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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

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Equilibrium Data Mining and Data Abundance (1.037Mb)
Type
Communication / Conférence
Date
2021
Conference title
ILB Rising Talents In Finance And Insurance Conference
Conference date
2021-03
Conference city
Paris
Conference country
France
Metadata
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Author(s)
Dugast, Jérome
Dauphine Recherches en Management [DRM]
Foucault, Thierry
Groupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
Abstract (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.
Subjects / Keywords
Alternative Data; Data Abundance; Price Informativeness; Search for information

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    Equilibrium Data Mining and Data Abundance 
    Dugast, Jérôme; Foucault, Thierry (2020) Document de travail / Working paper
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    Equilibrium Data Mining and Data Abundance 
    Dugast, Jérôme; Foucault, Thierry (2020) Communication / Conférence
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    Equilibrium Data Mining and Data Abundance 
    Dugast, Jérome; Foucault, Thierry (2020) Communication / Conférence
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    Equilibrium Data Mining and Data Abundance 
    Dugast, Jérôme; Foucault, Thierry (2021) Communication / Conférence
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    Equilibrium Data Mining and Data Abundance 
    Dugast, Jérôme; Foucault, Thierry (2020) Communication / Conférence
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