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Details about Thierry Foucault

Workplace:Départment de Finance et Économie (Department of Finance and Economics), HEC Paris (École des Hautes Études Commerciales) (HEC Business School), (more information at EDIRC)

Access statistics for papers by Thierry Foucault.

Last updated 2021-04-06. Update your information in the RePEc Author Service.

Short-id: pfo139


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Working Papers

2021

  1. Does Alternative Data Improve Financial Forecasting? The Horizon Effect
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. Inventory management, dealers’ connections, and prices in OTC markets
    Working Paper Series, European Central Bank Downloads
    Also in HEC Research Papers Series, HEC Paris (2018) Downloads View citations (5)
    Working Papers, HAL (2018) View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads View citations (6)

2020

  1. Does Big Data Improve Financial Forecasting? The Horizon Effect
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in Working Papers, HAL (2020)
  2. Equilibrium Data Mining and Data Abundance
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2020)
    Working Papers, HAL (2020) Downloads View citations (1)

2018

  1. Corporate Strategy, Conformism, and the Stock Market
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    Also in Working Papers, HAL (2015)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (3)
    HEC Research Papers Series, HEC Paris (2015) Downloads

    See also Journal Article in Review of Financial Studies (2019)
  2. Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News
    HEC Research Papers Series, HEC Paris Downloads View citations (2)
    Also in Working Papers, HAL (2018) View citations (1)
  3. Is Trading Fast Dangerous?
    TSE Working Papers, Toulouse School of Economics (TSE) Downloads
  4. Noisy Stock Prices and Corporate Investment
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (5)
    See also Journal Article in Review of Financial Studies (2019)

2016

  1. Data Abundance and Asset Price Informativeness
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article in Journal of Financial Economics (2018)
  2. Ripple Effects of Noise on Corporate Investment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Working Papers, HAL (2015) View citations (1)
    HEC Research Papers Series, HEC Paris (2015) Downloads View citations (1)

2015

  1. Equilibrium fast trading
    Post-Print, HAL View citations (67)
    Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2014) Downloads View citations (5)
    HEC Research Papers Series, HEC Paris (2013) Downloads View citations (20)
    TSE Working Papers, Toulouse School of Economics (TSE) (2014) View citations (20)

    See also Journal Article in Journal of Financial Economics (2015)

2014

  1. Equilibrium Fast Traders
    2014 Meeting Papers, Society for Economic Dynamics Downloads
  2. False News, Informational Efficiency, and Price Reversals
    HEC Research Papers Series, HEC Paris Downloads View citations (6)
    Also in Working Papers, HAL (2014) View citations (5)
    Working papers, Banque de France (2014) Downloads View citations (7)
  3. Illiquidity Contagion and Liquidity Crashes
    Post-Print, HAL View citations (35)
    See also Journal Article in Review of Financial Studies (2014)
  4. Learning from peers' stock prices and corporate investment
    Post-Print, HAL View citations (46)
    See also Journal Article in Journal of Financial Economics (2014)
  5. Toxic Arbitrage
    HEC Research Papers Series, HEC Paris Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (22)
    Working Papers, HAL (2014)

    See also Journal Article in Review of Financial Studies (2017)

2013

  1. Liquidity Cycles and Make/Take Fees in Electronic Markets
    Post-Print, HAL View citations (42)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (8)
    HEC Research Papers Series, HEC Paris (2009) Downloads View citations (3)
    Working Papers, HAL (2009) View citations (2)

    See also Journal Article in Journal of Finance (2013)
  2. Market Liquidity: Theory, Evidence and Policy
    Post-Print, HAL View citations (71)
    See also Book (2013)
  3. News Trading and Speed
    HEC Research Papers Series, HEC Paris Downloads View citations (6)
    Also in Post-Print, HAL (2012) View citations (1)
    Post-Print, HAL (2012) View citations (1)
    Post-Print, HAL (2012) View citations (1)
    Post-Print, HAL (2012) View citations (1)

    See also Journal Article in Journal of Finance (2016)

2012

  1. Algorithmic trading: issues and preliminary evidence
    Post-Print, HAL View citations (4)
  2. Cross-Listing, Investment Sensitivity to Stock Price and the Learning Hypothesis
    Working Papers, HAL View citations (35)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (1)
    Post-Print, HAL (2011)
    Post-Print, HAL (2011)
    Post-Print, HAL (2011)
    Post-Print, HAL (2011)

