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|Title: ||Strategies in dynamic parimutuel markets|
|Other Titles: ||Dong tai fen cai yu ce shi chang de ce lüe yan jiu|
|Authors: ||Lin, Qianya (林倩雅)|
|Department: ||Department of Computer Science|
|Degree: ||Master of Philosophy|
|Issue Date: ||2009|
|Publisher: ||City University of Hong Kong|
|Subjects: ||Stock price forecasting -- Mathematical models.|
Securities -- Prices -- Mathematical models.
|Notes: ||CityU Call Number: HG6024.A3 L55 2009|
vii, 58 leaves : ill. 30 cm.
Thesis (M.Phil.)--City University of Hong Kong, 2009.
Includes bibliographical references (leaves 55-58)
|Abstract: ||Prediction Markets are developed to aggregate information among people and have
a long outstanding record for their accuracy of forecasting the future outcomes. The
rapid progress of Internet, which allows wagering and hedging anywhere anytime
makes a great number of such markets emerge prominently. Market models allowing
sequential trades are most popular as such models enable to aggregate the information
effectively even if there're few players. Dynamic Parimutuel Markets (DPM) is one of
such models. It encourages players to reveal their information as early as possible and
that its unfixed returning money attracts speculation and risk traders.
At the first part of this thesis, I study the myopic behavior in DPM. Guidelines
are proposed for traders on how much to buy or sell. As for the myopic version,
information is aggregated effectively thus the market states that influenced by trader
behavior are more important. I show that three types of actions (FPS, SPS, BOS)
are payoff equivalent for both the involved player and the others currently but quite
different in the long run. We show that the Buy-Only Strategy (BOS) achieves the
highest market capitalization for the instant transaction and it always yields the fastest
growth of market capitalization even in multiple stages. Simulation results also show
that BOS is a better revelation of the traders' personal beliefs, though it exhibits a
higher risk in traders' payoffs.
At the second part, I move on to the strategic behavior of risk-neutral forwardlooking
traders with incomplete information. In a DPM, agents' future payoff in a particular state depends on aggregated trades of all agents. A forward-looking agent
hence takes into consideration of possible future trades of other agents when making its
trading decision. I analyze non-myopic strategies in a two-outcome DPM and examine
whether an agent will truthfully reveal its information in the market. Specifically, I first
characterize one single agent's optimal trading strategy given the payoff uncertainty.
Then, I use a two-player two-stage game to examine whether an agent will truthfully
reveal its information when it only participates in the market once. I prove that truthful
betting is a Nash equilibrium of the two-stage game in the symmetry setting for
uniform initial market probabilities. I show numerically that there exists some initial
market probabilities at which the first player has incentives to mislead the other agent
in the two-stage game. Finally, I examine when an agent can participate more than
once in the market whether it will truthfully reveal its information at its first play using
a two-player three-stage game. I demonstrate that there exist signal distributions such
that truthful betting is not a Nash equilibrium of the three-stage game even for uniform
initial market probabilities.|
|Online Catalog Link: ||http://lib.cityu.edu.hk/record=b3947803|
|Appears in Collections:||CS - Master of Philosophy |
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