Thierry Foucault

HEC Paris - Finance Department

Professor of Finance

1 rue de la Liberation

Jouy-en-Josas Cedex, 78351

France

http://thierryfoucault.com/

SCHOLARLY PAPERS

31

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SSRN CITATIONS
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Top 703

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496

CROSSREF CITATIONS

921

Scholarly Papers (31)

1.

Equilibrium Fast Trading

AFA 2013 San Diego Meetings Paper, HEC Paris Research Paper No. 968/2013
Number of pages: 57 Posted: 19 Mar 2012 Last Revised: 23 Feb 2018
Bruno Biais, Thierry Foucault and Sophie Moinas
University of Toulouse 1 - Toulouse School of Economics (TSE), HEC Paris - Finance Department and Toulouse School of Economics
Downloads 2,070 (7,929)
Citation 97

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high frequency trading, liquidity, welfare, adverse selection, investment

Stock Price Informativeness, Cross-Listings and Investment Decisions

Journal of Financial Economics (JFE), Vol. 88, No. 1, 2008, EFA 2006 Zurich Meetings, AFA 2007 Chicago Meetings Paper
Number of pages: 40 Posted: 16 Mar 2006 Last Revised: 15 Mar 2013
Thierry Foucault and Thomas Gehrig
HEC Paris - Finance Department and University of Vienna - Faculty of Business, Economics, and Statistics
Downloads 1,729 (10,482)
Citation 6

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Cross-listings, cross-listings premium, price informativeness, investment decisions, flow-back, ownership.

Stock Price Informativeness, Cross-Listings and Investment Decisions

CEPR Discussion Paper No. 5722
Number of pages: 42 Posted: 11 Aug 2006
Thierry Foucault and Thomas Gehrig
HEC Paris - Finance Department and University of Vienna - Faculty of Business, Economics, and Statistics
Downloads 66 (381,903)
Citation 7
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Cross-listings, cross-listing premium, price informativeness, investment decisions, flow-back, ownership

3.
Downloads 1,658 ( 11,384)
Citation 22

Noisy Stock Prices and Corporate Investment

Rotman School of Management Working Paper No. 2707999, HEC Paris Research Paper No. FIN-2016-1127
Number of pages: 67 Posted: 26 Dec 2015 Last Revised: 10 Aug 2019
INSEAD, HEC Paris - Finance Department, Universita della Svizzera italiana (USI Lugano) and Princeton University
Downloads 1,658 (11,166)
Citation 23

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Ripple Effects of Noise on Corporate Investment

CEPR Discussion Paper No. DP11081
Number of pages: 59 Posted: 02 Feb 2016
INSEAD, HEC Paris - Finance Department, Universita della Svizzera italiana (USI Lugano) and Princeton University
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informational efficiency, investment, learning, noise

4.

Equilibrium High Frequency Trading

International Conference of the French Finance Association (AFFI), May 2011
Number of pages: 36 Posted: 08 May 2011 Last Revised: 15 Mar 2013
Thierry Foucault, Sophie Moinas and Bruno Biais
HEC Paris - Finance Department, Toulouse School of Economics and Centre for Economic Policy Research (CEPR)
Downloads 1,294 (16,792)
Citation 1

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5.

News Trading and Speed

Journal of Finance, Vol. 71, pp. 335-382, 2016, HEC Paris Research Paper No. 975/2013
Number of pages: 55 Posted: 14 Dec 2012 Last Revised: 19 Jan 2016
Thierry Foucault, Johan Hombert and Ioanid Rosu
HEC Paris - Finance Department, HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 1,292 (16,830)
Citation 70

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News, liquidity, volume, price discovery, high frequency trading

Competition for Order Flow and Smart Order Routing Systems

Journal of Finance, Vol. 63, 2008, AFA 2006 Boston Meetings Paper, EFA 2005 Moscow Meetings Paper
Number of pages: 47 Posted: 17 Jun 2008
Thierry Foucault and Albert J. Menkveld
HEC Paris - Finance Department and VU Amsterdam
Downloads 1,148 (19,744)
Citation 5

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market fragmentation, centralized limit order book, smart routers, trading fees

