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首页> 外文期刊>Theory and Decision >ECONOMIC DARWINISM: WHO HAS THE BEST PROBABILITIES?
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ECONOMIC DARWINISM: WHO HAS THE BEST PROBABILITIES?

机译：经济达尔文主义：谁有最好的概率？

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摘要

Simulation evidence obtained within a Bayesian model of priced-setting in a betting market, where anonymous gamblers queue to bet against a risk-neutral bookmaker, suggests that a gambler who wants to maximize future profits should trade on the advice of the analyst cum probability forecaster who records the best probability score, rather than the highest trading profits, during the preceding observation period. In general, probability scoring rules, specifically the log score and better known "Brier" (quadratic) score, are found to have higher probability of ranking rival analysts in predetermined "correct" order than either (ⅰ) the more usual method of counting categorical forecast errors (misclas-sifications), or (ⅱ) an economic measure of forecasting success, described here as the "Kelly score" and denned as the trading profits accumulated by making log optimal bets (i.e. Kelly betting) against the market maker based on the probability forecasts of the analyst being assessed. This runs counter to the conventional wisdom that financial forecasts are more aptly evaluated in terms of their financial consequences than by an abstract non-monetary measure of statistical accuracy such as the number of misclassifications or a probability score.
机译：在博彩市场的定价定价的贝叶斯模型中获得的模拟证据，匿名赌徒排队与风险中立的博彩商进行押注，这表明想要最大化未来利润的赌徒应该在分析师兼概率预测者的建议下进行交易他在前一个观察期内记录了最佳概率得分，而不是最高交易利润。通常，发现概率计分规则，特别是对数分数和众所周知的“ Brier”（二次）分数，比预定的“正确”顺序对竞争对手分析员进行排名的概率要高，而对两种分类都采用更常用的分类方法预测错误（错误分类），或（ⅱ）预测成功的经济指标，在此称为“凯利得分”，并定义为根据对冲做市商的对数最佳投注（即凯利投注）而累积的交易利润被评估分析师的概率预测。这与传统观念相反，传统观念认为，对财务预测的财务后果要比对抽象统计准确性（例如分类错误或概率得分）的抽象非货币度量更为恰当。

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