Curriculum vitae

Darolles Serge

Professeur
DRM

serge.darollesping@dauphine.pslpong.eu
Tel : 01 44054784
Bureau : P608

Biographie

Serge Darolles est Professeur de Finance à l'Université Paris-Dauphine où il enseigne l'économétrie de la finance et la finance empirique depuis 2012. Avant de rejoindre Dauphine, il a travaillé pour Lyxor Asset Management entre 2000 et 2012, où il a développé des modèles mathématiques pour diverses stratégies d’investissement. Il a également occupé des postes de consultants à la Caisse des Dépôts et Consignations, la Banque Paribas et le Commissariat à l'Energie Atomique. Serge est spécialisée est spécialisé en économétrie de la finance et a écrit de nombreux articles publiés dans de nombreuses revues académiques. Il est également membre du Conseil consultatif scientifique de l'AMF. Serge est titulaire d'un doctorat en mathématiques appliquées de l'Université de Toulouse et d'un DESS de l'ENSAE, Paris.

Dernières publications

Articles

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Darolles S., Gouriéroux C., Florens J-P. (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.

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

Chapitres d'ouvrage

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

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

Jay E., Darolles S., Duvaut P. (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., Jay E., Duvaut P. (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

Jay E., Darolles S., Duvaut P. (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

Jay E., Darolles S., Duvaut P. (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

Vaissié M., Darolles S. (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

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.

Gouriéroux C., Darolles S. (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

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., Gouriéroux C., Gagliardini P. (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), MLiq a meta liquidity measure, Computational and Financial Econometrics (CFE'12), Oviedo, Espagne

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

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

Darolles S., Jay E., Duvaut P., Gouriéroux C. (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

Jay E., Gouriéroux C., Darolles S., Duvaut P. (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

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

Prépublications / Cahiers de recherche

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

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