Thierry Foucault

HEC Foundation Chaired Professor of Finance

Research (Click on link): CV; SSRN Author page; Google scholar; IDEAS/RePEc. HEC Paris Finance dpt

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.

2026 edition of the Market Microstructure Summer School. (KU Leuven, June 1st-June 5, 2026): Applications are now open.

New: Effects of AI on Finance: “Barcelona 7: Artificial Intelligence in Finance” with L.Gambacorta, W. Jiang and X. Vives.

New Edition of “Market Liquidity: Theory, Evidence, and Policy.“

Working papers:

Does big data devalue traditional expertise? Evidence from Active Funds Managers. Shows that the introduction of alternative data on a stock reduces asset managers’ stock picking ability.
Algorithmic pricing and liquidity in securities markets. Analyzes how market makers using Q-learning algorithms behave in the presence of adverse selection.Conditionally accepted at Review of Financial Studies
The horizon of investors’ information and corporate investment. Shows that variations in corporate investments at a given horizon is influenced by the quality of investors’ forecasts at this horizon.
Investors as liquidity backstop in corporate bond markets. Shows that dealers’ ability to rely on liquidity provision from their clients reduces trading costs in corporate bond markets.

Recent publications:

Equilibrium data mining and data abundance. with Jérôme Dugast, Journal of Finance, 2025
Does Alternative Data Improve Financial Forecasting? The horizon effect, with Olivier Dessaint and Laurent Frésard. Journal of Finance 2024.
Technology and Finance, with D. Duffie, L.Veldkamp and X.Vives, June 2022.
Inventory Management, Dealers’ Connections and Prices in OTC Markets Journal of Finance, 2021 (with JE Colliard and P.Hoffman).