Competition for Order Flow and Smart Order Routing Systems

CEPR Discussion Paper No. 5523
Number of pages: 63 Posted: 14 Jun 2006
Thierry Foucault and Albert J. Menkveld
HEC Paris - Finance Department and VU Amsterdam
Downloads 20 (598,035)
Citation 27
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Market fragmentation, centralized limit order book, smart routers, trading fees, trade-throughs

7.
Downloads 1,103 ( 21,338)
Citation 36

Data Abundance and Asset Price Informativeness

HEC Paris Research Paper No. FIN-2014-1036, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 63 Posted: 21 Feb 2014 Last Revised: 30 Aug 2017
Jérôme Dugast and Thierry Foucault
Université Paris-Dauphine, PSL Research University and HEC Paris - Finance Department
Downloads 867 (29,813)
Citation 21

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Asset Price Informativeness, Big Data, FinTech, Information Processing, Markets for Information, Contrarian and momentum trading.

Data Abundance and Asset Price Informativeness

Number of pages: 54 Posted: 17 Oct 2014 Last Revised: 26 Mar 2017
Jérôme Dugast and Thierry Foucault
Université Paris-Dauphine, PSL Research University and HEC Paris - Finance Department
Downloads 236 (144,612)
Citation 16

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Asset Price Informativeness, Big Data, FinTech, Information Processing, Markets for Information, Contrarian and momentum trading

8.
Downloads 1,089 ( 21,767)
Citation 48

Liquidity Cycles and Make/Take Fees in Electronic Markets

Journal of Finance, Fforthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 71 Posted: 16 Feb 2009 Last Revised: 15 Mar 2013
Thierry Foucault, Ohad Kadan and Eugene Kandel
HEC Paris - Finance Department, Washington University in St. Louis - John M. Olin Business School and Hebrew University of Jerusalem - Department of Economics
Downloads 1,086 (21,469)
Citation 9

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Make/Take Fees, Duration Clustering, Liquidity Externalities, Algorithmic trading, Two-Sided Markets

Liquidity Cycles and Make/Take Fees in Electronic Markets

CEPR Discussion Paper No. DP7551
Number of pages: 50 Posted: 11 Jan 2010
Thierry Foucault, Ohad Kadan and Eugene Kandel
HEC Paris - Finance Department, Washington University in St. Louis - John M. Olin Business School and Hebrew University of Jerusalem - Department of Economics
Downloads 3 (730,589)
Citation 8
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algorithmic trading, duration clustering, Liquidity, make/take fees, monitoring, two-sided markets

9.
Downloads 1,069 ( 22,365)
Citation 29

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040, WBS Finance Group Research Paper No. 219
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 26 Dec 2019
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 1,068 (22,002)
Citation 19

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Arbitrage, Liquidity, Adverse Selection, High Frequency Trading

Toxic Arbitrage

CEPR Discussion Paper No. DP9925
Number of pages: 64 Posted: 02 Jun 2014
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 1 (756,276)
Citation 2
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Adverse Selection, Arbitrage, High Frequency Trading, Liquidity

10.
Downloads 916 ( 27,984)
Citation 145

Limit Order Book as a Market for Liquidity

Number of pages: 60 Posted: 30 May 2001
Thierry Foucault, Ohad Kadan and Eugene Kandel
HEC Paris - Finance Department, Washington University in St. Louis - John M. Olin Business School and Hebrew University of Jerusalem - Department of Economics
Downloads 893 (28,591)
Citation 27

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Limit Orders, Market Orders, Liquidity, Order-Driven Markets, Tick Size, Impatience, Traders Arrival Rate, Price Improvement

Limit Order Book as a Market for Liquidity

Number of pages: 67 Posted: 11 Sep 2001
Thierry Foucault, Ohad Kadan and Eugene Kandel
HEC Paris - Finance Department, Washington University in St. Louis - John M. Olin Business School and Hebrew University of Jerusalem - Department of Economics
Downloads 23 (576,841)
Citation 33
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Limit order markets, market orders, liquidity