    See also Journal Article in Review of Financial Studies (2012)
  3. Learning from prices, liquidity spillovers, and endogenous market segmentation
    Working Papers, HAL
  4. Market microstructure: confronting many viewpoints
    Post-Print, HAL View citations (11)
  5. Reputation-Based Pricing and Price Improvements in Dealership Markets
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2002) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads
    Post-Print, HAL (2005) View citations (6)
  6. Trading Fees and Efficiency in Limit Order Markets
    PSE-Ecole d'économie de Paris (Postprint), HAL View citations (11)
    Also in Post-Print, HAL (2012) View citations (24)
    Working Papers, HAL (2012) View citations (35)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (7)

    See also Journal Article in Review of Financial Studies (2012)

2011

  1. Competition for Listings
    Working Papers, HAL
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) Downloads View citations (12)
    Post-Print, HAL (2004) View citations (15)
    HEC Research Papers Series, HEC Paris (1999) Downloads
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads

    See also Journal Article in RAND Journal of Economics (2004)
  2. Dealer Attention, liquidity spillovers, and endogenous market segmentation
    Post-Print, HAL
    Also in Post-Print, HAL (2011)
    Post-Print, HAL (2010)
    Post-Print, HAL (2011)
  3. Does anonymity matter in electronic limit order markets ?
    Working Papers, HAL
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (3)
    Post-Print, HAL (2007) View citations (25)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2005) Downloads View citations (3)
    HEC Research Papers Series, HEC Paris (2003) Downloads View citations (4)
    Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich (2004) Downloads View citations (5)
    Post-Print, HAL (2007) View citations (32)

    See also Journal Article in Review of Financial Studies (2007)
  4. Equity Trading Systems in Europe - A Survey of Recent Changes
    Working Papers, HAL
    Also in Post-Print, HAL (2000) View citations (1)
    HEC Research Papers Series, HEC Paris (1998) Downloads View citations (3)

    See also Journal Article in Annals of Economics and Statistics (2000)
  5. Imperfect Market Monitoring and SOES Trading
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (1999) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) Downloads
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
  6. Individual Investors and Volatility
    Post-Print, HAL View citations (79)
    Also in Working Papers, HAL (2008) View citations (2)
    HEC Research Papers Series, HEC Paris (2008) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (3)

    See also Journal Article in Journal of Finance (2011)
  7. Information Sharing, Liquidity and Transaction Costs in Floor-based Trading Systems
    Working Papers, HAL View citations (1)
    Also in HEC Research Papers Series, HEC Paris (2001) Downloads View citations (4)
    Working Papers, Center for Research in Economics and Statistics (2001) Downloads View citations (3)
    Post-Print, HAL (2003) View citations (3)
  8. Insiders-Outsiders, Transparency and the Value of the Ticker
    Working Papers, HAL
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2008) Downloads View citations (4)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads View citations (8)
    HEC Research Papers Series, HEC Paris (2008) Downloads View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (4)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads View citations (2)
  9. Learning from Prices, Liquidity Spillovers, and Market Segmentation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
  10. Limit Order Book as a Market for Liquidity
    Working Papers, HAL
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (31)
    Post-Print, HAL (2005) View citations (117)
    Post-Print, HAL (2005) View citations (115)
    Discussion Paper Series, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem (2003) Downloads View citations (12)
    HEC Research Papers Series, HEC Paris (2001) Downloads View citations (11)

    See also Journal Article in Review of Financial Studies (2005)
  11. Linkage Principle, Multi-dimensional Signals and Blind Auctions
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2003) Downloads View citations (2)
  12. Minimum Price Variations, Time Priority and Quote Dynamics
    Working Papers, HAL
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (1996) Downloads View citations (2)
    Post-Print, HAL (1999) View citations (17)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (1997) Downloads

    See also Journal Article in Journal of Financial Intermediation (1999)
  13. Order Flow Composition and Trading Costs in a Dynamic Limit Order Market
    Working Papers, HAL
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) Downloads View citations (4)
    Post-Print, HAL (1999) View citations (138)
  14. Price Improvements in Financial Markets as a Screening Device
    Working Papers, HAL
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2001) Downloads View citations (1)

2010

  1. Competition among markets and liquidity: trading fees matter
    Post-Print, HAL
  2. Competition for Order Flow and Smart Order Routing Systems
    Post-Print, HAL
    Also in Post-Print, HAL (2008) View citations (56)
    HEC Research Papers Series, HEC Paris (2006) Downloads View citations (13)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (7)

