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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

A Unified Framework for Dynamic Pari-Mutuel Information Market Design

　

　

　

Speaker

:

Zizhuo Wang

　

　

Management Science and Engineering

　

　

Stanford University

　

　

　

Date

:

Sep. 1st, 2009 (Tuesday)

　

　

　

Time

:

4:30 p.m. - 5:30 p.m.

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

Recently, there is an increasing popularity in the area of information (prediction) market design. An information market is a place where the information is aggregated via market mechanisms(trading on contingent claims). And empirical studies show that it has great power in predicting the future events.

In recent years, several mechanisms have been proposed to organize prediction markets, such as the market scoring rules (MSR), the cost function formulation, and the sequential convex pari-mutuel mechanisms (SCPM). These mechanisms have different formulations and are usually implemented in different ways.

In this work, we develop a unified framework that bridges these seemingly unrelated models together. We show that our unified framework subsumes these previous mechanisms and have all the desirable properties for designing a prediction market. These properties include efficient price updating, truthfulness, properness, easily computable bounds on worst case loss and a risk interpretation for the market organizer. As a result, we use our unified framework to design new mechanism that satisfy all the nice properties at the same time.

This is a joint work with Shipra Agrawal, Erick Delage, Mark Peters, and Yinyu Ye


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Biography:
　

Zizhuo Wang had his B.S in Mathematics from Tsinghua University, and now is a Ph.D student in Department of Management Science & Engineering at Stanford University. His current research interest is in optimization with applications in economics and finance.


************************* ALL ARE WELCOME ************************

　

　

　

Host

:

Prof. Man-Cho Anthony So

Tel

:

(852) 2609-8477

Email

:

manchoso@se.cuhk.edu.hk

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk

　

　

　

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