The stylized facts of prediction markets: analysis of price changes
The stylized facts of prediction markets: analysis of price changes
Prediction markets are a powerful tool to make accurate predictions about the outcome of an event and, for this reason, they attract the interest of researchers and practitioners alike. To date, there exist no means of validation for quantitative models of prediction markets. To address this shortcoming, in this paper we compile a list of empirical regularities (stylized facts) of price changes we find by analyzing daily price changes from 3385 prediction markets on political events, a dataset provided by PredictIt. We find that price changes in prediction markets show characteristics similar to emerging markets, with some small differences.
159-170
Restocchi, Valerio
98f77fd1-d09f-4e24-932d-9c618f4307ab
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Gerding, Enrico
d9e92ee5-1a8c-4467-a689-8363e7743362
1 February 2019
Restocchi, Valerio
98f77fd1-d09f-4e24-932d-9c618f4307ab
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Gerding, Enrico
d9e92ee5-1a8c-4467-a689-8363e7743362
Restocchi, Valerio, McGroarty, Frank and Gerding, Enrico
(2019)
The stylized facts of prediction markets: analysis of price changes.
Physica A: Statistical Mechanics and its Applications, 515, .
(doi:10.1016/j.physa.2018.09.183).
Abstract
Prediction markets are a powerful tool to make accurate predictions about the outcome of an event and, for this reason, they attract the interest of researchers and practitioners alike. To date, there exist no means of validation for quantitative models of prediction markets. To address this shortcoming, in this paper we compile a list of empirical regularities (stylized facts) of price changes we find by analyzing daily price changes from 3385 prediction markets on political events, a dataset provided by PredictIt. We find that price changes in prediction markets show characteristics similar to emerging markets, with some small differences.
Text
The stylised facts of prediction markets: analysis of price changes
- Accepted Manuscript
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Accepted/In Press date: 24 September 2018
e-pub ahead of print date: 28 September 2018
Published date: 1 February 2019
Identifiers
Local EPrints ID: 423710
URI: http://eprints.soton.ac.uk/id/eprint/423710
ISSN: 0378-4371
PURE UUID: e75caba1-1146-4363-8a96-86ac86147792
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Date deposited: 27 Sep 2018 16:30
Last modified: 16 Mar 2024 07:06
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Contributors
Author:
Valerio Restocchi
Author:
Frank McGroarty
Author:
Enrico Gerding
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