Gaming Dynamic Parimutuel Markets

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Gaming Dynamic Parimutuel Markets

Show simple item record Lin, Qianya Chen, Yiling 2012-09-05T19:37:38Z 2009
dc.identifier.citation Lin, Qianya and Yiling Chen. 2009. Gaming Dynamic Parimutuel Markets. In Internet and Network Economics, 5th International Workshop, WINE 2009, Rome, Italy December 2009 Proceedings, ed. Stefano Leonardi. Berlin/Heidelberg: Springer-Verlag. Lecture Notes in Computer Science 5929: 623-631. en_US
dc.identifier.isbn 978-3-642-10840-2 en_US
dc.description.abstract We study the strategic behavior of risk-neutral non-myopic agents in Dynamic Parimutuel Markets (DPM). In a DPM, agents buy or sell shares of contracts, whose future payff in a particular state depends on aggregated trades of all agents. A forward-looking agent hence takes into consideration of possible future trades of other agents when making its trading decision. In this paper, we analyze non-myopic strategies in a two-outcome DPM under a simple model of incomplete information and examine whether an agent will truthfully reveal its information in the market. Specifically, we first characterize a single agent’s optimal trading strategy given the payoff uncertainty. Then, we use a two-player game to examine whether an agent will truthfully reveal its information when it only participates in the market once. We prove that truthful betting is a Nash equilibrium of the two-stage game in our simple setting for uniform initial market probabilities. However, we show that there exists some initial market probabilities at which the first player has incentives to mislead the other agent in the two-stage game. Finally, we briefly discuss when an agent can participate more than once in the market whether it will truthfully reveal its information at its first play in a three-stage game. We find that in some occasions truthful betting is not a Nash equilibrium of the three-stage game even for uniform initial market probabilities. en_US
dc.description.sponsorship Engineering and Applied Sciences en_US
dc.language.iso en_US en_US
dc.publisher Springer-Verlag en_US
dc.relation.isversionof doi:10.1007/978-3-642-10841-9_64
dc.relation.hasversion en_US
dash.license OAP
dc.title Gaming Dynamic Parimutuel Markets en_US
dc.type Monograph or Book en_US
dc.description.version Accepted Manuscript en_US Chen, Yiling 2012-09-05T19:37:38Z

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