Wealth and price distribution by diffusive approximation in a repeated prediction market

DOI10.1016/j.physa.2016.12.012zbMath1400.91189OpenAlexW2405912057MaRDI QIDQ1620474

Giulio Bottazzi, Daniele Giachini

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11382/514484

zbMATH Keywords

Fokker-Planck equationdiffusive approximationprediction marketrepeated betting

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (6)

A continuous-time asset market game with short-lived assets ⋮ Drift criteria for persistence of discrete stochastic processes on the line ⋮ Market selection and learning under model misspecification ⋮ On a Diffusion Approximation of a Prediction Game ⋮ Far from the madding crowd: collective wisdom in prediction markets ⋮ Automated and distributed statistical analysis of economic agent-based models

Cites Work

• Unnamed Item
• The Fokker-Planck equation. Methods of solution and applications
• Time to wealth goals in capital accumulation
• Markov Chains and Stochastic Stability
• Growth Versus Security in Dynamic Investment Analysis
• On Deviations between Theoretical and Empirical Distributions

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