ミズヤマ ハジメ   MIZUYAMA Hajime
  水山 元
   所属   青山学院大学  理工学部 経営システム工学科
   職種   教授
言語種別 英語
発行・発表の年月 2010
形態種別 学術雑誌
査読 査読有り
標題 Experimental Testing of Prediction Market System Using VIPS, Gaussian Price Density and a Weighted-Average Type Market Maker
執筆形態 共同
掲載誌名 日本経営工学会論文誌
巻・号・頁 pp.342-350
著者・共著者 M. Ueda, K. Asada and Y. Tagaya
概要 This paper develops a pilot prediction market system and studies whether or not it functions as a demand forecasting tool. The system uses variable-interval prediction security (VIPS) as the prediction security to be traded in the market. Furthermore, it possesses a computerized market maker that evaluates each unit of VIPS with a Gaussian price density and updates the price density function through a simple weighted-average logic according to the transactions in the market. Laboratory experiments on a virtual demand forecasting problem are conducted to study how the prediction market system functions with only a small number of participants and on what parameters the performance of the system mainly depends. The system provides satisfactory results in some cases as compared to a statistical method. However, in other cases, quasi-arbitrage opportunities brought about by the simple market maker logic used in the pilot system are discovered and exploited by some participants, and this damages the performance of the system. We also discuss how this problem can be resolved.