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

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 34,855

SSRN RANKINGS

Top 34,855

in Total Papers Downloads

1,579

SSRN CITATIONS
Rank 17,485

SSRN RANKINGS

Top 17,485

in Total Papers Citations

33

CROSSREF CITATIONS

26

Scholarly Papers (7)

1.
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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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)

Abstract:

Loading...

Order Book, Market Depth, Execution Delay, Welfare

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)

Abstract:

Loading...

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)
  • Add to Cart

Abstract:

Loading...

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)

Abstract:

Loading...

[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
  • Add to Cart

Abstract:

Loading...

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
Downloads 1

Abstract:

Loading...

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