{"title":"预测市场的价格可解释性:收敛分析","authors":"Jianjun Gao, Zizhuo Wang, Weiping Wu, Dian Yu","doi":"10.1287/opre.2022.0417","DOIUrl":null,"url":null,"abstract":"Prediction markets are renowned for their accuracy in forecasting. However, it is not fully clear how the predication market aggregates the traders’ beliefs. In “Price Interpretability of Prediction Markets: A Convergence Analysis,” Gao, Wang, Wu, and Yu introduce a novel multivariate utility (MU)-based mechanism that consolidates various existing automated market-making schemes. This mechanism establishes convergence results for markets consisting of risk-averse traders with diverse beliefs who interact repeatedly with the market maker. Furthermore, the study delivers analytical and numerical insights into the limiting price across different market models. Building on these results, the authors offer an efficient approximation scheme for the limiting price, shedding light on how traders’ beliefs shape market prices. These discoveries provide valuable guidance to market designers, enabling them to refine and optimize market-making mechanisms for more efficient opinion elicitation.","PeriodicalId":54680,"journal":{"name":"Operations Research","volume":null,"pages":null},"PeriodicalIF":2.2000,"publicationDate":"2024-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Price Interpretability of Prediction Markets: A Convergence Analysis\",\"authors\":\"Jianjun Gao, Zizhuo Wang, Weiping Wu, Dian Yu\",\"doi\":\"10.1287/opre.2022.0417\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Prediction markets are renowned for their accuracy in forecasting. However, it is not fully clear how the predication market aggregates the traders’ beliefs. In “Price Interpretability of Prediction Markets: A Convergence Analysis,” Gao, Wang, Wu, and Yu introduce a novel multivariate utility (MU)-based mechanism that consolidates various existing automated market-making schemes. This mechanism establishes convergence results for markets consisting of risk-averse traders with diverse beliefs who interact repeatedly with the market maker. Furthermore, the study delivers analytical and numerical insights into the limiting price across different market models. Building on these results, the authors offer an efficient approximation scheme for the limiting price, shedding light on how traders’ beliefs shape market prices. These discoveries provide valuable guidance to market designers, enabling them to refine and optimize market-making mechanisms for more efficient opinion elicitation.\",\"PeriodicalId\":54680,\"journal\":{\"name\":\"Operations Research\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.2000,\"publicationDate\":\"2024-06-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Operations Research\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1287/opre.2022.0417\",\"RegionNum\":3,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MANAGEMENT\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Operations Research","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1287/opre.2022.0417","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MANAGEMENT","Score":null,"Total":0}
Price Interpretability of Prediction Markets: A Convergence Analysis
Prediction markets are renowned for their accuracy in forecasting. However, it is not fully clear how the predication market aggregates the traders’ beliefs. In “Price Interpretability of Prediction Markets: A Convergence Analysis,” Gao, Wang, Wu, and Yu introduce a novel multivariate utility (MU)-based mechanism that consolidates various existing automated market-making schemes. This mechanism establishes convergence results for markets consisting of risk-averse traders with diverse beliefs who interact repeatedly with the market maker. Furthermore, the study delivers analytical and numerical insights into the limiting price across different market models. Building on these results, the authors offer an efficient approximation scheme for the limiting price, shedding light on how traders’ beliefs shape market prices. These discoveries provide valuable guidance to market designers, enabling them to refine and optimize market-making mechanisms for more efficient opinion elicitation.
期刊介绍:
Operations Research publishes quality operations research and management science works of interest to the OR practitioner and researcher in three substantive categories: methods, data-based operational science, and the practice of OR. The journal seeks papers reporting underlying data-based principles of operational science, observations and modeling of operating systems, contributions to the methods and models of OR, case histories of applications, review articles, and discussions of the administrative environment, history, policy, practice, future, and arenas of application of operations research.