    See also Journal Article in Journal of Finance (2008)
  3. Les limites de la titrisation
    Post-Print, HAL
  4. Limit Order Markets
    Post-Print, HAL
  5. Market Transparency
    Post-Print, HAL View citations (3)

2009

  1. Chaining up noise traders
    Post-Print, HAL
  2. Liquidity Cycles and Made Take Fees in electronics markets
    Post-Print, HAL View citations (2)

2008

  1. Stock price informativeness, cross-listings and investment decisions
    Post-Print, HAL View citations (41)
    Also in HEC Research Papers Series, HEC Paris (2006) Downloads View citations (10)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (3)
    Post-Print, HAL (2006)
    Post-Print, HAL (2006) View citations (1)

    See also Journal Article in Journal of Financial Economics (2008)

2007

  1. Consolidation et Fragmentation des Marchés Financiers: Coûts et Bénéfices
    Post-Print, HAL

2006

  1. Competition for Order Flow Smart Order Routing Systems
    Post-Print, HAL View citations (2)
    Also in Post-Print, HAL (2006) View citations (2)
  2. Liquidité, Coût du capital et organisation de la négociation des valeurs mobilières
    Post-Print, HAL View citations (1)
  3. Liquidité, coût du capital et organisation de la négociation des valeurs boursières
    Post-Print, HAL
    See also Journal Article in Revue d'Économie Financière (2006)

2005

  1. Enseignement de la gestion: l'apport de la recherche
    Post-Print, HAL

2003

  1. Market Making with Costly Monitoring: An Analysis of the SOES Controversy
    Post-Print, HAL View citations (22)
    Also in Working Papers, HAL (2000)
    HEC Research Papers Series, HEC Paris (2000) Downloads

    See also Journal Article in Review of Financial Studies (2003)

2002

  1. Best Execution and Competition between Trading Venues
    Post-Print, HAL

1999

  1. Equity Trading Systems in Europe
    Post-Print, HAL View citations (1)

1998

  1. Floors, dealer markets and limit order markets
    Post-Print, HAL View citations (9)
    See also Journal Article in Journal of Financial Markets (1998)

1997

  1. Microstructure des marchés financiers: institutions, modèles et tests empiriques
    Post-Print, HAL View citations (4)

1995

  1. Implicit collusion on wide spreads
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads

1994

  1. Price formation and order placement strategies in a dynamic order driven market
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (8)

1993

  1. Asymétries d'information et marchés financiers: une synthèse de la littérature récente
    Post-Print, HAL
    See also Journal Article in L'Actualité Economique (1993)

Journal Articles

2019

  1. Corporate Strategy, Conformism, and the Stock Market
    Review of Financial Studies, 2019, 32, (3), 905-950 Downloads View citations (1)
    See also Working Paper (2018)
  2. Noisy Stock Prices and Corporate Investment
    Review of Financial Studies, 2019, 32, (7), 2625-2672 Downloads View citations (8)
    See also Working Paper (2018)

2018

  1. Data abundance and asset price informativeness
    Journal of Financial Economics, 2018, 130, (2), 367-391 Downloads View citations (12)
    See also Working Paper (2016)

2017

  1. 12e atelier annuel de banque centrale sur la microstructure des marchés financiers - 29-30 septembre 2016, Banque de France
    Bulletin de la Banque de France, 2017, (210), 35-43 Downloads
  2. 12th Annual Central Bank Workshop on the Microstructure of Financial Markets 29-30 September 2016, Banque de France (Non-technical summary)
    Quarterly selection of articles - Bulletin de la Banque de France, 2017, (45), 23-30 Downloads
  3. Toxic Arbitrage
    Review of Financial Studies, 2017, 30, (4), 1053-1094 Downloads View citations (2)
    See also Working Paper (2014)

2016

  1. News Trading and Speed
    Journal of Finance, 2016, 71, (1), 335-382 Downloads View citations (60)
    See also Working Paper (2013)
  2. Where are the risks in high frequency trading?
    Financial Stability Review, 2016, (20), 53-67 Downloads View citations (1)

2015

  1. Equilibrium fast trading
    Journal of Financial Economics, 2015, 116, (2), 292-313 Downloads View citations (89)
    See also Working Paper (2015)

