Computing equilibria of prediction markets via persuasion
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Publication:776231
DOI10.1007/978-3-030-35389-6_4zbMATH Open1435.91181arXiv2009.03607OpenAlexW2990994751MaRDI QIDQ776231FDOQ776231
Authors: Jerry Anunrojwong, Yiling Chen, Bo Waggoner, Haifeng Xu 
Publication date: 30 June 2020
Abstract: We study the computation of equilibria in prediction markets in perhaps the most fundamental special case with two players and three trading opportunities. To do so, we show equivalence of prediction market equilibria with those of a simpler signaling game with commitment introduced by Kong and Schoenebeck (2018). We then extend their results by giving computationally efficient algorithms for additional parameter regimes. Our approach leverages a new connection between prediction markets and Bayesian persuasion, which also reveals interesting conceptual insights.
Full work available at URL: https://arxiv.org/abs/2009.03607
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Derivative securities (option pricing, hedging, etc.) (91G20) Signaling and communication in game theory (91A28)
Cites Work
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- Bayesian persuasion with multiple senders and rich signal spaces
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- Persuasion of a privately informed receiver
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Cited In (3)
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