A Decomposition of Forecast Error in Prediction Markets

    NIPS, pp. 4371-4380, 2017.

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    Abstract:

    We analyze sources of error in prediction market forecasts in order to bound the difference between a securityu0027s price and the ground truth it estimates. We consider cost-function-based prediction markets in which an automated market maker adjusts security prices according to the history of trade. We decompose the forecasting error in...More

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