Warianty tytułu
Double Combinatorial Auction at Prediction Markets of Binary Contracts
Języki publikacji
Abstrakty
Niniejszy artykuł prezentuje oryginalną ideę zorganizowania rynków predykcyjnych, na których notowane są kontrakty binarne, jako dwustronnych aukcji kombinatorycznych z kursami jednolitymi. Notowane kontrakty binarne powiązano z różnymi przedziałami wartości zmiennej prognozowanej. (fragment tekstu)
The paper presents an original idea of organizing prediction markets of binary contracts as call double combinatorial auctions. There are different binary contracts tied to different intervals of a forecasted variable (e.g. number of units sold in the next year). The complete set of contracts covers the entire range of possible variable values and therefore market prices of contracts form the subjective probability distribution of the variable value. The market participants submit bundle Orders i.e. buy/sell Orders having one price and with specified quantities of different binary contracts which they want to buy/sell. The so-called 'winner determination problem' is solved by applying linear programming and the market price of each different binary contract can be determined by referring to the values of dual variables. It is shown that the proposed kind of market mechanism leads to more informationally efficient priées than continuous double auctions run for each contract separately. (original abstract)
Rocznik
Numer
Strony
179--193
Opis fizyczny
Twórcy
autor
Bibliografia
- Abrache J., Crainic T.G., Gendreau M. [2002], Models for Bundle Trading in Financial Markets, Cirano Scientific Series, Montreal.
- Berg J., Nelson F., Rietz T. [2003], Accuracy and Forecast Standard Error of Prediction Markets, Working Draft, July 2003, www.biz.uiowa.edu/iem/archive/forecasting.pdf.
- Biais В., Million P., Spatt С. [1995], An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, Journal of Finance, vol. 50.
- Chen K.-Y., Plott C.R, [2002], Information Aggregation Mechanisms: Concept, Design and Implementation for a Sales Forecasting Problem, California Institute of Technology, Social Science Working Paper 1131, March, http://www.hss.caltech.edu/ SSPapers/wpim.pdf.
- Fan M., Stallaert J., Whinston A.B. [1998], The Design and Development of a Financial Cybermarket Based on a Bundle Trading Mechanism, Working Paper, Center for Research in Electronic Commerce, The University of Texas, Austin, Texas.
- Manski Ch.F. [2006], Interpreting the Predictions of Prediction Markets, Economic Letters, vol. 91, nr 3, June.
- Medrano L.A., Vives X. [2001], Strategic behavior and price discovery, RAND Journal of Economies, vol. 32, nr 2, Summer.
- Ortner G. [1997], Forecasting Markets-An Industrial Application, part 1, Working Paper, University of Technology Vienna, July, www.imw.tuwien.ac.at/apsm/fmaial.pdf.
- Ortner G. [1998], Forecasting Markets-An Industrial Application, part 2, Working Paper, University of Technology Vienna, March, www.imw.tuwien.ac.at/apsm/fmaia2.pdf.
- Wolfers J., Zitzewitz E. [2006a], Five Open Questions About Prediction Markets, IZA Discussion Paper nr 1975, February.
- Wolfers J., Zitzewitz E. [2006b], Prediction Markets in Theory and Practice, IZA Discussion Paper nr 1991, March.
- Xia M., Stallaert J., Whinston A.B. [2005], Solving the combinatorial double auction problem, European Journal of Operational Research, vol. 164, nr l, July.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000152383914