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題名 以多代理人系統模擬風險與聲譽變數於預測市場之成效研究
A multi-agent simulation and performance analysis with risk and reputation in prediction market system
作者 呂一軒
貢獻者 劉吉軒
呂一軒
關鍵詞 多代理人系統
預測市場
Multi-agent system
Prediction market
日期 2010
上傳時間 5-Oct-2011 16:18:38 (UTC+8)
摘要 對於現有文獻中討論的預測市場模型，嘗試加入風險與聲譽變數，觀察與分析其成效，並參考文獻中的代理人系統實驗方法，對論文中相關部分進行修正、設計並模擬之預測市場模型。
In this research, we proposed two variables that could be incorporated with prediction
markets: Reputation and Risk. Instead of attracting new players, The reputation system
could stop losing bankrupted player, Player willing to help bankrupted player will gain
reputation, and bankrupted player will lose reputation. Previous works suggest longshot
bias is related to the risk-neutrality of players. Our approach is to experiment di erent
risk distribution. We observe the impact of these variables in an agent-based model
of prediction markets. We use zero-intelligence agents, where human qualities such as
maximizing prot, learning or obeserving are missing. We further discuss the result, and
the impact of risk and reputation.
參考文獻 [1] Hollywood stock exchange. http://www.hsx.com.
[2] Intrade. http://www.intrade.com.
[3] Iowa electronic market. http://tippie.uiowa.edu/iem.
[4] Yahoo buzz. http://buzz.research.yahoo.com.
[5] A.J. Bagnall and I.E. Toft. Zero intelligence plus and gjerstad-dickhaut agents for
sealed bid auctions. In Workshop on Trading Agent Design and Analysis, part of
international conference on autonomous agents and multiagent systems (AAMAS-
2004), pages 59{64, 2004.
[6] Y. Chen. Markets as an information aggregation mechanism for decision support.
PhD thesis, The Pennsylvania State University, 2005.
[7] J. Feigenbaum, L. Fortnow, D.M. Pennock, and R. Sami. Computation in a dis-
tributed information market. In Proceedings of the 4th ACM conference on Electronic
commerce, pages 156{165. ACM, 2003.
[8] S. Gjerstad. Risk aversion, beliefs, and prediction market equilibrium. Microeco-
nomics, 2005.
[9] S. Gjerstad and J. Dickhaut. Price formation in double auctions. E-Commerce
Agents, pages 106{134, 2001.
[10] D.K. Gode and S. Sunder. Allocative e ciency of markets with zero-intelligence
traders: Market as a partial substitute for individual rationality. Journal of Political
Economy, 101(1):119{137, 1993.
[11] R.W. Hahn and P.C. Tetlock. Information markets: A new way of making decisions.
AEI Press, 2006.
[12] C. Hall. Prediction Markets: Issues and Applications. The Journal of Prediction
Markets, 4(1):27{58, 2010.
[13] R. Hanson. Combinatorial information market design. Information Systems Fron-
tiers, 5(1):107{119, 2003.
[14] J. Jumadinova and P. Dasgupta. Stochastic Game-based Multi-Agent Prediction
Markets. 2010. Techinical Report.
[15] C.F. Manski. Interpreting the predictions of prediction markets. Economics Letters,
91(3):425{429, 2006.
[16] H. Mizuyama and E. Kamada. A prediction market system for aggregating dis-
persed tacit knowledge into a continuous forecasted demand distribution. Advances
in Production Management Systems, pages 197{204, 2007.
[17] A. Othman. Zero-intelligence agents in prediction markets. In Proceedings of the 7th
international joint conference on Autonomous agents and multiagent systems-Volume
2, pages 879{886. International Foundation for Autonomous Agents and Multiagent
Systems, 2008.
[18] D.M. Pennock. A dynamic pari-mutuel market for hedging, wagering, and informa-
tion aggregation. In Proceedings of the 5th ACM conference on Electronic commerce,
pages 170{179. ACM, 2004.
[19] D.M. Pennock and R. Sami. Computational aspects of prediction markets. Algorith-
mic Game Theory, pages 651{674, 2007.
[20] E. Servan-Schreiber, J.Wolfers, D.M. Pennock, and B. Galebach. Prediction markets:
Does money matter? Electronic Markets, 14(3):243{251, 2004.
[21] J.J. Tseng, C.H. Lin, C.T. Lin, S.C. Wang, and S.P. Li. Statistical properties of
agent-based models in markets with continuous double auction mechanism. Physica
A: Statistical Mechanics and its Applications, 389(8):1699{1707, 2010.
[22] G. Tziralis and I. Tatsiopoulos. Prediction markets: An extended literature review.
The Journal of Prediction Markets, 1(1):75{91, 2007.
[23] J. Wolfers and E. Zitzewitz. Prediction markets. Journal of Economic Perspectives,
18(2):107{126, 2004.
[24] J. Wolfers and E. Zitzewitz. Five open questions about prediction markets. The
National Bureau of Economic Research Working Paper, 2006.
