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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33

CROSSREF CITATIONS

26

Scholarly Papers (7)

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1.

Data Abundance and Asset Price Informativeness

Downloads 1,122 ( 21,529)
Citation 25

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 884 (29,954)
Citation 20

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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 238 (147,482)
Citation 17

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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 207 (168,989)
Citation 4

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

3.

Inefficient Market Depth

Number of pages: 10 Posted: 27 Nov 2017 Last Revised: 26 Feb 2020
Jérôme Dugast
Université Paris-Dauphine, PSL Research University
Downloads 98 (306,527)

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Order Book, Market Depth, Execution Delay, Welfare

4.

A Theory of Participation in OTC and Centralized Markets

Downloads 96 (310,629)

A Theory of Participation in OTC and Centralized Markets

Johns Hopkins Carey Business School Research Paper No. 19-07
Number of pages: 67 Posted: 13 Jun 2019 Last Revised: 02 Oct 2019
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 92 (321,639)

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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
Number of pages: 41 Posted: 05 Jun 2019
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 4 (736,983)
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5.

Equilibrium Data Mining and Data Abundance

HEC Paris Research Paper No. FIN-2020-1393
Number of pages: 49 Posted: 15 Oct 2020 Last Revised: 08 Dec 2020
Jérôme Dugast and Thierry Foucault
Université Paris-Dauphine, PSL Research University and HEC Paris - Finance Department
Downloads 54 (485,310)

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

6.

A Theory of Participation in OTC and Centralized Markets

CEPR Discussion Paper No. DP14258
Number of pages: 69 Posted: 14 Jan 2020
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 (736,179)
Citation 1
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7.

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