Memoirs of an indifferent trader: Estimating forecast distributions from prediction markets

Volume: 1, Issue: 1, Pages: 163 - 186
Published: Jul 1, 2010
Abstract
Prediction markets for future events are increasingly common and they often trade several contracts for the same event. This paper considers the distribution of a normative risk-neutral trader who, given any portfolio of contracts traded on the event, would choose not to reallocate that portfolio of contracts even if transactions costs were zero. Because common parametric distributions can conflict with observed prediction market prices, the...
Paper Details
Title
Memoirs of an indifferent trader: Estimating forecast distributions from prediction markets
Published Date
Jul 1, 2010
Volume
1
Issue
1
Pages
163 - 186
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