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Jérôme Dugast
(Jerome Dugast)

Personal Details

First Name:Jerome
Middle Name:
Last Name:Dugast
Suffix:
RePEc Short-ID:pdu370
[This author has chosen not to make the email address public]
https://sites.google.com/view/jeromedugast/home

Affiliation

Dauphine Recherches en Management (DRM)
Université Paris-Dauphine (Paris IX)

Paris, France
http://www.drm.dauphine.fr/
RePEc:edi:drmp9fr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jérôme Dugast & Thierry Foucault, 2020. "Equilibrium Data Mining and Data Abundance," Post-Print hal-02933315, HAL.
  2. Jérôme Dugast & Semih Üslü & Pierre-Olivier Weill, 2019. "A Theory of Participation in OTC and Centralized Markets," NBER Working Papers 25887, National Bureau of Economic Research, Inc.
  3. Jérôme Dugast, 2019. "Inefficient Market Depth," Working Papers hal-02102564, HAL.
  4. Jerome Dugast & Pierre-Olivier Weill & Semih Uslu, 2018. "Platform Trading with an OTC Market Fringe," 2018 Meeting Papers 1002, Society for Economic Dynamics.
  5. Jérôme Dugast, 2018. "Unscheduled News and Market Dynamics," Post-Print hal-01947875, HAL.
  6. Foucault, Thierry & Dugast, Jérôme, 2016. "Data Abundance and Asset Price Informativeness," CEPR Discussion Papers 11190, C.E.P.R. Discussion Papers.
  7. FOUCAULT, Thierry & DUGAST, Jérôme, 2014. "False News, Informational Efficiency, and Price Reversals," HEC Research Papers Series 1036, HEC Paris.
  8. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
    repec:hal:wpaper:hal-02303959 is not listed on IDEAS

Articles

  1. Jérôme Dugast, 2018. "Unscheduled News and Market Dynamics," Journal of Finance, American Finance Association, vol. 73(6), pages 2537-2586, December.
  2. Dugast, Jérôme & Foucault, Thierry, 2018. "Data abundance and asset price informativeness," Journal of Financial Economics, Elsevier, vol. 130(2), pages 367-391.
  3. Bernales, A. & Dugast, J., 2014. "Trading algorithmique et trading haute fréquence - Compte rendu de l’atelier de recherche organisé par la Banque de France le 8 novembre 2013," Bulletin de la Banque de France, Banque de France, issue 195, pages 45-47.
  4. A. Bernales. & J. Dugast., 2014. "International workshop on algorithmic and high-frequency trading:a brief summary," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 33, pages 39-42, spring.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jérôme Dugast & Thierry Foucault, 2020. "Equilibrium Data Mining and Data Abundance," Post-Print hal-02933315, HAL.

    Cited by:

    1. Boot, Arnoud & Hoffmann, Peter & Laeven, Luc & Ratnovski, Lev, 2021. "Fintech: what’s old, what’s new?," Journal of Financial Stability, Elsevier, vol. 53(C).

