A New Understanding of Prediction Markets Via No-Regret Learning

@inproceedings{Chen2010ANU,
  title={A New Understanding of Prediction Markets Via No-Regret Learning},
  author={Yiling Chen and Jennifer Wortman Vaughan},
  booktitle={EC},
  year={2010}
}
We explore the striking mathematical connections that exist between market scoring rules, cost function based prediction markets, and no-regret learning. We first show that any cost function based prediction market can be interpreted as an algorithm for the commonly studied problem of learning from expert advice by equating the set of outcomes on which bets are placed in the market with the set of experts in the learning setting, and equating trades made in the market with losses observed by… CONTINUE READING
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