Designing informative securities

Uncertainty in Artificial Intelligence - Proceedings of the 28th Conference, UAI 2012

Volumn , Issue , 2012, Pages 185-195

  Chen, Yiling ^a   Ruberry, Mike ^a   Vaughan, Jennifer Wortman ^b  

^a HARVARD UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

FORMAL FRAMEWORK; INFORMATIVE NESS; PREDICTION MARKETS; SIGNAL STRUCTURES;

ARTIFICIAL INTELLIGENCE;

COMMERCE;

EID: 84886051776     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (44)

1. J. Abernethy and R. Frongillo. A collaborative mechanism for crowdsourcing prediction problems. In Neural Information Processing Systems, 2011.
2. J. Abernethy and R. Frongillo. A characterization of scoring rules for linear properties. In Proceedings of the 25th Conference on Learning Theory, 2012.
3. J. Abernethy, Y. Chen, and J. W. Vaughan. An optimization-based framework for automated market-making. In Proceedings of the Twelfth ACM Conference on Electronic Commerce, 2011.
4. B. Allen. Strict rational expectation equilibria with diffuseness. Journal of Economic Theory, 27 (1):20-46, 1982.
5. R. J. Aumann. Agreeing to disagree. The Annals of Statistics, 4(6):1236-1239, 1976.
6. J. E. Berg, R. Forsythe, F. D. Nelson, and T. A. Rietz. Results from a dozen years of election futures markets research. In C. A. Plott and V. Smith, editors, Handbook of Experimental Economic Results. 2001.
7. G. Brier. Verification of forecasts expressed in terms of probability. Monthly Weather Review, 78(1):1-3, 1950.
8. Y. Chen and J. W. Vaughan. A new understanding of prediction markets via no-regret learning. In Proceedings of the Eleventh ACM Conference on Electronic Commerce, 2010.
9. Y. Chen, L. Fortnow, N. Lambert, D. M. Pennock, and J. Wortman. Complexity of combinatorial market makers. In Proceedings of the Nineth ACM Conference on Electronic Commerce, 2008.
10. Y. Chen, S. Dimitrov, R. Sami, D. M. Reeves, D. M. Pennock, R. D. Hanson, L. Fortnow, and R. Gonen. Gaming prediction markets: Equilibrium strategies with a market maker. Algorithmica, 58(4):930-969, 2010.
11. B. Cowgill, J. Wolfers, and E. Zitzewitz. Using prediction markets to track information flows: Evidence from Google. Working paper, 2008.
12. P. DeMarzo and C. Skiadas. Aggregation, determinacy, and informational efficiency. Journal of Economic Theory, 80:123-152, 1998.
13. P. DeMarzo and C. Skiadas. On the uniqueness of fully informative rational expectations equilibria. Economic Theory, 13:1-24, 1999.
14. J. Feigenbaum, L. Fortnow, D. M. Pennock, and R. Sami. Computation in a distributed information market. Theoretical Computer Science, 343 (1-2):114-132, 2005.
15. M. D. Flood. An introduction to complete markets. The Federal Reserve Bank of St. Louis Review, 1991.
16. P. H. Garthwaite, J. B. Kadane, and A. O'Hagan. Statistical methods for eliciting probability distributions. Journal of the American Statistical Association, 100:680-701, 2005.
17. J. D. Geanakoplos. Common knowledge. In R. Aumann and S. Hart, editors, Handbook of Game Theory, volume 2, pages 1437-1496. North Holland, 1994.
18. J. D. Geanakoplos and H. M. Polemarchakis. We can't disagree forever. Journal of Economic Theory, 28(1):192-200, 1982.
19. T. Gneiting and A. Raftery. Strictly proper scoring rules, prediction, and estimation. Journal of the American Statistical Association, 102(477): 359-378, 2007.
20. J. Gonzalex-D?az and M. A. Melendez-Jimenez. On the notion of perfect bayesian equilibrium. TOP, November 2011.
21. S. J. Grossman. An introduction to the theory of rational expectations under asymmetric information. Review of Economic Studies, 48(4):541-559, 1981.
