Equilibrium Data Mining and Data Abundance
Dugast, Jérome; Foucault, Thierry (2021), Equilibrium Data Mining and Data Abundance, ILB Rising Talents In Finance And Insurance Conference, 2021-03, Paris, France
Type
Communication / ConférenceDate
2021Titre du colloque
ILB Rising Talents In Finance And Insurance ConferenceDate du colloque
2021-03Ville du colloque
ParisPays du colloque
FranceMétadonnées
Afficher la notice complèteAuteur(s)
Dugast, JéromeDauphine Recherches en Management [DRM]
Foucault, Thierry
Groupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
Résumé (EN)
We analyze how computing power and data abundance affect speculators’ search for predictors. Speculators search for predictors through trials and optimally stop searching when they find a predictor with a signal-to-noise ratio larger than an endogenous threshold. Greater computing power raises this threshold by reducing search costs. In contrast, data abundance can reduce this threshold because (i) it intensifies competition among speculators and (ii) it increases the average number of trials to find a predictor. We derive implications of these findings for the distribution of asset managers’ skills and trading profits and the informativeness of asset prices.Mots-clés
Alternative Data; Data Abundance; Price Informativeness; Search for informationPublications associées
Affichage des éléments liés par titre et auteur.
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Dugast, Jérôme; Foucault, Thierry (2020) Document de travail / Working paper
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Dugast, Jérôme; Foucault, Thierry (2020) Communication / Conférence
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Dugast, Jérome; Foucault, Thierry (2020) Communication / Conférence
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Dugast, Jérôme; Foucault, Thierry (2021) Communication / Conférence
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Dugast, Jérôme; Foucault, Thierry (2021) Communication / Conférence