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

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Scholarly Papers (3)

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1.

Data Abundance and Asset Price Informativeness

Downloads 956 ( 21,062)

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 753 (29,119)

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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 203 (138,072)

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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 134 (198,376)

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

3.

Inefficient Market Depth

Number of pages: 27 Posted: 27 Nov 2017
Jérôme Dugast
Université Paris Dauphine - Department of Finance
Downloads 58 (336,979)

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