## markets

Citations: | 1 - 0 self |

### BibTeX

@MISC{Chen_markets,

author = {Yiling Chen and Tracy Mullen and Chao-hsien Chu},

title = {markets},

year = {}

}

### OpenURL

### Abstract

with aggregate uncertainty

### Citations

1050 | Efficient capital markets: A review of theory and empirical work - Fama - 1970 |

636 | The Use of Knowledge in - Hayek - 1945 |

443 |
Agreeing to Disagree
- Aumann
- 1976
(Show Context)
Citation Context ...kets as restricted market games. We try to examine whether information markets converge to an equilibrium at which all information is aggregated as at fully revealing REE. Dating back to 1976, Aumann =-=[4]-=- presents the formal definition of common knowledge and studies how two people with asymmetric information agree with each other. Aumann proves that if two people have the same priors, and their poste... |

224 | Recovering Probability Distributions from Option Prices - Jackwerth, Rubinstein - 1996 |

218 | Combining probability distributions: a critique and an annotated bibliography - Genest, Zidek - 1986 |

122 | Trade using one commodity as a means of payment - Shapley, Shubik - 1977 |

103 | Anomalies: Parimutuel Betting Markets: Racetracks And Lotteries - Thaler, Ziemba - 1988 |

96 | Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices.” Econometrica 47 - Radner - 1979 |

91 |
We Can’t Disagree Forever
- Geanakoplos, Polemarchakis
- 1982
(Show Context)
Citation Context ...e common knowledge, then these posteriors must be equal. However, it is very rare that two people can have common knowledge about their posteriors at the very beginning. Geanakoplos and Polemarchakis =-=[22]-=- extend Aumann’s work by demonstrating that if two people with common priors successively announce their posteriors to each other, eventually this leads to a situation of common knowledge where their ... |

78 | An Introduction to the Theory of Rational Expectations under Asymmetric Information - Grossman - 1981 |

70 | Prediction markets as decision support systems - Berg, Rietz |

56 | Wishes, Expectations and Actions: a Survey on Price Formation in Election Stock Markets - Forsythe, Rietz, et al. - 1999 |

41 |
Generic Existence of Completely Revealing Equilibria for Economies with Uncertainty when Prices Convey
- Allen
- 1981
(Show Context)
Citation Context ..., s2,...,sm) ∈ S is a state vector of m dimensions. Assume there are n traders in the market, where all traders have a common prior probability distribution regarding to state of the world, P(s): S → =-=[0, 1]-=-. The trader’s information space is X. Each trader i = 1,...,n gets a piece of information xi about the state of the world, where x = (x1, x2,...,xn) ∈ X is the information vector for all traders. Tra... |

34 | Forecaster diversity and the benefits of combining forecasts.” Management Science 41 - Batchelor, Dua - 1995 |

34 | Extracting Collective Probabilistic Forecasts from Web Games - Pennock, Lawrence, et al. - 2001 |

31 |
The revelation of information in strategic market games: A critique of rational expectations equilibrium
- Dubey, Geanakoplos, et al.
- 1987
(Show Context)
Citation Context ...oes not consider how information flows into the market. Second, there is no incentive for individuals to gather costly private information since it is going to be reflected in the price. Dubey et al. =-=[10]-=- proposed market games to overcome the difficulties of REE models. Our work, due to its purpose of investigating convergence properties of information markets, models information markets as restricted... |

29 | Information incorporation in online in-game sports betting markets - Debnath, Pennock, et al. |

26 |
Common knowledge of an aggregate expectations
- Nielsen, Brandenburger, et al.
- 1990
(Show Context)
Citation Context ... only require successively announcing an aggregate statistic of individuals’ posteriors. When this statistic eventually becomes common knowledge, all posteriors of n persons are equal. Nielsen et al. =-=[34]-=- contribute by extending the conditional probability (posterior) to the case of conditional expectation. The above mentioned papers study how people disagree with each other can eventually reach an ag... |

23 | Aggregating subjective forecasts: Some empirical results - Ashton, Ashton - 1985 |

