
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
2021Conference title
ILB Rising Talents In Finance And Insurance ConferenceConference date
2021-03Conference city
ParisConference country
FranceMetadata
Show full item recordAuthor(s)
Dugast, JéromeDauphine 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 informationRelated items
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Dugast, Jérôme; Foucault, Thierry (2020) Document de travail / Working paper
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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 (2020) Communication / Conférence