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Quantitative Finance · Begrippenlijst

Wat is Data decay?

Definition 16.2 Strategies I: Equities and Futures · Hoofdstuk 16 — Alternative Data Strategies

Data decay is the loss of a dataset’s trading value as more investors acquire it and trade on it earlier, moving prices before the report and leaving less of the reaction for each user; unlike the post-publication decay of a published anomaly, it is driven by the number of buyers of the data.

The nowcast book on the synthetic market as the alternative panel spreads: Sharpe ratio after costs against the share of the market that buys the same panel, for a firm that receives it on the same day as the others and for one that receives it a day earlier. Data: s1_altstrat.run.
Figure 16.1. The nowcast book on the synthetic market as the alternative panel spreads: Sharpe ratio after costs against the share of the market that buys the same panel, for a firm that receives it on the same day as the others and for one that receives it a day earlier. Data: s1_altstrat.run.
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