Limit Order Book as a Market for Liquidity

The Review of Financial Studies, Vol. 18, Issue 4, pp. 1171-1217, 2005
Posted: 29 Feb 2008
Thierry Foucault, Ohad Kadan and Eugene Kandel
HEC Paris - Finance Department, Washington University in St. Louis - John M. Olin Business School and Hebrew University of Jerusalem - Department of Economics

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brain metastases, HRQoL, stereotactic radiosurgery

11.
Downloads 808 ( 33,380)
Citation 25

Illiquidity Contagion and Liquidity Crashes

Number of pages: 72 Posted: 08 Apr 2011 Last Revised: 19 Feb 2014
Giovanni Cespa and Thierry Foucault
City University London - Sir John Cass Business School and HEC Paris - Finance Department
Downloads 805 (33,047)
Citation 29

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Liquidity spillovers, Contagion, Liquidity Crashes, Multiple equilibria, Rational expectations

Learning from Prices, Liquidity Spillovers, and Market Segmentation

CEPR Discussion Paper No. DP8350
Number of pages: 58 Posted: 20 Apr 2011
Giovanni Cespa and Thierry Foucault
City University London - Sir John Cass Business School and HEC Paris - Finance Department
Downloads 3 (730,589)
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Colocation, Contagion, Liquidity Risk, Liquidity spillovers, Transparency, Value of price information

12.
Downloads 639 ( 45,839)
Citation 6

Corporate Strategy, Conformism, and the Stock Market

HEC Paris Research Paper No. FIN-2015-1099
Number of pages: 106 Posted: 02 Aug 2015 Last Revised: 02 Apr 2018
Thierry Foucault and Laurent Frésard
HEC Paris - Finance Department and Universita della Svizzera italiana (USI Lugano)
Downloads 595 (49,646)
Citation 2

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Conformism, Product Differentiation, Managerial Learning, Peers, Stock Price Informativeness

Corporate Strategy, Conformism, and the Stock Market

Swiss Finance Institute Research Paper No. 18-51
Number of pages: 108 Posted: 07 Aug 2018 Last Revised: 13 Dec 2018
Thierry Foucault and Laurent Frésard
HEC Paris - Finance Department and Universita della Svizzera italiana (USI Lugano)
Downloads 44 (462,693)
Citation 4

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Conformism, Product Differentiation, Managerial Learning, Peers, Informational efficiency

Corporate Strategy, Conformism, and the Stock Market

CEPR Discussion Paper No. DP11073
Number of pages: 56 Posted: 02 Feb 2016
Thierry Foucault and Laurent Frésard
HEC Paris - Finance Department and Universita della Svizzera italiana (USI Lugano)
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Managerial Learning, Peers, Product Differentiation, Stock price Informativeness

13.

Learning from Peers' Stock Prices and Corporate Investment

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 26 Jul 2012 Last Revised: 27 Aug 2013
Thierry Foucault and Laurent Frésard
HEC Paris - Finance Department and Universita della Svizzera italiana (USI Lugano)
Downloads 549 (55,697)
Citation 29

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Corporate Investment, Managerial Learning, Peers, Informed Trading

14.
Downloads 528 ( 58,514)
Citation 49

Individual Investors and Volatility

Journal of Finance, Forthcoming, AFA 2009 San Francisco Meetings Paper
Number of pages: 75 Posted: 17 Mar 2008 Last Revised: 13 Mar 2013
Thierry Foucault, David Alexandre Sraer and David Thesmar
HEC Paris - Finance Department, University of California, Berkeley and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 524 (58,430)
Citation 5

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Idiosyncratic Volatility, Retail Trading, Noise Trading

Individual Investors and Volatility

CEPR Discussion Paper No. DP6915
Number of pages: 47 Posted: 20 Aug 2008
Thierry Foucault, David Alexandre Sraer and David Thesmar
HEC Paris - Finance Department, University of California, Berkeley and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 4 (721,510)
Citation 4
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Idiosyncratic volatility, Noise trading, Retail investors

15.
Downloads 396 ( 82,898)
Citation 38

Trading Fees and Efficiency in Limit Order Markets

Number of pages: 57 Posted: 12 May 2011 Last Revised: 15 Mar 2013
Jean-Edouard Colliard and Thierry Foucault
HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 388 (84,172)
Citation 8

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Limit order markets, trading fees, make/take fees, inter-market competition, liquidity.

