Related papers: Election predictions are arbitrage-free: response …

To many statisticians and citizens, the outcome of the most recent U.S. presidential election represents a failure of data-driven methods on the grandest scale. This impression has led to much debate and discussion about how the election…

We consider the estimation of binary election outcomes as martingales and propose an arbitrage pricing when one continuously updates estimates. We argue that the estimator needs to be priced as a binary option as the arbitrage valuation…

While the polls have been the most trusted source for election predictions for decades, in the recent presidential election they were called inaccurate and biased. How inaccurate were the polls in this election and can social media beat the…

We consider mechanisms for truthfully eliciting probabilistic predictions from a group of experts. The standard approach -- using a proper scoring rule to separately reward each expert -- is not robust to collusion: experts may collude to…

"Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement. Prices…

The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory space and makes connections with the usual…

When eliciting forecasts from a group of experts, it is important to reward predictions so that market participants are incentivized to tell the truth. Existing mechanisms partially accomplish this but remain susceptible to groups of…

Probability forecasts are intended to account for the uncertainties inherent in forecasting. It is suggested that from an end-user's point of view probability is not necessarily sufficient to reflect uncertainties that are not simply the…

We explore a nuance to 'no arbitrage' in relation to 'information efficiency': acting immediately on an arbitrage is sometimes suboptimal; in such cases optimised trading can suppress the anticipation of predictable risk-outcomes, thereby…

We consider the fundamental theorem of asset pricing (FTAP) and hedging prices of options under non-dominated model uncertainty and portfolio constrains in discrete time. We first show that no arbitrage holds if and only if there exists…

This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices. The statistical analysis of such a multi-dimensional…

We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of…

We examine probabilistic forecasts for battleground states in the 2020 US presidential election, using daily data from two sources over seven months: a model published by The Economist, and prices from the PredictIt exchange. We find…

In almost every election cycle, the validity of the United States Electoral College is brought into question. The 2016 Presidential Election again brought up the issue of a candidate winning the popular vote but not winning the Electoral…

Prediction markets elicit and aggregate beliefs by paying agents based on how close their predictions are to a verifiable future outcome. However, outcomes of many important questions are difficult to verify or unverifiable, in that the…

In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the…

We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing,…

Wagering mechanisms are one-shot betting mechanisms that elicit agents' predictions of an event. For deterministic wagering mechanisms, an existing impossibility result has shown incompatibility of some desirable theoretical properties. In…

In forecasting competitions, the traditional mechanism scores the predictions of each contestant against the outcome of each event, and the contestant with the highest total score wins. While it is well-known that this traditional mechanism…