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Market Scoring Rules Act As Opinion Pools For Risk-Averse Agents

Mithun Chakraborty, Sanmay Das
2015 Neural Information Processing Systems  
In particular, the logarithmic market scoring rule acts as a logarithmic pool for constant absolute risk aversion utility agents, and as a linear pool for an atypical budgetconstrained agent utility with  ...  A market scoring rule (MSR) -a popular tool for designing algorithmic prediction markets -is an incentive-compatible mechanism for the aggregation of probabilistic beliefs from myopic risk-neutral agents  ...  Acknowledgments We are grateful for support from NSF IIS awards 1414452 and 1527037.  ... 
dblp:conf/nips/ChakrabortyD15 fatcat:edp4d4kpnbh47k3dr4pe2iw62m


Robin Hanson
2012 Information Systems Frontiers  
Scoring rules avoid these problems, but instead suffer from opinion pooling problems in the thick market case.  ...  Market scoring rules avoid all these problems, by becoming automated market makers in the thick market case and simple scoring rules in the thin market case.  ...  Simple scoring rules avoid these problems, but suffer from opinion pool problems in the thick market case. Market scoring rules avoid all these problems.  ... 
doi:10.1023/a:1022058209073 fatcat:ox6wvgohancxzewvbw3e3z5sqe

Designing Markets for Prediction

Yiling Chen, David M. Pennock
2010 The AI Magazine  
We survey the literature on prediction mechanisms, including prediction markets and peer prediction systems.  ...  Indeed, the line between scoring rules and markets becomes blurred: for example, the most common automated market maker used for prediction markets can be viewed as a sequential shared scoring rule, as  ...  In other words, proper scoring rules are incentive compatible for risk-neutral agents when eliciting probability assessments.  ... 
doi:10.1609/aimag.v31i4.2313 fatcat:53kpobhmw5fd3man2ta4dpzv7y

Adverse Selection in Insurance Markets: An Exaggerated Threat

Peter Siegelman
2003 Social Science Research Network  
When agents differ in terms of utilities and risk, ordering types by certainty equivalents need not coincide with ordering by risk or by attitudes towards risk, since a less risk averse agent may have  ...  In the limit, for example, if the Strongs were infinitely risk-averse, it would always pay for them to pool with the Frails.  ...  Auto, U.S. 6 insurers No Loss ratios decline over time for each cohort of insureds, as insurers learn selectively more about individuals' accident propensities.  ... 
doi:10.2139/ssrn.434604 fatcat:xdvdmvv64jcbrmldood33ebcoa

Estimating subjective probabilities

Steffen Andersen, John Fountain, Glenn W. Harrison, E. Elisabet Rutström
2014 Journal of Risk and Uncertainty  
Our findings also have implications for the interpretation of probabilities inferred from prediction markets.  ...  We illustrate how the joint estimation of risk attitudes and subjective probabilities using structural maximum likelihood methods can provide the calibration adjustments that theory calls for.  ...  We pool data over LSR and QSR, and control for the effect of the scoring rule with a binary dummy variable. C.  ... 
doi:10.1007/s11166-014-9194-z fatcat:cvyw3spy4zceffatmd7pc4nb4a

Subjective Beliefs and Statistical Forecasts of Financial Risks: The Chief Risk Officer Project [chapter]

Glenn W. Harrison, Richard D. Phillips
2014 Contemporary Challenges in Risk Management  
We elicit subjective belief distributions from Chief Risk Officers of major global financial risks over the next year, using incentivized and incentive-compatible scoring rules.  ...  The experts have a pessimistic outlook for 2013 on the risk of European and Asian equities, as well as the cost of hedging credit risk in the United States.  ...  The converse is true for risk averse subjects, as well as for risk lovers.  ... 
doi:10.1057/9781137447623_8 fatcat:emjy34nndzb73pvv3cjh6zngrq

Decentralized Mining in Centralized Pools

Lin William Cong, Zhiguo He, Jiasun Li
2020 The Review of financial studies  
The rise of centralized mining pools for risk sharing does not necessarily undermine the decentralization required for blockchains: because of miners' cross-pool diversification and pool managers' endogenous  ...  Instead, mining pools as a financial innovation escalate miners' arms race and significantly increase the energy consumption of proof-of-work-based blockchains.  ...  Not surprisingly, when risk aversion increases, individual miners' demands for risk sharing increase, and mining pools charge higher fees as shown in Panel A of Figure3.  ... 
doi:10.1093/rfs/hhaa040 fatcat:3ybavwuomreipevqetspho7rby

Information Aggregation in Dynamic Markets Under Ambiguity

Spyros Galanis, Stelios Kotronis
2018 Social Science Research Network  
By defining appropriately an equilibrium concept for infinite horizon games of incomplete information in a setting with ambiguity, it is proved that in a market with a "separable under ambiguity" security  ...  Three particular perspectives are investigated: i) Does information gets aggregated when traders are myopic and ambiguity averse?  ...  Acknowledgements First and foremost, I would like to express my gratitude to my supervisor, Spyros Galanis, for his guidance, his help and his support. I am grateful to him for his time, his  ... 
doi:10.2139/ssrn.3187678 fatcat:em5uybvao5gjfcegj3eeczihom

