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Equilibrium Data Mining and Data Abundance

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDugast, Jérome
hal.structure.identifierGroupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
dc.contributor.authorFoucault, Thierry
dc.date.accessioned2021-09-03T14:18:30Z
dc.date.available2021-09-03T14:18:30Z
dc.date.issued2021
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/21732
dc.language.isoenen
dc.subjectAlternative Dataen
dc.subjectData Abundanceen
dc.subjectPrice Informativenessen
dc.subjectSearch for informationen
dc.subject.ddc332en
dc.titleEquilibrium Data Mining and Data Abundanceen
dc.typeCommunication / Conférence
dc.description.abstractenWe 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.en
dc.subject.ddclabelOptimisation mathématiqueen
dc.relation.conftitleILB Rising Talents In Finance And Insurance Conferenceen
dc.relation.confdate2021-03
dc.relation.confcityParisen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2021-09-03T12:56:00Z
dc.subject.classificationjelHALD - Microeconomics::D5 - General Equilibrium and Disequilibrium::D58 - Computable and Other Applied General Equilibrium Modelsen
dc.subject.classificationjelHALC - Mathematical and Quantitative Methods::C5 - Econometric Modeling::C53 - Forecasting and Prediction Methods; Simulation Methodsen
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