Welcome

Thierry Foucault         

HEC Foundation Chaired Professor of Finance                                               

Research: SSRN Author page, Google scholar; IDEAS/RePEc; CV: Here;Profile: Here; HEC Paris Finance dpt: Here

I work on the determinants of financial markets liquidity and informativeness, the industrial organization of these markets, and their effect on the real economy. My most recent papers are on Big Data and new trading technologies, OTC markets,  and the effects of stock markets on firms’ decisions (investment, product choices etc.). In 2021, I received a European Research Council (ERC)  Advanced Grant for a five years research project on the impact of Big Data and Artificial Intelligence on financial markets and corporate investment. I am co-managing editor of the Journal of Financial and Quantitative Analysis (JFQA) since Sept 1, 2021. My working papers are available here and my published papers here.

New working papers:

  • “Displaced by Big Data: Evidence from Active Funds Managers”, available here. Show that the introduction of alternative data on a stock reduces asset managers’ stock picking ability.

  • “Algorithmic pricing and liquidity in securities markets“, available here. Analyze how market makers using Q-learning algorithms behave in the presence of adverse selection.

  • “The horizon of investors’ information and corporate investment“, available here. Show that variations in corporate investments at a given horizon is influenced by the quality of investors’ forecasts at this horizon.

  • “Equilibrium data mining“, available here. Forthcoming Journal of Finance. Show that big data can reduce can lead active asset managers to trade on signals of lower precisions and increase the dispersion in their performance.

Recent publications: