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Jérôme Dugast

Luxembourg School of Finance

Research Associate

Campus Kirchberg (Bloc F)

6 rue Coudenhove-Kalergi

Luxembourg, L-1359

Luxembourg

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

  • Luxembourg School of Finance

    • Email
    • Tel: (+352) 46 66 44 5212
SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Data Abundance and Asset Price Informativeness

Downloads 897 ( 22,564)

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
Luxembourg School of Finance and HEC Paris - Finance Department
Downloads 699 (31,517)

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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
Luxembourg School of Finance and HEC Paris - Finance Department
Downloads 198 (138,649)

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

2.

Inefficient Market Depth

Number of pages: 27 Posted: 27 Nov 2017
Jérôme Dugast
Luxembourg School of Finance
Downloads 0 (380,962)

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Order Book, Market Depth, Limit Order Execution Rate, Welfare

3.

Unscheduled News and Market Dynamics

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 08 Mar 2016 Last Revised: 22 Dec 2017
Jérôme Dugast
Luxembourg School of Finance
Downloads 0 (212,099)

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