On convergence of forecasts in prediction markets
Probability
2024-02-27 v1 Mathematical Finance
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.
Keywords
Cite
@article{arxiv.2402.16345,
title = {On convergence of forecasts in prediction markets},
author = {Nina Badulina and Dmitry Shatilovich and Mikhail Zhitlukhin},
journal= {arXiv preprint arXiv:2402.16345},
year = {2024}
}