Related papers: Pricing Model for Data Assets in Investment-Consum…
A new framework for asset pricing based on modelling the information available to market participants is presented. Each asset is characterised by the cash flows it generates. Each cash flow is expressed as a function of one or more…
Data are invaluable. How can we assess the value of data objectively, systematically and quantitatively? Pricing data, or information goods in general, has been studied and practiced in dispersed areas and principles, such as economics,…
Motivated by a growing market that involves buying and selling data over the web, we study pricing schemes that assign value to queries issued over a database. Previous work studied pricing mechanisms that compute the price of a query by…
How much value does a dataset or a data production process have to an agent who wishes to use the data to assist decision-making? This is a fundamental question towards understanding the value of data as well as further pricing of data.…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
A data marketplace is an online venue that brings data owners, data brokers, and data consumers together and facilitates commoditisation of data amongst them. Data pricing, as a key function of a data marketplace, demands quantifying the…
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is…
In this short paper, we define the investment ability of data investors in the data economy and its heterogeneity. We further construct an analytical heterogeneous agent model to demonstrate that differences in data investment ability lead…
Data only generates value for a few organizations with expertise and resources to make data shareable, discoverable, and easy to integrate. Sharing data that is easy to discover and integrate is hard because data owners lack information…
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow…
We use deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. The key…
Pricing advanced data products - particularly in complex fields such as semiconductor manufacturing - is a fundamentally challenging task due to the sparsity of publicly available transaction data, and its frequent heterogeneity and…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
Personal data is becoming one of the most essential resources in today's information-based society. Accordingly, there is a growing interest in data markets, which operate data trading services between data providers and data consumers. One…
Data is the central commodity of the digital economy. Unlike physical goods, it is non-rival, replicable at near-zero cost, and traded under heterogeneous licensing rules. These properties defy standard supply--demand theory and call for…
With the proliferation of the digital data economy, digital data is considered as the crude oil in the twenty-first century, and its value is increasing. Keeping pace with this trend, the model of data market trading between data providers…
Data today fuels both the economy and advances in machine learning and AI. All aspects of decision making, at the personal and enterprise level and in governments are increasingly data-driven. In this context, however, there are still some…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…