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Convex mechanisms for pari-mutuel markets.

机译：平等市场的凸性机制。

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摘要

Recently, there has been an increase in the usage of centrally managed markets which are run by some form of pari-mutuel mechanism. A pari-mutuel mechanism is characterized by the ability to shield the market organizer from financial risk by paying the winners from the stakes of the losers. The recent introduction of new, modified pari-mutuel methods has spurred the growth of prediction markets as well as new financial derivative markets. Coinciding with this increased usage, there has been much work on the research front which has produced several more advanced mechanisms and a slew of interesting results. By leveraging ideas from convex optimization, we will introduce a new pari-mutuel market-maker mechanism with many positive qualities including convexity, easy implementation and strong performance. Our mechanism is particularly useful for managing nascent markets for contingent claims (especially when there are a large number of potential outcomes). Additionally, we will provide the first quantitative performance comparison to show that our mechanism is competitive with the mechanisms of Hanson and Pennock et al. One of the key application areas for our mechanism would be prediction markets where the ability to produce useful market information in the form of prices is crucial. Therefore, we will conduct an evaluation of the mechanism from an information aggregation standpoint using both a basic and more sophisticated model for trader behavior. Our mechanism is shown to be effective at producing useful aggregated information about the traders and responsive to the introduction of new information into the trading population.
机译：最近，由某种形式的同等机制运行的集中管理市场的使用有所增加。平等机制的特征是能够通过从失败者的股份中向获胜者付款来保护市场组织者免受财务风险的影响。最近引入的新的，经过修改的平价方法已经刺激了预测市场以及新的金融衍生产品市场的增长。伴随着这种增加的使用，在研究前沿已经进行了很多工作，已经产生了一些更先进的机制和许多有趣的结果。通过利用凸优化的思想，我们将引入一种新型的平价做市商机制，该机制具有许多积极的品质，包括凸性，易于实施和强大的性能。我们的机制对于管理新生的或有债权（特别是在有大量潜在结果时）特别有用。此外，我们将提供首次定量性能比较，以表明我们的机制与Hanson和Pennock等人的机制具有竞争性。我们的机制的主要应用领域之一是预测市场，其中以价格形式产生有用的市场信息的能力至关重要。因此，我们将从信息聚合的角度对交易者行为的基本模型和更复杂模型进行评估。我们的机制被证明可以有效地产生有关交易者的有用的汇总信息，并对向交易人群中引入新信息做出响应。

著录项

  • 作者

    Peters, Mark.;

  • 作者单位

    Stanford University.;

  • 授予单位 Stanford University.;
  • 学科 Operations Research.
  • 学位 Ph.D.
  • 年度 2009
  • 页码 160 p.
  • 总页数 160
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 运筹学;
  • 关键词

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