意见动态解释价格形成在预测市场的预测市场
Valerio Restocchi1, Frank McGroarty2, Enrico Gerding3
1School of Informatics, The University of Edinburgh, Edinburgh EH8 9AB, UK.
Entropy (Basel, Switzerland)
|August 26, 2023
概括
本研究引入了一种新的预测市场模型,该模型结合了社交网络论动态. 调查结果显示,这种模型准确地复制了现实世界的市场行为,突出显示了代理意见差异的重要性.
科学领域:
- 计算社会科学 计算社会科学
- 经济建模经济建模
- 网络动态 网络动态
背景情况:
- 预测市场是公认的预测工具,但现有的模型往往过于简化了它们复杂的价格动态.
- 了解驱动市场行为的复杂机制对于提高预测准确性至关重要.
研究的目的:
- 开发和验证一个新的预测市场模型,集成社交网络意见动态.
- 探索代理互动和意见形成如何影响市场价格行为和经验性质.
主要方法:
- 开发了一个计算模型,在这个模型中,有意见的代理人在社交网络中互动,通过Deffuant模型更新信念.
- 代理商的意见在模拟预测市场中为他们的投注策略提供信息.
- 来自PredictIt交换平台的历史数据被用于模型验证.
主要成果:
- 拟议的模型成功地复制了预测市场时间序列的关键实证属性,例如波动性聚类和脂肪尾回报分布.
- 当代理人的意见表现出特定水平的差异时,观察到最优的市场行为.
- 该研究展示了一种新的方法,用于使用现实世界的预测市场数据验证论动态模型.
结论:
- 将意见形成动态整合到预测市场模型中,提高了它们捕捉现实世界复杂性的能力.
- 当在社交网络环境中应用时,Deffuant观点动态模型为理解市场行为提供了一个强大的框架.
- 这项研究提供了一种新的方法来验证社会影响模型,使用来自预测交易所的经验金融数据.
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