Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Jérôme Dugast"'
Publikováno v:
The Review of Economic Studies. 89:3223-3266
Should regulators encourage the migration of trade from over-the-counter (OTC) to centralized markets? To address this question, we study a model in which banks make costly decisions to participate in an OTC market, a centralized market, or both mark
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::23879655f83b2faab05752c77b58edf9
https://doi.org/10.1093/restud/rdac010
https://doi.org/10.1093/restud/rdac010
Autor:
Thierry Foucault, Jérôme Dugast
Publikováno v:
47th European Finance Association (EFA) Annual Meeting
47th European Finance Association (EFA) Annual Meeting, Aug 2020, Helsinki, Finland
2nd Future of Financial Information conference
2nd Future of Financial Information conference, May 2020, Stockholm, Sweden
47th European Finance Association (EFA) Annual Meeting, Aug 2020, Helsinki, Finland
2nd Future of Financial Information conference
2nd Future of Financial Information conference, May 2020, Stockholm, Sweden
We model of the search for predictors by speculators (active asset managers) and use it to analyze how the improvement in data processing power and the growth in available data (“data abundance”) affect the diversity of trading signals used by sp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f7ef631fa91e01c69ec1cbf35ba108bf
https://hal.archives-ouvertes.fr/hal-03053967/document
https://hal.archives-ouvertes.fr/hal-03053967/document
Autor:
Thierry Foucault, Jérôme Dugast
Publikováno v:
Journal of Financial Economics. 130:367-391
Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a9a5057a9aa6992d7f0e1903d8601808
https://doi.org/10.1016/j.jfineco.2018.07.004
https://doi.org/10.1016/j.jfineco.2018.07.004
Autor:
Jérôme Dugast
Publikováno v:
The Journal of Finance. 73:2537-2586
When unscheduled news arrives, investors react with a stochastic delay yet still may exploit new information. In this context, I study the equilibrium dynamics of limit order markets. Continuous idiosyncratic liquidity shocks result in trades on both
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6c5aa5df845e9c2b019bea93dad106c
https://doi.org/10.1111/jofi.12717
https://doi.org/10.1111/jofi.12717
Should regulators encourage the migration of trade from over-the-counter (OTC) to centralized markets? To address this question, we consider a model of equilibrium and socially optimal market participation of heterogeneous banks in an OTC market, in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::620baf15ab330d6f04cc38f3e0fa2a97
https://doi.org/10.3386/w25887
https://doi.org/10.3386/w25887
Autor:
Jérôme Dugast
Publikováno v:
The Journal of Finance
The Journal of Finance, 2018, 73 (6), ⟨10.1111/jofi.12717⟩
The Journal of Finance, 2018, 73 (6), ⟨10.1111/jofi.12717⟩
Upon unscheduled news arrivals, investors react with a stochastic delay and possibly take advantage of new information. In this context, I study the equilibrium dynamics of limit order markets. Idiosyncratic liquidity shocks occur continuously while
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bbfff7ea382fa2ac238a10820646dcae
https://hal.archives-ouvertes.fr/hal-01947875
https://hal.archives-ouvertes.fr/hal-01947875
Autor:
Jérôme Dugast
Publikováno v:
SSRN Electronic Journal.
An investor who uses a limit order in order to trade, instead of a market order, saves the bid-ask spread but incurs an execution delay. Thus, the use of limit orders slows down the rate at which gains from trade are realized, and then has a negative
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eb8aa6767e1fa4b37297379388721ad0
https://doi.org/10.2139/ssrn.3075940
https://doi.org/10.2139/ssrn.3075940
Autor:
Thierry Foucault, Jérôme Dugast
Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false positive, or trading after p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::162c9c959853ce880c63208de12db7c4
https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_513_2014.pdf
https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_513_2014.pdf
Autor:
Jérôme Dugast
Publikováno v:
SSRN Electronic Journal.
I model the speed of price adjustments to news arrival in limit order markets when investors have limited attention. Because of limited attention, investors imperfectly monitor news arrival. Consequently, in equilibrium, prices reflect news with dela
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b9c349ec473c58caa5a12c5d1e759540
https://doi.org/10.2139/ssrn.2335975
https://doi.org/10.2139/ssrn.2335975