2014

  1. HFT and Market Quality
    Bankers, Markets & Investors, 2014, (128), 5-19 Downloads View citations (16)
  2. Illiquidity Contagion and Liquidity Crashes
    Review of Financial Studies, 2014, 27, (6), 1615-1660 Downloads View citations (34)
    See also Working Paper (2014)
  3. Learning from peers' stock prices and corporate investment
    Journal of Financial Economics, 2014, 111, (3), 554-577 Downloads View citations (47)
    See also Working Paper (2014)
  4. Sale of Price Information by Exchanges: Does It Promote Price Discovery?
    Management Science, 2014, 60, (1), 148-165 Downloads View citations (6)

2013

  1. Liquidity Cycles and Make/Take Fees in Electronic Markets
    Journal of Finance, 2013, 68, (1), 299-341 Downloads View citations (51)
    See also Working Paper (2013)

2012

  1. Cross-Listing, Investment Sensitivity to Stock Price, and the Learning Hypothesis
    Review of Financial Studies, 2012, 25, (11), 3305-3350 Downloads View citations (39)
    See also Working Paper (2012)
  2. Trading Fees and Efficiency in Limit Order Markets
    Review of Financial Studies, 2012, 25, (11), 3389-3421 Downloads View citations (44)
    See also Working Paper (2012)

2011

  1. Individual Investors and Volatility
    Journal of Finance, 2011, 66, (4), 1369-1406 View citations (97)
    See also Working Paper (2011)

2008

  1. Competition for Order Flow and Smart Order Routing Systems
    Journal of Finance, 2008, 63, (1), 119-158 Downloads View citations (82)
    See also Working Paper (2010)
  2. Stock price informativeness, cross-listings, and investment decisions
    Journal of Financial Economics, 2008, 88, (1), 146-168 Downloads View citations (50)
    See also Working Paper (2008)

2007

  1. Does Anonymity Matter in Electronic Limit Order Markets?
    Review of Financial Studies, 2007, 20, (5), 1707-1747 Downloads View citations (62)
    See also Working Paper (2011)

2006

  1. Liquidity, cost of capital and the organization of trading in stock markets
    Revue d'Économie Financière, 2006, 82, (1), 113-123 Downloads
  2. Liquidité, coût du capital et organisation de la négociation des valeurs boursières
    Revue d'Économie Financière, 2006, 82, (1), 123-138 Downloads
    See also Working Paper (2006)

2005

  1. Limit Order Book as a Market for Liquidity
    Review of Financial Studies, 2005, 18, (4), 1171-1217 Downloads View citations (194)
    See also Working Paper (2011)
  2. Reputation-based pricing and price improvements
    Journal of Economics and Business, 2005, 57, (6), 493-527 Downloads View citations (13)

2004

  1. Competition for Listings
    RAND Journal of Economics, 2004, 35, (2), 329-355 View citations (21)
    See also Working Paper (2011)

2003

  1. Market Making with Costly Monitoring: An Analysis of the SOES Controversy
    Review of Financial Studies, 2003, 16, (2), 345-384 Downloads View citations (40)
    See also Working Paper (2003)

2000

  1. Equity Trading Systems in Europe: A Survey of Recent Changes
    Annals of Economics and Statistics, 2000, (60), 73-115 Downloads View citations (1)
    See also Working Paper (2011)

1999

  1. Minimum Price Variations, Time Priority, and Quote Dynamics
    Journal of Financial Intermediation, 1999, 8, (3), 141-173 Downloads View citations (36)
    See also Working Paper (2011)
  2. Order flow composition and trading costs in a dynamic limit order market1
    Journal of Financial Markets, 1999, 2, (2), 99-134 Downloads View citations (263)

1998

  1. Floors, dealer markets and limit order markets
    Journal of Financial Markets, 1998, 1, (3-4), 253-284 Downloads View citations (17)
    See also Working Paper (1998)

1993

  1. Asymétrie d’information et marchés financiers: une synthèse de la littérature récente
    L'Actualité Economique, 1993, 69, (1), 8-44 Downloads
    See also Working Paper (1993)

Books

2013

  1. Market Liquidity: Theory, Evidence, and Policy
    OUP Catalogue, Oxford University Press View citations (76)
    See also Working Paper (2013)

Editor

  1. HEC Research Papers Series
    HEC Paris
 
Page updated 2021-05-08