Trading Fees and Efficiency in Limit Order Markets

CEPR Discussion Paper No. DP8395
Number of pages: 68 Posted: 26 May 2011
Jean-Edouard Colliard and Thierry Foucault
HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 8 (689,072)
Citation 7
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inter-market competition, Limit order markets, liquidity, make/take fees, OTC markets, trading fees

16.

Competition for Listings

Number of pages: 45 Posted: 04 Jun 1999
Thierry Foucault and Christine A. Parlour
HEC Paris - Finance Department and University of California, Berkeley - Finance Group
Downloads 350 (95,986)
Citation 7

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Cross-Listing, Investment Sensitivity to Stock Price and the Learning Hypothesis

Number of pages: 59 Posted: 15 Sep 2010 Last Revised: 15 Mar 2013
Thierry Foucault and Laurent Frésard
HEC Paris - Finance Department and Universita della Svizzera italiana (USI Lugano)
Downloads 310 (108,821)
Citation 1

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Cross-listing, Managerial learning, Investment-to-price sensitivity, Price informativeness

Cross-Listing, Investment Sensitivity to Stock Price and the Learning Hypothesis

CEPR Discussion Paper No. DP8331
Number of pages: 58 Posted: 20 Apr 2011
Thierry Foucault and Laurent Frésard
HEC Paris - Finance Department and Universita della Svizzera italiana (USI Lugano)
Downloads 8 (689,072)
Citation 11
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Cross-listing, Investment-to-price sensitivity, Managerial learning, Price informativeness

Does Anonymity Matter in Electronic Limit Order Markets?

Number of pages: 58 Posted: 31 Jul 2003
Thierry Foucault, Sophie Moinas and Erik Theissen
HEC Paris - Finance Department, Toulouse School of Economics and University of Mannheim - Finance Area
Downloads 264 (129,089)

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Natural Experiment, Limit Order Book, Anonymity, Liquidity

Does Anonymity Matter in Electronic Limit Order Markets?

Number of pages: 61 Posted: 04 Dec 2003
Thierry Foucault, Sophie Moinas and Erik Theissen
HEC Paris - Finance Department, Toulouse School of Economics and University of Mannheim - Finance Area
Downloads 35 (504,736)
Citation 4
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Market microstructure, limit order trading, anonymity, transparency, liquidity

Does Anonymity Matter in Electronic Limit Order Markets?

Review of Financial Studies, Vol. 20, No. 5, 2007
Posted: 26 Jun 2008
Thierry Foucault, Sophie Moinas and Erik Theissen
HEC Paris - Finance Department, Toulouse School of Economics and University of Mannheim - Finance Area

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G10, G14, G24

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

Journal of Finance, Forthcoming, HEC Paris Research Paper No. FIN-2018-1286
Number of pages: 64 Posted: 10 Jul 2018 Last Revised: 28 Oct 2020
Jean-Edouard Colliard, Thierry Foucault and Peter Hoffmann
HEC Paris - Finance Department, HEC Paris - Finance Department and European Central Bank (ECB) - Directorate General Research
Downloads 254 (134,915)
Citation 9

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OTC markets, Interdealer trading, Inventory management

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

CEPR Discussion Paper No. DP13093
Number of pages: 64 Posted: 18 Sep 2020
Jean-Edouard Colliard, Thierry Foucault and Peter Hoffmann
HEC Paris - Finance Department, HEC Paris - Finance Department and European Central Bank (ECB) - Directorate General Research
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interdealer trading, Inventory management, OTC markets

20.

Sale of Price Information by Exchanges: Does it Promote Price Discovery?

