Jérôme Dugast

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 - Department of Finance

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SCHOLARLY PAPERS

4

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26

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26

Scholarly Papers (4)

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1.

Data Abundance and Asset Price Informativeness

Downloads 1,084 ( 20,793)
Citation 24

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 - Department of Finance and HEC Paris - Finance Department
Downloads 855 (28,892)
Citation 21

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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 - Department of Finance and HEC Paris - Finance Department
Downloads 229 (142,640)
Citation 15

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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 - Department of Finance
Downloads 204 (159,734)
Citation 2

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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 - Department of Finance
Downloads 91 (300,909)

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Order Book, Market Depth, Execution Delay, Welfare

4.

A Theory of Participation in OTC and Centralized Markets

Downloads 73 (343,318)

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 - Department of Finance, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 71 (352,647)

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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 - Department of Finance, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 2 (712,109)
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