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Equilibrium Data Mining and Data Abundance

Dugast, Jérôme; Foucault, Thierry (2020), Equilibrium Data Mining and Data Abundance, 47th European Finance Association (EFA) Annual Meeting, 2020-08, Helsinki, Finland

Type
Communication / Conférence
Date
2020
Conference title
47th European Finance Association (EFA) Annual Meeting
Conference date
2020-08
Conference city
Helsinki
Conference country
Finland
Metadata
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Author(s)
Dugast, Jérôme
Dauphine Recherches en Management [DRM]
Foucault, Thierry
Groupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
Abstract (EN)
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 speculators, the dispersion of their profits and the similarities of their holdings. Our central message is that data abundance and computing power do not have the same effects. In particular, an improvement in computing power always raises the bar for the quality of predictors that managers consider good enough to exploit while more data lower it when data becomes sufficiently abundant. When this happens, the diversity of speculators’ signals and the dispersion of their trading profits increase in equilibrium while their holdings become less correlated.
Subjects / Keywords
Asset price informativeness; Big data; Information processing; Markets; G14,D4,L15
JEL
L15 - Information and Product Quality; Standardization and Compatibility
D40 - General
G14 - Information and Market Efficiency; Event Studies; Insider Trading

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