Runjing Lu retweetledi
🧠 New Research ideas! Are LLMS making equity markets more efficient? Here's the number.
Lu, Xu, and Vulicevic (2026) use outages at major LLM providers as natural experiments to isolate the effect.
When LLMs are available, next-day return predictability drops by 46–61%. When providers go down, predictability roughly doubles or triples, as if the clock ran backward.
The mechanism: LLMs process public information faster and on a larger scale, compressing the window for slow arbitrageurs.
The pace at which public information gets priced in has visibly accelerated over the past two years. This paper puts a clean number on what I'd been observing informally.
The implication for systematic managers is direct: any signal that relies on slow information absorption is decaying faster than it did five years ago.
📄 Lu, Xu, Vulicevic: papers.ssrn.com/sol3/papers.cf…
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