Curriculum vitae

Darolles Serge

Contractuel Professor
DRM

serge.darollesping@dauphine.pslpong.eu
Phone : 01 44054784
Office : P608

Biography

Serge Darolles is Professor of Finance at Université Paris-Dauphine where he teaches Financial Econometrics and Empirical Finance since 2012. Prior to joining Dauphine, he worked for Lyxor Asset Management between 2000 and 2012, where he developed mathematical models for various investment strategies. He also held consultant roles at Caisse des Dépôts & Consignations, Banque Paribas and the French Atomic Energy Agency. Serge specializes in financial econometrics and has written numerous articles, which have been published in academic journals. He is a member of the AMF Scientific Advisory Board. Serge holds a Ph.D. in Applied Mathematics from the University of Toulouse and a postgraduate degree from ENSAE, Paris.

 

 

Latest publications

Articles

Darolles S., Le Fol G., Mero G. (2022), Timing the Size Risk Premia, Finance, vol. 43, n°2, p. 111-158

Chevalier C., Darolles S. (2019), Trends everywhere? The case of hedge fund styles, Journal of Asset Management, vol. 20, n°6, p. 442-468

Darolles S., Le Fol G., Lu Y., Sun R. (2019), Bivariate integer-autoregressive process with an application to mutual fund flows, Journal of Multivariate Analysis, vol. 173, n°September 2019, p. 181-203

Darolles S., Francq C., Laurent S. (2018), Asymptotics of Cholesky GARCH models and time-varying conditional betas, Journal of Econometrics, vol. 204, n°2, p. 223-247

Darolles S., Vaissié M. (2017), Diversification at a reasonable price, Bankers, markets, investors, vol. Special Issue Illiquid Assets, n°148

Darolles S., Le Fol G., Mero G. (2017), Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows, Journal of Econometrics

Darolles S., Francq C., Le Fol G., Zakoïan J-M. (2016), Intrinsic Liquidity in Conditional Volatility Models, Annals of Economics and Statistics, vol. 123/124, p. 225-245

Darolles S., Dudek J., Le Fol G. (2016), Gauging Liquidity Risk in Emerging Market Bond Index Funds, Annals of Economics and Statistics, vol. 123/124, p. 247-269

Darolles S. (2016), The rise of FinTechs and their regulation, Financial Stability Review, vol. 20, p. 85-92

Darolles S., Gourieroux C. (2015), Performance fees and hedge fund return dynamics, International Journal of Approximate Reasoning, vol. 65, p. 45–58

Darolles S., Le Fol G., Mero G. (2015), Measuring the Liquidity Part of Volume, Journal of Banking and Finance, vol. 50, p. 92–105

Darolles S. (2014), Evaluating UCITS Compliant Hedge Fund Performance, Bankers, markets, investors, n°133, p. 11-22

Le Fol G., Darolles S. (2014), Trading volume and Arbitrage, GSTF Journal on Business Review, vol. 3, n°3, p. 30-39

Darolles S., Vaissié M. (2012), The Alpha and Omega of Fund of Hedge Fund Added Value, Journal of Banking and Finance, vol. 36, n°4, p. 1067-1078

Bialkowski J., Darolles S., Le Fol G. (2012), Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume, Journal of Applied Science in Southern Africa (JASSA), n°1, p. 12-18

Jay E., Duvaut P., Darolles S., Chretien A. (2011), Multifactor Models : Examining the potential of signal processing techniques, IEEE Signal Processing Magazine, vol. 28, n°5, p. 37-48

Darolles S., Mero G. (2011), Hedge Fund Returns and Factor Models : A Cross-Section Approach, Bankers, markets, investors, n°112, p. 34-53

Darolles S., Fan Y., Florens J-P., Renault E. (2011), Nonparametric Instrumental Regression, Econometrica, vol. 79, n°5, p. 1541-1565

Darolles S., Gourieroux C. (2010), Conditionally fitted Sharpe performance with an application to hedge fund rating, Journal of Banking and Finance, vol. 34, n°3, p. 578–593

Darolles S., Gouriéroux C., Jasiak J. (2009), L-performance with an application to hedge funds, Journal of Empirical Finance, vol. 16, n°4, p. 671– 685