Prediction Markets: Alternative Mechanisms for Complex Environments with Few Traders

Paul J. Healy, Sera Linardi, J. Richard Lowery, John O. Ledyard
2010 Management science  
D ouble auction prediction markets have proven successful in large-scale applications such as elections and sporting events.  ...  Consequently, several large corporations have adopted these markets for smaller-scale internal applications where information may be complex and the number of traders is small.  ...  Catherine Eckel, John Fountain, Rick Green, Joel Grus, Glenn Harrison, Ernan Haruvy, Shimon Kogan, Tony Kwasnica, Sherry Li, Bryan Routledge, Justin Wolfers, an associate editor, and two anonymous referees for  ... 
doi:10.1287/mnsc.1100.1226 fatcat:whllgvr6urdlfcjaqgdi2cbjka

Rationality and Capitalist Schooling

Thomas E. Lambert
2019 Social Science Research Network  
The inability to correctly assess risk/reward limits rational behavior and can yield sub-optimal outcomes for economic agents.  ...  Much of economic theory is based on the principle that economic agents usually or always behave rationally in maximizing the benefits and/or minimizing the costs of their decisions.  ...  Also, recall that Kahneman and Tversky claim that most people are risk averse.  ... 
doi:10.2139/ssrn.3356575 fatcat:vjaf6qluibhzllp5x57q6eglly

Salesforce Compensation: An Analytical and Empirical Examination of the Agency Theoretic Approach

Sanjog Misra, Anne T. Coughlan, Chakravarthi Narasimhan
2005 Quantitative Marketing and Economics  
On the theory side we build a game theoretic model of salesforce compensation that accounts for risk aversion on the part of both the principal and the agent.  ...  Our research thus adds to our substantive knowledge of the drivers of salesforce compensation, while adding to the theoretical structure through taking account of the possibility of principal risk aversion  ...  risk-neutral while its agent is risk-averse).  ... 
doi:10.1007/s11129-005-0164-2 fatcat:wsxkswliefglrltqvttcnpdzsy

Timely Information from Prediction Markets [article]

Grant Schoenebeck, Chenkai Yu, Fang-Yi Yu
2021 arXiv   pre-print
However, in current prediction markets, agents may exhaust the social welfare by competing to be the first to update the market.  ...  Prediction markets are powerful tools to elicit and aggregate beliefs from strategic agents.  ...  Chakraborty and Das [8] find that when agents are risk-averse, the market scoring rule acts as an opinion pool.  ... 
arXiv:2011.03645v2 fatcat:24hhtl4tczcxflej7liz3wzjpm

A Finite Mixture Modelling Perspective for Combining Experts' Opinions with an Application to Quantile-Based Risk Measures

Despoina Makariou, Pauline Barrieu, George Tzougas
2021 Risks  
This approach can enable the agent to make informed decisions about the uncertain quantity of interest in a flexible manner that accounts for multiple sources of heterogeneity involved in the opinions  ...  Finally, the proposed models are employed for numerically computing quantile-based risk measures in a collective decision-making context.  ...  Finally, another potential topic of interest, with regards to weights allocation this time, is for the weights to reflect the risk aversion level of the agent as well as the quality of a given expert's  ... 
doi:10.3390/risks9060115 fatcat:wyljuh33ezb6djtx6nrj3wirmi

Using the Veil of Ignorance to Ensure Distributive Justice in Class Actions: A Rawlsian Approach to 'Adequacy of Representation' after Stephenson

David A. Dana
2005 Social Science Research Network  
First, this combined Rawlsian/economics analysis strongly suggests that all class settlements that provide for the possibility that any class members will receive negative relief, as in the Bank Boston  ...  This Article's normative claim -that a rule allowing subsequent challenges to class action settlements is compelled by our basic intuitions of fairness and justice when class members could not conceivably  ...  In other words, in the interest of minimizing the risk that a subsequent challenge will be brought and (if brought) might succeed, defendants can act as an agent for the absent class members, solving,  ... 
doi:10.2139/ssrn.668469 fatcat:53bqp2prsbgirfyg2fothiwqcq

Basel and Securitization: Conflicting Incentives and Rationales

David Augusto Echeverry Botero
2015 Verba luris  
En consecuencia al presentarse nuevos mecanismos de negocios, como la titulación o el mercado de futuros, estos incentivos van a influenciar enormemente en los agentes del mercado financiero, para que  ...  Basilea III, que se basan principalmente en aumentar el capital de riesgo y disminuir el apalancamiento, si no se acompañan con una política de control efectiva, teniendo en cuenta los incentivos y al agente  ...  The rating agency makes an opinion evaluating the credit risk and the securitization structure and qualifies the notes where the maximum score is AAA.  ... 
doi:10.18041/0121-3474/verbaiuris.33.24 fatcat:z6butlqqmrgofoxn6zwton3sfq
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