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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.
Darolles S., Le Fol G., Mero G. (2022), Timing the Size Risk Premia, Finance 
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., 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., 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
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
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., 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., 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
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.
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), 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
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
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.
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
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., 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. (2013), Liquidity Contagion. The Emerging Sovereign Debt Markets example, 30th International French Finance Association Conference, Lyon, France
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
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
Gagliardini P., Darolles S., Gouriéroux C. (2011), Survival of Hedge Funds: Frailty vs Contagion, European Economic Association & Econometric Society, Malaga, Espagne
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
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
Le Fol G., Brownlees C., Darolles S., Sagna B. (2019), Forecasting Intra-daily Liquidity in Large Panels, Paris, Université Paris-Dauphine
Le Fol G., Darolles S., Sun R., Lu Y. (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.