Bialkowski J., Darolles S., Le Fol G. (2008), Improving VWAP strategies: A dynamic volume approach, Journal of Banking and Finance, vol. 32, n°9, p. 1709-1722

Darolles S., Gouriéroux C., Jasiak J. (2006), Structural Laplace Transform and Compound Autoregressive Models, Journal of Time Series Analysis, vol. 27, n°4, p. 477-503

Darolles S., Florens J-P., Gouriéroux C. (2004), Kernel-based nonlinear canonical analysis and time reversibility, Journal of Econometrics, vol. 119, n°2, p. 323–353

Darolles S., Le Fol G. (2004), Nouvelles techniques de gestion et leur impact sur la volatilité, Revue d'économie financière, vol. 74, p. 231-243

Darolles S., Gouriéroux C. (2001), Truncated dynamics and estimation of diffusion equations, Journal of Econometrics, vol. 102, n°1, p. 1–22

Darolles S., Florens J-P., Gouriéroux C. (2001), Factor ARMA representation of a Markov process, Economics Letters, vol. 71, n°2, p. 165–171

Darolles S., Laurent J-P. (2000), Approximating payoffs and pricing formulas, Journal of Economic Dynamics & Control, vol. 24, n°11-12, p. 1721–1746

Darolles S., Gouriéroux C., Le Fol G. (2000), Intraday Transaction Price Dynamics, Annales d'Economie et de Statistique, n°60, p. 207-238

Ouvrages

Darolles S., Gouriéroux C. (2015), Contagion phenomena with applications in finance, Amsterdam: Elsevier, 166 p.

Darolles S., Duvaut P., Jay E. (2013), Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley, 184 p.

Chapitres d'ouvrage

Darolles S., Gouriéroux C., Teiletche J. (2015), The Dynamics of Hedge Fund Performance, in Suriya, Komsan, Econometrics of Risk, Heidelberg: Springer, p. X-498

Darolles S., Gouriéroux C., Jay E. (2015), Robust portfolio allocation with systematic risk contribution restrictions, in Emmanuel Jurczenko, Risk-Based and Factor Investing, Amsterdam: Elsevier, p. 123-146

Darolles S., Dudek J., Le Fol G. (2014), Contagion in Emerging Markets, in Finch, Nigel, Emerging Markets and Sovereign Risk, New York: Springer, p. XVI-298

Darolles S., Vaissié M. (2013), Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry?, in Gregoriou, Greg N., Reconsidering funds of hedge funds : the financial crisis and best practices in UCITS, tail risk, performance, and due diligence, Oxford: Elsevier, p. 545

Darolles S., Duvaut P., Jay E. (2013), Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective, in Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley-ISTE, p. 59-116

Darolles S., Duvaut P., Jay E. (2013), Factor Models and General Definition, in Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley-ISTE, p. 1–21

Darolles S., Duvaut P., Jay E. (2013), Factor Selection, in Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley-ISTE, p. 23–58

Darolles S., Duvaut P., Jay E. (2013), A Regularized Kalman Filter (rgKF) for Spiky Data, in Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley-ISTE, p. 184

Communications avec actes

Darolles S., Gouriéroux C. (2014), The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme, in Sriboonchitta, Songsak, Seventh International Conference of the Thailand Econometric Society, Chiang Mai, Springer, 575 p.

Darolles S., Gouriéroux C. (2014), The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme, in Sriboonchitta, Songsak, Seventh International Conference of the Thailand Econometric Society, Chiang Mai, Springer, 575 p.

Darolles S., Le Fol G. (2014), Trading Volume and Arbitrage, in , Annual International Conference on Accounting & Finance. 2014, Phuket, Global Science & Technology Forum, 121-131 p.

