On convergence of forecasts in prediction markets

Nina Badulina, Dmitry Shatilovich and Mikhail Zhitlukhin

Papers from arXiv.org

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.

Date: 2024-02
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