  2. Jérôme Dugast & Semih Üslü & Pierre-Olivier Weill, 2019. "A Theory of Participation in OTC and Centralized Markets," NBER Working Papers 25887, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ana Babus & Cecilia Parlatore, 2021. "Strategic Fragmented Markets," NBER Working Papers 28729, National Bureau of Economic Research, Inc.
    2. Marc Baudry & Anouk Faure & Simon Quemin, 2021. "Emissions trading with transaction costs," Post-Print hal-03210325, HAL.
    3. Jason Allen & Milena Wittwer, 2021. "Centralizing Over-the-Counter Markets?," Staff Working Papers 21-39, Bank of Canada.
    4. Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.
    5. Babus, Ana & Hachem, Kinda, 2021. "Regulation and Security Design in Concentrated Markets," CEPR Discussion Papers 15861, C.E.P.R. Discussion Papers.
    6. Yu An & Zeyu Zheng, 2023. "Immediacy Provision and Matchmaking," Management Science, INFORMS, vol. 69(2), pages 1245-1263, February.
    7. Hu, Tai-Wei & Rocheteau, Guillaume, 2020. "Bargaining under liquidity constraints: Unified strategic foundations of the Nash and Kalai solutions," Journal of Economic Theory, Elsevier, vol. 189(C).
    8. Ana Babus & Kinda Cheryl Hachem, 2019. "Markets for Financial Innovation," NBER Working Papers 25477, National Bureau of Economic Research, Inc.
    9. Eisenschmidt, Jens & Ma, Yiming & Zhang, Anthony Lee, 2022. "Monetary policy transmission in segmented markets," Working Paper Series 2706, European Central Bank.
    10. Shuo Liu, 2024. "Social Optimal Search Intensity in Over-the-Counter Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 53, pages 224-282, July.
    11. Jean‐Edouard Colliard & Thierry Foucault & Peter Hoffmann, 2021. "Inventory Management, Dealers' Connections, and Prices in Over‐the‐Counter Markets," Journal of Finance, American Finance Association, vol. 76(5), pages 2199-2247, October.
    12. Wang, Chaojun, 2023. "The limits of multi-dealer platforms," Journal of Financial Economics, Elsevier, vol. 149(3), pages 434-450.
    13. Eisenschmidt, Jens & Ma, Yiming & Zhang, Anthony Lee, 2024. "Monetary policy transmission in segmented markets," Journal of Financial Economics, Elsevier, vol. 151(C).
    14. Lebeau, Lucie, 2020. "Credit frictions and participation in over-the-counter markets," Journal of Economic Theory, Elsevier, vol. 189(C).

  3. Jerome Dugast & Pierre-Olivier Weill & Semih Uslu, 2018. "Platform Trading with an OTC Market Fringe," 2018 Meeting Papers 1002, Society for Economic Dynamics.

    Cited by:

    1. Foucault, Thierry & Colliard, Jean-Edouard & Hoffmann, Peter, 2018. "Inventory Management, Dealers' Connections, and Prices in OTC Markets," CEPR Discussion Papers 13093, C.E.P.R. Discussion Papers.
    2. Ana Babus & Kinda Cheryl Hachem, 2019. "Markets for Financial Innovation," NBER Working Papers 25477, National Bureau of Economic Research, Inc.

  4. Jérôme Dugast, 2018. "Unscheduled News and Market Dynamics," Post-Print hal-01947875, HAL.

    Cited by:

    1. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
    2. Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo-Barrera & Lorenzo Moneta, 2021. "When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book," Papers 2109.04812, arXiv.org.
    3. Degryse, Hans & Karagiannis, Nikolaos, 2019. "Priority Rules," CEPR Discussion Papers 14127, C.E.P.R. Discussion Papers.
    4. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    5. Patrick Houlihan & Germán G. Creamer, 2021. "Leveraging Social Media to Predict Continuation and Reversal in Asset Prices," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 433-453, February.
    6. Foucault, T., 2016. "Where are the risks in high frequency trading?," Financial Stability Review, Banque de France, issue 20, pages 53-67, April.
    7. Yuewen Xiao & Xiangkang Yin & Jing Zhao, 2020. "Jumps, News, And Subsequent Return Dynamics: An Intraday Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 705-731, August.
    8. Weill, Pierre-Olivier, 2020. "The search theory of OTC markets," CEPR Discussion Papers 14847, C.E.P.R. Discussion Papers.

  5. Foucault, Thierry & Dugast, Jérôme, 2016. "Data Abundance and Asset Price Informativeness," CEPR Discussion Papers 11190, C.E.P.R. Discussion Papers.

    Cited by:

    1. Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
    2. Jérôme Dugast & Thierry Foucault, 2023. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04390474, HAL.
    3. Bastian von Beschwitz & Donald B Keim & Massimo Massa, 2020. "First to “Read” the News: News Analytics and Algorithmic Trading," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(1), pages 122-178.
    4. Yen‐Cheng Chang & Pei‐Jie Hsiao & Alexander Ljungqvist & Kevin Tseng, 2022. "Testing Disagreement Models," Journal of Finance, American Finance Association, vol. 77(4), pages 2239-2285, August.
    5. Cookson, J. Anthony & Niessner, Marina & Schiller, Christoph M., 2022. "Can Social Media Inform Corporate Decisions? Evidence from Merger Withdrawals," SocArXiv 56yrj, Center for Open Science.
    6. Luo, Dan & Mao, Yipeng, 2021. "Fundamental volatility and informative trading volume in a rational expectations equilibrium," Economic Modelling, Elsevier, vol. 105(C).
    7. Maryam Farboodi & Adrien Matray & Laura Veldkamp & Venky Venkateswaran, 2022. "Where Has All the Data Gone?," The Review of Financial Studies, Society for Financial Studies, vol. 35(7), pages 3101-3138.
    8. Kendall, Chad, 2018. "The time cost of information in financial markets," Journal of Economic Theory, Elsevier, vol. 176(C), pages 118-157.
    9. Li, Bin & Guo, Fei & Xu, Lei & Meng, Siqi, 2024. "Fintech business and corporate social responsibility practices," Emerging Markets Review, Elsevier, vol. 59(C).
    10. Gider, Jasmin & Schmickler, Simon & Westheide, Christian, 2019. "High-frequency trading and price informativeness," SAFE Working Paper Series 248, Leibniz Institute for Financial Research SAFE, revised 2019.
    11. Maryam Farboodi & Adrien Matray & Laura Veldkamp & Venky Venkateswaran, 2020. "Where Has All the Data Gone?," NBER Working Papers 26927, National Bureau of Economic Research, Inc.
    12. Nawn, Samarpan & Banerjee, Ashok, 2019. "Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices?," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 109-125.
    13. Itay Goldstein, 2023. "Information in Financial Markets and Its Real Effects," Review of Finance, European Finance Association, vol. 27(1), pages 1-32.
    14. Pinter, Gabor & Uslu, Semih, 2023. "Price formation in markets with trading delays," Bank of England working papers 1023, Bank of England.
    15. Jasmin Gider & Simon N. M. Schmickler & Christian Westheide, 2021. "High-Frequency Trading and Price Informativeness," CRC TR 224 Discussion Paper Series crctr224_2021_257, University of Bonn and University of Mannheim, Germany.
    16. Donald B. Keim & Massimo Massa & Bastian von Beschwitz, 2018. "First to \"Read\" the News: New Analytics and Algorithmic Trading," International Finance Discussion Papers 1233, Board of Governors of the Federal Reserve System (U.S.).
    17. Foucault, T., 2016. "Where are the risks in high frequency trading?," Financial Stability Review, Banque de France, issue 20, pages 53-67, April.
    18. Meng Gao & Jiekun Huang & Itay Goldstein, 2020. "Informing the Market: The Effect of Modern Information Technologies on Information Production," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1367-1411.
    19. Gencay Tepe & Umut Burak Geyikci & Fatih Mehmet Sancak, 2021. "FinTech Companies: A Bibliometric Analysis," IJFS, MDPI, vol. 10(1), pages 1-17, December.
    20. Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
    21. Banerjee, Snehal & Breon-Drish, Bradyn, 2020. "Strategic trading and unobservable information acquisition," Journal of Financial Economics, Elsevier, vol. 138(2), pages 458-482.
    22. Yen-Cheng Chang & Alexander Ljungqvist & Kevin Tseng & Itay Goldstein, 2023. "Do Corporate Disclosures Constrain Strategic Analyst Behavior?," The Review of Financial Studies, Society for Financial Studies, vol. 36(8), pages 3163-3212.
    23. Sagade, Satchit & Scharnowski, Stefan & Westheide, Christian, 2022. "Broker colocation and the execution costs of customer and proprietary orders," SAFE Working Paper Series 366, Leibniz Institute for Financial Research SAFE.
    24. Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
    25. Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
    26. Zhang, Junsheng & Peng, Zezhi & Zeng, Yamin & Yang, Haisheng, 2023. "Do big data mutual funds outperform?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    27. Glebkin, Sergei & Kuong, John Chi-Fong, 2023. "When large traders create noise," Journal of Financial Economics, Elsevier, vol. 150(2).
    28. Xiaoman, Jin & Qing, Li & Jun, Wang & Jingmei, Zhao, 2023. "Voice or noise? Repetitive information and stock performance," Finance Research Letters, Elsevier, vol. 52(C).
    29. Luo, Ronghua & Zhao, Senyang & Zhou, Jing, 2023. "Information network, public disclosure and asset prices," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    30. Aliyev, Nihad & Huseynov, Fariz & Rzayev, Khaladdin, 2022. "Algorithmic trading and investment-to-price sensitivity," LSE Research Online Documents on Economics 118844, London School of Economics and Political Science, LSE Library.
    31. Kang, Junqing & Lin, Shen & Xiong, Xiong, 2022. "What drives intraday reversal? illiquidity or liquidity oversupply?," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
    32. Campbell, Brett & Drake, Michael & Thornock, Jacob & Twedt, Brady, 2023. "Earnings Virality," Journal of Accounting and Economics, Elsevier, vol. 75(1).
    33. Declerck, F., 2016. "High-frequency trading, geographical concerns and the curvature of the Earth," Financial Stability Review, Banque de France, issue 20, pages 153-160, April.
    34. Jianghua Shen & Lingmin Xie & Zhimin Xie, 2022. "The unintended consequence of financial statement comparability: evidence from managerial learning practices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(3), pages 3073-3106, September.
    35. Itay Goldstein & Shijie Yang & Luo Zuo, 2020. "The Real Effects of Modern Information Technologies: Evidence from the EDGAR Implementation," NBER Working Papers 27529, National Bureau of Economic Research, Inc.

