{"title":"On convergence of forecasts in prediction markets","authors":"Nina Badulina, Dmitry Shatilovich, Mikhail Zhitlukhin","doi":"arxiv-2402.16345","DOIUrl":null,"url":null,"abstract":"We propose a dynamic model of a prediction market in which agents predict the\nvalues of a sequence of random vectors. The main result shows that if there are\nagents who make correct (or asymptotically correct) next-period forecasts, then\nthe aggregated market forecasts converge to the next-period conditional\nexpectations of the random vectors.","PeriodicalId":501084,"journal":{"name":"arXiv - QuantFin - Mathematical Finance","volume":"81 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2402.16345","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We propose a dynamic model of a prediction market in which agents predict the
values of a sequence of random vectors. The main result shows that if there are
agents who make correct (or asymptotically correct) next-period forecasts, then
the aggregated market forecasts converge to the next-period conditional
expectations of the random vectors.
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