ICES: Small: New and Better Markets via Automated Market Making

ICES：小型：通过自动化做市创造新的、更好的市场

• 批准号: 1101668
• 负责人: Tuomas Sandholm
• 金额: $ 32.43万
• 依托单位: Carnegie-Mellon University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2011
• 资助国家: 美国
• 起止时间: 2011-05-01 至 2014-04-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1101668&HistoricalAwards=false
• 关键词: ICES; Small; New; Better; Markets

Automated market makers are algorithmic agents that provide liquidity within markets. They provide a vehicle to create markets - for trade, risk hedging, speculation, or information aggregation - that might not otherwise exist. This project applies to binary-payout markets: prediction markets, weather insurance, sports betting, important options markets, credit default swaps, etc. Research on automated market makers will enable new kinds of markets: combinatorial markets, markets with continuous event spaces, and decision markets (where a principal uses a market to decide on a course of action). The project will also study how to better facilitate trade in existing markets. The PI plans to develop better liquidity-sensitive market makers in a novel framework. He also plans to study settings in which the market maker has a good prior over event likelihoods and to test how sensitive a market maker - even with a perfect prior - should be to unbalanced exposure risk. Finally, the PI plans to test a range of market makers on data from widely-traded options contracts. This will validate the approach beyond prediction markets.In regular prediction markets, the increased liquidity from automated market making improves predictions; in combinatorial ones, it enables the market. One of the most popular uses of prediction markets is internal markets for corporations. Better prediction markets mean that companies will perform better. Prediction markets can be anonymous, enabling people who may be outsiders in traditional deliberative processes to have considerable weight in decision making, as long as they have quality insights.The markets to which the research potentially applies range all the way to the world's largest markets. Even small improvements from this research can thus have vast economic benefits. Better market making increases liquidity, so the social welfare in the system increases due to better allocations. The research focuses on making the market mechanisms better rather than making any one trader's strategy better; thus the benefits will be distributed broadly among market participants. Replacing human market makers with automated ones also has other advantages: higher speed, no human errors, and avoidance of intentional misbehavior. The proposed work will increase the adopters' competitiveness; the first adopters will likely be US based, yielding US competitiveness in particular.

自动做市商是在市场内提供流动性的算法代理。它们提供了一种创造市场的工具--用于贸易、风险对冲、投机或信息汇总--否则这些市场可能不存在。 该项目适用于二元支付市场：预测市场，天气保险，体育博彩，重要的期权市场，信用违约掉期等自动做市商的研究将使新类型的市场：组合市场，连续事件空间的市场和决策市场（其中一个主要使用市场来决定行动方针）。 该项目还将研究如何更好地促进现有市场的贸易。PI计划在一个新的框架中开发更好的流动性敏感的做市商。他还计划研究做市商对事件可能性具有良好先验的情况，并测试做市商（即使具有完美先验）对不平衡暴露风险的敏感程度。最后，PI计划根据广泛交易的期权合约的数据对一系列做市商进行测试。这将验证超越预测市场的方法。在常规预测市场中，自动化市场决策增加的流动性改善了预测;在组合市场中，它使市场成为可能。预测市场最流行的用途之一是公司的内部市场。 更好的预测市场意味着公司将表现得更好。预测市场可以是匿名的，这使得那些在传统的审议过程中可能是局外人的人在决策过程中拥有相当大的影响力，只要他们有高质量的见解。 因此，即使是这项研究的微小改进也可以产生巨大的经济效益。更好的做市行为增加了流动性，因此系统中的社会福利由于更好的分配而增加。研究的重点是使市场机制更好，而不是使任何一个交易者的策略更好，因此，利益将广泛分布在市场参与者。用自动化做市商取代人工做市商还有其他优势：速度更快，没有人为错误，避免故意的不当行为。 拟议的工作将提高采用者的竞争力;第一批采用者可能是美国人，特别是美国的竞争力。