22. R. Hanson. Combinatorial information market design. Information Systems Frontiers, 5(1):105-119, 2003.
23. R. Hanson. Logarithmic market scoring rules for modular combinatorial information aggregation. Journal of Prediction Markets, 1(1):3-15, 2007.
24. K. Iyer, R. Johari, and C. C. Moallemi. Information aggregation in smooth markets. In Proceedings of the Eleventh ACM Conference on Electronic Commerce, pages 199-205, 2010.
25. A. S. Kyle. Continuous auctions and insider trading. Econometrica, 53(6):1315-1336, 1985.
26. N. Lambert. Elicitation and evaluation of statistical forecasts. Working Paper, 2011.
27. A. Mas-Colell, M. D. Whinston, and J. R. Green. Microeconomics Theory. Oxford University Press, New York, NY, USA, 1995.
28. R. D. McKelvey and T. Page. Common knowledge, consensus, and aggregate information. Econometrica, 54(1):109-127, 1986.
29. L. T. Nielsen. Common knowledge, communication and convergence of beliefs. Mathematical Social Sciences, 8:1-14, 1984.
30. L. T. Nielsen, A. Brandenburger, J. Geanakoplos, R. McKelvey, and T. Page. Common knowledge of an aggregate of expectations. Econometrica, 58 (5):1235-1238, 1990.
31. M. Ostrovsky. Information aggregation in dynamic markets with strategic traders. Econometrica, 2012. To Appear.
32. D. M. Pennock and M. P. Wellman. Representing aggregate belief through the competitive equilibrium of a securities market. In Proceedings of the Thirteenth Conference on Uncertainty in Artificial Intelligence, 1997.
33. D. M. Pennock and M. P. Wellman. Compact securities markets for pareto optimal reallocation of risk. In Proceedings of the Sixteenth Conference on Uncertainty in Artificial Intelligence, 2000.
34. D. M. Pennock, S. Lawrence, C. L. Giles, and F. A. Nielsen. The real power of artificial markets. Science, 291:987-988, 2002.
35. C. R. Plott and S. Sunder. Efficiency of experimental security markets with insider information: An application of rational expectations models. Journal of Political Economy, 90(4):663-98, 1982.
36. C. R. Plott and S. Sunder. Rational expectations and the aggregation of diverse information in laboratory security markets. Econometrica, 56(5): 1085-1118, 1988.
37. C. R. Plott, J. Wit, and W. C. Yang. Parimutuel betting markets as information aggregation devices: Experimental results. Technical Report Social Science Working Paper 986, California Institute of Technology, Apr. 1997.
38. P. M. Polgreen, F. D. Nelson, and G. R. Neumann. Using prediction markets to forecast trends in infectious diseases. Clinical Infectious Diseases, 44(2):272-279, 2007.
39. R. Radner. Rational expectations equilibrium: Generic existence and the information revealed by prices. Econometrica, 47(3):655-678, 1979.
40. L. J. Savage. Elicitation of personal probabilities and expectations. Journal of the American Statistical Association, 66(336):783-801, 1971.
41. L. Shapley and M. Shubik. Trading using one commodity as a means of payment. Journal of Political Economy, 85:937-968, 1977.
42. M. Spann and B. Skiera. Internet-based virtual stock markets for business forecasting. Management Science, 49(10):1310-1326, 2003.
43. J. Wolfers and E. Zitzewitz. Interpreting prediction market prices as probabilities. Technical report, NBER Working Paper No. 10359, 2005.
44. L. Xia and D. M. Pennock. An efficient montecarlo algorithm for pricing combinatorial prediction markets for tournaments. In Proceedings of the 22nd International Joint Conference on Artificial Intelligence, 2011.