What you jointly know determines how you act: strategic interactions in prediction markets
What you jointly know determines how you act: strategic interactions in prediction markets
复制标题
你们共同了解的知识决定了你们的行为：预测市场中的战略互动
DOI：
10.1145/2482540.2482592
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Yiling Chen
中科院分区：
文献类型：
--
作者：
X. Gao;Jie Zhang;Yiling Chen
预测市场的主要目标是获取和汇总有关未来感兴趣事件的信息。能否很好地实现这一目标取决于自利市场参与者的行为，这些行为不仅受到他们的私人信息的关键影响，而且还受到他们对他人私人信息的了解，换句话说，市场参与者的信息结构。在本文中，我们使用现在经典的对数市场评分规则(LMSR)将预测市场建模为一个扩展形式的贝叶斯博弈，目的是理解和刻画不同信息结构下市场的博弈论均衡。前人的工作表明，当参与者的信息独立于事件的实现结果时，在这种情况下，唯一的均衡类型是每个参与者竞相诚实地尽快披露他们的私人信息，这是市场信息聚集目标的最理想结果。本文考虑了剩余的两类信息结构：参与者的信息无条件独立(I博弈)和参与者的信息既有条件又无条件依赖(D博弈)。刻画了有限个参与者和有限个阶段的I对策的唯一平衡族。在这个家庭中的任何均衡情况下，如果参与者i参与市场的最后阶段是在参与者j之后，那么参与者i只有在参与者j参与的最后阶段之后才会透露他的信息。这表明，参与者竞相推迟披露他们的信息，这可能是市场目标最不希望看到的结果。我们考虑D博弈的一个特殊情况，并对可能的均衡提出见解，如果存在的话。
The primary goal of a prediction market is to elicit and aggregate information about some future event of interest. How well this goal is achieved depends on the behavior of self-interested market participants, which are crucially influenced by not only their private information but also their knowledge of others' private information, in other words, the information structure of market participants. In this paper, we model a prediction market using the now-classic logarithmic market scoring rule (LMSR) market maker as an extensive-form Bayesian game and aim to understand and characterize the game-theoretic equilibria of the market for different information structures. Prior work has shown that when participants' information is independent conditioned on the realized outcome of the event, the only type of equilibria in this setting has every participant race to honestly reveal their private information as soon as possible, which is the most desirable outcome for the market's goal of information aggregation. This paper considers the remaining two classes of information structures: participants' information being unconditionally independent (the I game) and participants' information being both conditionally and unconditionally dependent (the D game). We characterize the unique family of equilibria for the I game with finite number of participants and finite stages. At any equilibrium in this family, if player i's last stage of participation in the market is after player j's, player i only reveals his information after player j's last stage of participation. This suggests that players race to delay revealing their information, which is probably the least desirable outcome for the market's goal. We consider a special case of the D game and cast insights on possible equilibria if one exists.