Hi.
I'm looking for code to run Wisdom of the Crowd price discovery on an asset. Can anyone help/advise on where to search for this?
Wisdom of the Crowd
Under the "Help" heading click on "Data Reference." Datasets that may be of interest to you are the PsychSignals Trader Mood dataset and perhaps the FactSet Broker Recommendations dataset.
However, it's not clear to me how you would use Wisdom of the Crowd in a price discovery context. Presumably the current price has already been set by the crowd consensus (via supply vs demand). So the data should just reflect that the price has been set efficiently and is therefore not of any predictive value, Of course that's just theoretical. Good luck.
"However, it's not clear to me how you would use Wisdom of the Crowd in a price discovery context. Presumably the current price has already been set by the crowd consensus (via supply vs demand). So the data should just reflect that the price has been set efficiently and is therefore not of any predictive value, Of course that's just theoretical. Good luck. " This is a new asset class and price discovery is not straight forward, in the absence of an efficient market place we are thinking of incentivising professional traders to input estimates to get a feel for the market sentiment.
thinking of incentivising professional traders to input estimates to get a feel for the market sentiment
Some large hedge funds do this. I think it becomes a very difficult problem to extract alpha from it. How do you discern between professionals whose guesses are actually robustly predictive and those who are just on a winning streak due to their style temporarily lining up with the current market regime? My guess is you will find the latter outnumbers the former to such an extent -- and that recency bias-induced reversion is so strong--that the average is not predictive.
Great point but the objective is to give the price discovery back to the crowd that is inputting it not for me to use to trade and extract alpha. The data is where the value is.
In an inefficient market with no real modern way for price discovery this would indeed be a massive step up.
I presume you're familiar with Estimize? They essentially apply the wisdom of the crowd principle to earnings estimates. As I understand it, they have a similar system where you get free access to the data if your contribute your own estimate to it.
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