Communications sans actes

Ain Tommar S., Darolles S., Jurczenko E. (2023), Private equity fund performance around the world, 39th Conference of the French Finance Association (AFFI), Bordeaux, France

Ain Tommar S., Darolles S., Jurczenko E. (2023), The Geography of Private Equity Returns : Private equity fund performance around the world, Lapland Investment Fund Summit, Levi, Finlande

Darolles S., He Y., Le Fol G. (2023), Who can better push firms to go "green"? A look at ESG effects on stock returns, 39th International Conference of the French Finance Association (AFFI), Bordeaux, France

Darolles S., Le Fol G., Lu Y., Sun R. (2019), A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk, AFFI, Québec, Canada

Darolles S., Le Fol G., Lu Y., Sun R. (2018), A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk, AFFI, Paris, France

Ain Tommar S., Darolles S., Jurzcenko E. (2018), Is destiny worth the Distance? On Private Equity in Emerging Markets, Université Paris-Dauphine Finance Seminar, Paris, France

Darolles S., Dubecq S., Gouriéroux C. (2014), Contagion Analysis In The Banking Sector, 31st International French Finance Association Conference, AFFI 2014, Aix-en-Provence, France

Darolles S., Dudek J., Le Fol G. (2014), Liquidity risk and contagion for liquid funds, 31st International French Finance Association Conference, AFFI 2014, Aix-en-Provence, France

Darolles S., Dudek J., Le Fol G. (2013), Liquidity Contagion. The Emerging Sovereign Debt Markets example, 30th International French Finance Association Conference, Lyon, France

Darolles S., Gagliardini P., Gouriéroux C. (2013), Survival of Hedge Funds: Frailty vs Contagion, 22nd Annual Meeting of the European Financial Management Association - EFMA 2013, Reading, Royaume-Uni

Darolles S., Dudek J., Le Fol G. (2012), Liquidity Contagion. The Emerging Sovereign Debt Markets example, European Economic Association & Econometric Society, Malaga, Espagne

Darolles S., Dudek J., Le Fol G. (2012), MLiq a meta liquidity measure, Computational and Financial Econometrics (CFE'12), Oviedo, Espagne

Darolles S., Duvaut P., Gouriéroux C., Jay E. (2011), lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis, 5th CSDA International Conference on Computational and Financial Econometrics (CFE'11), Londres, Royaume-Uni

Darolles S., Gagliardini P., Gouriéroux C. (2011), Survival of Hedge Funds: Frailty vs Contagion, European Economic Association & Econometric Society, Malaga, Espagne

Darolles S., Gouriéroux C., Gagliardini P. (2011), Survival of Hedge Funds: Frailty vs Contagion, International Conference on Stochastic Analysis and Applications, Hammamet, Tunisie

Le Fol G., Mero G., Darolles S. (2011), Tracking Illiquidities in Intradaily and Daily Characteristics, 28th annual International Conference of the French Finance Association, Montpellier, France

Darolles S., Duvaut P., Gouriéroux C., Jay E. (2011), lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis, Fourth International Workshop on Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP), San Juan, Porto rico

Présentation(s) dans un séminaire de recherche

Darolles S., Roussellet G. (2023), Managing hedge fund liquidity risks, in HEC Montreal (Laboratoire de mathématiques actuarielles et financières Quantact) : Séminaire de mathématiques actuarielles et financières, Montreal

Darolles S., Roussellet G. (2017), Managing hedge fund liquidity risks, in Finance Seminar Faculté des sciences de l'administration (FSA ULaval), Laval

Darolles S., Roussellet G. (2017), Managing hedge fund liquidity risks, in Mc Gill University, Finance Seminar, Montreal

Darolles S., Roussellet G. (2016), Managing hedge fund liquidity risks, in EHL (Ecole hôtelière de Lausanne) Finance Seminar, Lausanne

Prépublications / Cahiers de recherche

Brownlees C., Darolles S., Le Fol G., Sagna B. (2019), Forecasting Intra-daily Liquidity in Large Panels, Paris, Université Paris-Dauphine

Darolles S., Le Fol G., Lu Y., Sun R. (2018), A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk, Paris, Université Paris-Dauphine

Gouriéroux C., Darolles S., Jay E. (2012), Robust Portfolio Allocation with Systematic Risk Contribution Restrictions, 48 p.

Autres publications

Darolles, S., Gouriéroux, C., (2015), Performance fees and hedge fund return dynamics , International Journal of Approximate Reasoning, Volume 65, October 2015, Pages 45–58

Darolles S., (2014), Special issue on hedge funds , guest editor for Bankers, Markets and Investors, Mars-Avril

Darolles, S ; Le Fol, G . Trading volume and Arbitrage. GSTF : Journal on Business Review. Volume 3. n° 3. 2014. pages 30-39

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