22 | 2005), “Computation in a distributed information market
- Feigenbaum, Fortnow, et al.
(Show Context)
Citation Context ... process? 3. What is the best possible equilibrium for an information market? 4. Is an information market guaranteed to converge to the best possible equilibrium? In an early study, Feigenbaum et al. =-=[14]-=- examined properties of information markets. However, their model does not allow for aggregate uncertainty. Aggregate uncertainty occurs when even if information of all traders is pooled together, the... |

14 | Information Aggregation in an Experimental - Forsythe, Lundholm - 1990 |

13 |
What Affects the Efficiency of a Market? Some Answers from the Laboratory. The Accounting Review
- Lundholm
- 1991
(Show Context)
Citation Context ...ed with certainty. Their results demonstrate that market structure is important for information aggregation. Only with appropriate market structure can markets aggregate diverse information. Lundholm =-=[30]-=- examines the effect of aggregate uncertainty and finds that markets aggregate information less efficiently when there is greater aggregate uncertainty. Forsythe and Lundholm [15] study the effect of ... |

12 |
Experimental Asset Markets: A
- Sunder
- 1995
(Show Context)
Citation Context ...asset structure and information aggregation ability of the market. Their results show that information aggregation ability decreases when asset structure of the market is sufficiently complex. Sunder =-=[42]-=- extensively summarizes experimental work on information aggregation. He concludes that the difficulties of the state of research are to understanding what factors facilitate or prevent information ag... |

10 | Forecasting elections: A market alternative to polls - NELSON, NEUMANN, et al. - 1991 |

7 |
A simple characterization of stochastically monotone functions
- Bergin, Brandenburger
- 1990
(Show Context)
Citation Context ... R n → R is stochastically regular, if it can be written in the form g = l ◦ g ′ , where g ′ is stochastically monotone and l is invertible on the range of g ′ . According to Bergin and Brandenburger =-=[8]-=-, a function g : R n → R is stochastically monotone if it can be written in the form g(x) = ∑ n i=1 gi(xi), where each gi : R → R is strictly increasing. By mapping the settings of the theorems to our... |

6 | Strict rational expectations equilibria with diffuseness - Allen - 1982 |

5 | Results from a Dozen Years - Berg, Forsythe, et al. - 2001 |

5 |
Prediction markets. Journal of Economic Perspective, 18(2):107–126, 2004. Proof of Theorem 3 Theorem 3. A decision market (D, S), where S is regular and D has full support, is (strictly) proper if Sa,o(d, P ) = 1 ( ′ ′ G(P ) − G (P ) : P + |A|G da|A| a,o(
- Wolfers, Zitzewitz
(Show Context)
Citation Context ...ctors affect performance of information markets? Such design issues arise from both theoretical results and empirical experience of information markets. Spann and Skiera [41] and Wolfer and Zitzewitz =-=[45]-=- have begun to consider design issues of information markets, including specification of securities, incentives for participation and information revelation, and mechanisms to match buyers with seller... |

4 | Group consensus probability distributions - French - 1985 |

4 | The Nonexistence of Rational Expectations Equilibrium: A Robust Example,” mimeo - Jordan, Radner - 1979 |

3 |
Rational Expectations in Microeconomic Models
- Jordan
- 1982
(Show Context)
Citation Context ...l market traders. Traders’ actions are based on all revealed information. Much work has been done to examine the existence and stability of REE [Allen, 1–2; Jordan and Radner, 29; Radner, 39]. Jordan =-=[28]-=- provides a more detailed and complete review of REE models used in microeconomics. However, REE models are criticized for two paradoxes that they imply [Dubey et al., 10]. First, how can market trade... |

3 |
Common Knowledge
- McKelvey, Page
- 1986
(Show Context)
Citation Context ...hat if two people with common priors successively announce their posteriors to each other, eventually this leads to a situation of common knowledge where their posteriors are equal. McKelvey and Page =-=[32]-=- generalize the previous results to n persons and only require successively announcing an aggregate statistic of individuals’ posteriors. When this statistic eventually becomes common knowledge, all p... |

1 | Stock Markets with Multiple Assets: An Experimental Analysis - O’Brien, Srivastava - 1991 |