| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16019 |
| DP16019 Equilibrium Data Mining | |
| Jerome Dugast; Thierry Foucault | |
| 发表日期 | 2021-04-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics |
| 关键词 | Alternative data Data abundance Data mining Price informativeness Search for information |
| URL | https://cepr.org/publications/dp16019 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545002 |
| 推荐引用方式 GB/T 7714 | Jerome Dugast,Thierry Foucault. DP16019 Equilibrium Data Mining. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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