Prediction via Repeated Sequential Market Making
Mark Reid (ANU)
NICTA SML SEMINARDATE: 2012-11-01
TIME: 11:15:00 - 12:00:00
LOCATION: NICTA - 7 London Circuit
CONTACT: JavaScript must be enabled to display this email address.
ABSTRACT:
I will present some recent and ongoing work which aims to better understand the emerging theoretical relationships between prediction markets and learning algorithms. My recent NIPS paper (with Rafael Frongillo and NicolAs Della Penna) shows how a certain class of sequential market can be seen as performing stochastic mirror descent under the assumption that traders' beliefs are drawn from some fixed distribution. Furthermore, we show how the stationary point for this sequential market process matches equilibrium price for the distribution. I'll then discuss some preliminary ideas about these results might be used to generalise some recent work that draws connections between repeated interactions with a market and learning algorithms for sequential prediction. This latter part is joint work with Mindika Premachandra.
