government Office for Science, 13

Pricing liquidity

Foresight: The Future Of Computer Trading In Financial Markets, The Government Office for Science, 18

Les limites de la titrisation

Réinventer L'Entreprise - Repères Pour Une Crise Qui Va Durer, B. Ramanantsoa, J. M. Le Roux (eds), Pearson - Collection Village Mondial

Limit Order Markets

Encyclopedia Of Quantitative Finance, John Wiley & Sons US

Market Transparency

Encyclopedia Of Quantitative Finance, John Wiley & Sons US

Proceedings

Equity Trading Systems in Europe

Proceedings de la conférence Global Equity Markets, Société des Bourses Françaises - New York Stock Exchange , 1999 , Paris (M. Demarchi)

Working papers

Displaced by Big Data: Evidence from Active Fund Managers

Cahier de Recherche du Groupe HEC , 2023

Algorithmic Pricing and Liquidity in Securities Markets

Cahier de Recherche du Groupe HEC , 2022

The Horizon of Investors' Information and Corporate Investment

Cahier de Recherche du Groupe HEC , 2022

Equilibrium Data Mining

CEPR Discussion Series , 2021

Does Big Data Improve Financial Forecasting? The Horizon Effect

Cahier de Recherche du Groupe HEC , 2020

Equilibrium Data Mining and Data Abundance

Cahier de Recherche du Groupe HEC , 2020

Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News

Cahier de Recherche du Groupe HEC , 2018

Inventory Management, Dealers' Connections, and Prices in OTC Markets

Cahier de Recherche du Groupe HEC , 2018

Is Trading Fast Dangerous?

TSE Working Papers , 2018

Ripple Effects of Noise on Corporate Investment

Cahier de Recherche du Groupe HEC , 2016

Scientific articles

Does Alternative Data Improve Financial Forecasting? The Horizon Effect?

Journal of Finance (The), June 2024, vol. 79, n° 3, pp 2237-2287, (in coll. with O. DESSAINT, L. FRÉSARD)

Non-Standard Errors

Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News

Review of Financial Studies, July 2021, vol. 34, n° 7, pp 3403–3455, (in coll. with H. BENAMAR, C. VEGA)

Inventory Management, Dealers' Connections, and Prices in OTC Markets

Journal of Finance (The), October 2021, vol. 76, n° 5, pp 2199-2247, (in coll. with J. E. COLLIARD, P. HOFFMANN)

Books

Market Liquidity: Theory, Evidence, and Policy (revised edition)

Oxford University Press 2023 (in coll. with M. PAGANO, A. RÖELL )

Market Liquidity: Theory, Evidence and Policy

Oxford University Press 2013 (in coll. with M. Pagano, A. Roëll )

Market Microstructure: Confronting Many Viewpoints

John Wiley & Sons UK 2012 (in coll. with F. ABERGEL, J.-P. BOUCHAUD, C.-A. LEHALLE, M. ROSENBAUM )

Microstructure des marchés financiers : institutions, modèles et tests empiriques

Presses Universitaires de France (PUF) 1997 (in coll. with B. Biais, P. Hillion )

Chapters in edited books

Technology, data and trading in securities markets

Technology And Finance, The Future Of Banking 4, Darrell Duffie, Thierry Foucault, Laura Veldkamp and Xavier Vives, CEPR, 1 , 29-33

Is Trading Fast Dangerous?

Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, And Regulatory Challenges, W. Mattli, Oxford University Press, 1

Where are the risks in high frequency trading?

Financial Stability Review, Banque de France, 20 , 53-67

Arbitrage Haute Fréquence : faut-il s'en inquiéter ?

La Revue Du Conseil Scientifique De L’autorité Des Marchés Financiers, Autorité des Marchés Financiers, 2 , 59-67

Proceedings

Equity Trading Systems in Europe

Proceedings de la conférence Global Equity Markets, Société des Bourses Françaises - New York Stock Exchange , 1999 , Paris (M. Demarchi)

Working papers

Displaced by Big Data: Evidence from Active Fund Managers

Cahier de Recherche du Groupe HEC , 2023

Algorithmic Pricing and Liquidity in Securities Markets

Cahier de Recherche du Groupe HEC , 2022

The Horizon of Investors' Information and Corporate Investment

Cahier de Recherche du Groupe HEC , 2022

Equilibrium Data Mining

CEPR Discussion Series , 2021

Education

2000
Habilitation a diriger des recherches (Qualified Research Supervisor), Finance, Université Paris Dauphine - France
1994
Doctorat es Sciences de Gestion, HEC Paris - France
1990
DEA de Finance, magistere Banque/Finance/Assurance, Université Paris Dauphine - France

Academic appointments

Academic Responsibilities at HEC

2007- Professor, Finance HEC Paris
2001-2007 Associate Professor HEC Paris
2003-2005 Associate Dean for Research HEC Paris
2004- Member of GREGHEC, the joint research laboratory CNRS-HEC Paris HEC Paris
1998-2001 Assistant Professor HEC Paris

External Academic Responsibilities

2007- Member of Scientific Committee of the Banque de France research Foundation Banque de France
1997-1998 Visiting Professor, cours de finance d'entreprise (MBA et Maîtrise) Carnegie Mellon University
1994-1997 Assistant Professor University Pompeu Fabra

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

January 2016-July 2021 Co-editor, Review of Asset Pricing Studies

2016- Associate Editor, Journal of Economic Theory

July 2014-July 2017 Associate Editor, Review of Financial Studies

2014-2017 Advisory Board, Review of Finance

2012- Associate Editor, Journal of Financial Perspectives

2012- Associate Editor, Journal of Finance

2011-2015 Associate Editor, Review of Asset Pricing Studies

2009-2013 Co-Editor, Review of Finance

2008- Associate Editor, European Financial Management

2005-2009 Associate Editor, Review of Finance

Reviewer, The Review of Financial Studies, The Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, The Journal of Financial Intermediation, The Journal of Financial Markets, The Review of Finance, La Revue Economique, Journal of the European Economic Association (JEEA) , Journal of Economic Dynamics and Control, European Financial Management, Quantitative Finance, FWO, Econometrica, American Economic Review, The Review of Economic Studies, The Journal of Empirical Finance, The European Economics Review, Finance, International Review of Finance, The Economics Journal, L'Actualite Economique, Annales dEconomie et Statistiques, Journal of Business Finance Accounting, Recherches Economiques de Louvain, ANR

Reviewer for various national research agencies: Agence National pour le Recherche (France), SSRHC (Canada), Fundacao para a Ciencia e Tecnologia (Portugal), FWO (Netherlands), ESCRC (EU), Swiss National Science Foundation (Switzerland), National Agency for the Evaluation of Universities and Research Institutes (Italy).

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