Management Science, Forthcoming
Number of pages: 33 Posted: 01 Jul 2011 Last Revised: 15 Mar 2013
Giovanni Cespa and Thierry Foucault
City University London - Sir John Cass Business School and HEC Paris - Finance Department
Downloads 173 (193,239)
Citation 7

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sale of market data, transparency, price discovery

Insiders-Outsiders, Transparency, and the Value of the Ticker

Number of pages: 40 Posted: 08 Apr 2008 Last Revised: 15 Mar 2013
Giovanni Cespa and Thierry Foucault
City University London - Sir John Cass Business School and HEC Paris - Finance Department
Downloads 168 (198,393)
Citation 6

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Market Data Sales, Latency, Transparency, Price Discovery, Hirshleifer effect

Insiders-Outsiders, Transparency and the Value of the Ticker

CEPR Discussion Paper No. DP6794
Number of pages: 43 Posted: 12 Jun 2008
Giovanni Cespa and Thierry Foucault
City University London - Sir John Cass Business School and HEC Paris - Finance Department
Downloads 3 (730,589)
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Hirshleifer effect, Market data sales, Price discovery, Transparency

Reputation-Based Pricing and Price Improvements in Dealership Markets

Number of pages: 52 Posted: 23 Oct 2002
Thierry Foucault and Gabriel Desgranges
HEC Paris - Finance Department and University of Cergy-Pontoise - THEMA
Downloads 131 (243,759)
Citation 7

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Market Microstructure, Price Improvements, Market Design, Anonymity

Reputation-Based Pricing and Price Improvements in Dealership Markets

Number of pages: 52 Posted: 11 Jun 2002
Thierry Foucault and Gabriel Desgranges
HEC Paris - Finance Department and University of Cergy-Pontoise - THEMA
Downloads 22 (583,851)
Citation 2
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Market microstructure, reputation and implicit contracts, non-anonymous trading

23.

Price Improvements in Financial Markets as a Screening Device

HEC Department of Finance Working Paper No. 716/2000
Number of pages: 48 Posted: 13 Mar 2001
Thierry Foucault and Gabriel Desgranges
HEC Paris - Finance Department and University of Cergy-Pontoise - THEMA
Downloads 108 (279,799)

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Market microstructure, price improvements, market design

24.

Linkage Principle, Multi-Dimensional Signals and Blind Auctions

Number of pages: 12 Posted: 18 Sep 2003
Thierry Foucault and Stefano Lovo
HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 101 (292,995)
Citation 4

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Auction Theory, Linkage Principle, Multidimensional Signals, Blind Auctions

25.

Does Big Data Improve Financial Forecasting? The Horizon Effect

Number of pages: 54
Olivier Dessaint, Thierry Foucault and Laurent Frésard
INSEAD, HEC Paris - Finance Department and Universita della Svizzera italiana (USI Lugano)
Downloads 19

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Big data, Financial analysts' forecasts, Forecasting horizon, Forecasts' informativeness, Social media

26.

Equilibrium Data Mining and Data Abundance

HEC Paris Research Paper No. FIN-2020-1393
Number of pages: 49 Posted: 15 Oct 2020 Last Revised: 28 Oct 2020
Jérôme Dugast and Thierry Foucault
Université Paris-Dauphine, PSL Research University and HEC Paris - Finance Department
Downloads 12 (639,850)

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[comma Alternative Data; Data Abundance; Data Mining; Price Informativeness; Search for Information]

27.

Equilibrium Data Mining and Data Abundance

Number of pages: 49
Jérôme Dugast and Thierry Foucault
Université Paris-Dauphine, PSL Research University and HEC Paris - Finance Department
Downloads 1

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Alternative Data, Data Abundance, Data Mining, Price Informativeness, Search for Information

28.

Minimum Price Variations, Time Priority and Quote Dynamics

Posted: 21 Jun 1999
Thierry Foucault and Tito Cordella
HEC Paris - Finance Department and World Bank

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29.

Order Flow Composition and Trading Costs in Dynamic Limit Order Markets

CEPR Discussion Paper No. 1817
Posted: 18 Aug 1998
Thierry Foucault
HEC Paris - Finance Department

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30.

Implicit Collusion on Wide Spreads

Posted: 26 Apr 1998
Bruno Biais, Thierry Foucault and Francois Salanie
Centre for Economic Policy Research (CEPR), HEC Paris - Finance Department and National Institute for Agricultural Research (INRA)

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31.

Minimum Price Variations, Time Priority and Quotes Dynamics

Finance and Banking Discussion Papers Series 19
Posted: 27 Nov 1996
Thierry Foucault and Tito Cordella
HEC Paris - Finance Department and World Bank

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