  6. FOUCAULT, Thierry & DUGAST, Jérôme, 2014. "False News, Informational Efficiency, and Price Reversals," HEC Research Papers Series 1036, HEC Paris.

    Cited by:

    1. Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Smooth Trading with Overconfidence and Market Power," Working Papers w0226, New Economic School (NES).
    2. Michael J. Aitken & Angelo Aspris & Sean Foley & Frederick H. de B. Harris, 2018. "Market Fairness: The Poor Country Cousin of Market Efficiency," Journal of Business Ethics, Springer, vol. 147(1), pages 5-23, January.
    3. Massa, Massimo & von Beschwitz, Bastian & Keim, Donald B, 2015. "First to ?Read? the News: News Analytics and Institutional Trading," CEPR Discussion Papers 10534, C.E.P.R. Discussion Papers.
    4. Jun Aoyagi, 2019. "Strategic Speed Choice by High-Frequency Traders under Speed Bumps," ISER Discussion Paper 1050, Institute of Social and Economic Research, Osaka University.
    5. Md Miran Hossain & Babak Mammadov & Hamid Vakilzadeh, 2022. "Wisdom of the crowd and stock price crash risk: evidence from social media," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 709-742, February.
    6. Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Smooth Trading with Overconfidence and Market Power," Working Papers w0226, Center for Economic and Financial Research (CEFIR).
    7. Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    8. Bizzozero, Paolo & Flepp, Raphael & Franck, Egon, 2018. "The effect of fast trading on price discovery and efficiency: Evidence from a betting exchange," Journal of Economic Behavior & Organization, Elsevier, vol. 156(C), pages 126-143.
    9. Alexandru-Ioan Stan, 2018. "Computational speed and high-frequency trading profitability: an ecological perspective," Electronic Markets, Springer;IIM University of St. Gallen, vol. 28(3), pages 381-395, August.
    10. Zachary S Levine & Scott A Hale & Luciano Floridi, 2017. "The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-14, November.

  7. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.

    Cited by:

    1. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.

Articles

  1. Jérôme Dugast, 2018. "Unscheduled News and Market Dynamics," Journal of Finance, American Finance Association, vol. 73(6), pages 2537-2586, December.
    See citations under working paper version above.
  2. Dugast, Jérôme & Foucault, Thierry, 2018. "Data abundance and asset price informativeness," Journal of Financial Economics, Elsevier, vol. 130(2), pages 367-391.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (3) 2013-10-11 2014-11-07 2015-02-11
  2. NEP-BAN: Banking (2) 2019-06-24 2020-08-10
  3. NEP-DES: Economic Design (2) 2018-08-27 2020-08-10
  4. NEP-CTA: Contract Theory and Applications (1) 2014-11-07
  5. NEP-DGE: Dynamic General Equilibrium (1) 2018-08-27
  6. NEP-FMK: Financial Markets (1) 2013-10-11

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