Jérôme Dugast

Université Paris-Dauphine, PSL Research University

Place du Maréchal de Lattre de Tassigny

Paris, 75016

France

Université Paris Dauphine - Department of Finance

Place du Maréchal de Lattre de Tassigny

Paris Cedex 16, 75775

France

http://https://sites.google.com/view/jeromedugast/home

  • Université Paris-Dauphine, PSL Research University

  • Université Paris Dauphine - Department of Finance

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    • Tel: +33 1 44 05 40 41
SCHOLARLY PAPERS

7

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47

CROSSREF CITATIONS

27

Scholarly Papers (7)

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1.

Data Abundance and Asset Price Informativeness

Downloads 1,172 ( 23,403)
Citation 31

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 928 (32,219)
Citation 24

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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 244 (162,286)
Citation 22

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

2.

Unscheduled News and Market Dynamics

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 08 Mar 2016 Last Revised: 22 Dec 2017
Jérôme Dugast
Université Paris-Dauphine, PSL Research University
Downloads 222 (178,238)
Citation 4

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news, order book, market depth, price variability, trading volume

3.

Equilibrium Data Mining and Data Abundance

HEC Paris Research Paper No. FIN-2020-1393, Université Paris-Dauphine Research Paper No. 3710495
Number of pages: 48 Posted: 27 Jan 2021 Last Revised: 05 Jan 2022
Jérôme Dugast and Thierry Foucault
Université Paris-Dauphine, PSL Research University and HEC Paris - Finance Department
Downloads 208 (189,422)
Citation 1

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

4.

A Theory of Participation in OTC and Centralized Markets

Downloads 143 (262,866)
Citation 1

A Theory of Participation in OTC and Centralized Markets

Johns Hopkins Carey Business School Research Paper No. 19-07
Number of pages: 105 Posted: 13 Jun 2019 Last Revised: 03 Sep 2021
Jérôme Dugast, Semih Uslu and Pierre-Olivier Weill
Université Paris-Dauphine, PSL Research University, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 137 (272,913)

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OTC Markets, Heterogeneity, Intermediation, Composition Externalities, Government Intervention

A Theory of Participation in OTC and Centralized Markets

NBER Working Paper No. w25887, Université Paris-Dauphine Research Paper No. 3398056
Number of pages: 45 Posted: 05 Jun 2019 Last Revised: 26 Sep 2021
Jérôme Dugast, Semih Uslu and Pierre-Olivier Weill
Université Paris-Dauphine, PSL Research University, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 6 (797,420)
Citation 1

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5.

Inefficient Market Depth

Number of pages: 10 Posted: 27 Nov 2017 Last Revised: 22 Nov 2021
Jérôme Dugast
Université Paris-Dauphine, PSL Research University
Downloads 113 (311,428)

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Order Book, Market Depth, Execution Delay, Welfare

6.

A Theory of Participation in OTC and Centralized Markets

Number of pages: 109 Posted: 14 Jan 2020 Last Revised: 22 Sep 2021
Jérôme Dugast, Semih Uslu and Pierre-Olivier Weill
Université Paris-Dauphine, PSL Research University, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 1 (811,425)
Citation 1
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7.

Equilibrium Data Mining

Number of pages: 50 Posted: 14 May 2021
Jérôme Dugast and Thierry Foucault
Université Paris-Dauphine, PSL Research University and HEC Paris - Finance Department
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