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Equilibrium Data Mining and Data Abundance

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDugast, Jérôme
hal.structure.identifierGroupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
dc.contributor.authorFoucault, Thierry
dc.date.accessioned2020-09-08T10:46:25Z
dc.date.available2020-09-08T10:46:25Z
dc.date.issued2020
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20975
dc.language.isoenen
dc.subjectAsset price informativenessen
dc.subjectBig dataen
dc.subjectInformation processingen
dc.subjectMarketsen
dc.subjectG14,D4,L15en
dc.subject.ddc658.4en
dc.subject.classificationjelL.L1.L15en
dc.subject.classificationjelD.D4.D40en
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.conftitle47th European Finance Association (EFA) Annual Meetingen
dc.relation.confdate2020-08
dc.relation.confcityHelsinkien
dc.relation.confcountryFinlanden
dc.relation.forthcomingnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2020-09-07T14:50:59Z
hal.identifierhal-02933315*
hal.version1*
hal.author.functionaut
hal.author.functionaut


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