Show simple item record

dc.contributor.authorDugast, Jérome
dc.contributor.authorFoucault, Thierry
dc.date.accessioned2020-09-08T10:46:34Z
dc.date.available2020-09-08T10:46:34Z
dc.date.issued2020
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20976
dc.language.isoenen
dc.subjectAsset price informativenessen
dc.subjectBig dataen
dc.subjectInformation processingen
dc.subjectMarketsen
dc.subject.ddc658.8en
dc.subject.classificationjelD.D4.D40en
dc.subject.classificationjelL.L1.L15en
dc.subject.classificationjelG.G1.G14en
dc.titleEquilibrium Data Mining and Data Abundanceen
dc.typeCommunication / Conférence
dc.description.abstractenWe 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.en
dc.subject.ddclabelEtudes et analyses des marchésen
dc.relation.conftitle2nd Future of Financial Information conferenceen
dc.relation.confdate2020-05
dc.relation.confcityStockholmen
dc.relation.confcountrySwedenen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2020-09-07T14:50:45Z
hal.person.labIds1032
hal.person.labIds1738
hal.identifierhal-02933316*


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record