[25] J. Wolfers and E. Zitzewitz. Interpreting prediction market prices as probabilities.
The National Bureau of Economic Research Working Paper, 2006.
描述 碩士
國立政治大學
資訊科學學系
97753013
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097753013
資料類型 thesis
dc.contributor.advisor 劉吉軒zh_TW
dc.contributor.author (Authors) 呂一軒zh_TW
dc.creator (作者) 呂一軒zh_TW
dc.date (日期) 2010en_US
dc.date.accessioned 5-Oct-2011 16:18:38 (UTC+8)-
dc.date.available 5-Oct-2011 16:18:38 (UTC+8)-
dc.date.issued (上傳時間) 5-Oct-2011 16:18:38 (UTC+8)-
dc.identifier (Other Identifiers) G0097753013en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/51472-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 資訊科學學系zh_TW
dc.description (描述) 97753013zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 對於現有文獻中討論的預測市場模型，嘗試加入風險與聲譽變數，觀察與分析其成效，並參考文獻中的代理人系統實驗方法，對論文中相關部分進行修正、設計並模擬之預測市場模型。zh_TW
dc.description.abstract (摘要) In this research, we proposed two variables that could be incorporated with prediction
markets: Reputation and Risk. Instead of attracting new players, The reputation system
could stop losing bankrupted player, Player willing to help bankrupted player will gain
reputation, and bankrupted player will lose reputation. Previous works suggest longshot
bias is related to the risk-neutrality of players. Our approach is to experiment di erent
risk distribution. We observe the impact of these variables in an agent-based model
of prediction markets. We use zero-intelligence agents, where human qualities such as
maximizing prot, learning or obeserving are missing. We further discuss the result, and
the impact of risk and reputation.		en_US
dc.description.tableofcontents 1 Introduction 1
1.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Issues of Prediction Market Systems . . . . . . . . . . . . . . . . . . . . . . 2
1.3 Agents and Prediction Markets . . . . . . . . . . . . . . . . . . . . . . . . 3
1.4 Research Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.5 Thesis Organization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2 Literature Review 6
2.1 Prediction Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.1.1 Evolution of Prediction Markets . . . . . . . . . . . . . . . . . . . . 7
2.1.2 Implementations and Experiments . . . . . . . . . . . . . . . . . . . 8
2.2 Multi-Agent System for Simulating Prediction Markets . . . . . . . . . . . 8
2.2.1 Zero-Intelligence Agents in Prediction Markets . . . . . . . . . . . . 9
2.2.2 Non-ZI Agents versus ZI agents . . . . . . . . . . . . . . . . . . . . 9
3 Methodology 11
3.1 Prediction Market Modeling . . . . . . . . . . . . . . . . . . . . . . . . . . 11
3.1.1 Information Structure . . . . . . . . . . . . . . . . . . . . . . . . . 13
3.1.2 Market Mechanism . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
3.1.3 Trader Behavior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.2 Reputation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.3 Risk Parameter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
3.4 Populating Agents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.5 Experiments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.5.1 Control set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.5.2 Risk only set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3.5.3 Reputation only set . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3.5.4 Reputation and Risk set . . . . . . . . . . . . . . . . . . . . . . . . 21
4 Simulation Results 23
4.1 Performance metrics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
4.2 Experiment results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
4.2.1 Control experiments . . . . . . . . . . . . . . . . . . . . . . . . . . 25
4.2.2 Risk-only experiments . . . . . . . . . . . . . . . . . . . . . . . . . 28
4.2.3 Reputation-only experiments . . . . . . . . . . . . . . . . . . . . . . 30
4.2.4 Risk and Reputation experiments . . . . . . . . . . . . . . . . . . . 32
4.3 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
5 Conclusions 36
5.1 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
5.2 Future Works . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Bibliography 38
Appendix 41
A Figures of experiments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
A.1 Control experiments . . . . . . . . . . . . . . . . . . . . . . . . . . 41
A.2 Risk-only experiments . . . . . . . . . . . . . . . . . . . . . . . . . 42
A.3 Reputation-only experiments . . . . . . . . . . . . . . . . . . . . . . 43
A.4 Risk and reputation experiments . . . . . . . . . . . . . . . . . . . 44		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097753013en_US
dc.subject (關鍵詞) 多代理人系統zh_TW
dc.subject (關鍵詞) 預測市場zh_TW
dc.subject (關鍵詞) Multi-agent systemen_US
dc.subject (關鍵詞) Prediction marketen_US
dc.title (題名) 以多代理人系統模擬風險與聲譽變數於預測市場之成效研究zh_TW
dc.title (題名) A multi-agent simulation and performance analysis with risk and reputation in prediction market systemen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) [1] Hollywood stock exchange. http://www.hsx.com.zh_TW
dc.relation.reference (參考文獻) [2] Intrade. http://www.intrade.com.zh_TW
dc.relation.reference (參考文獻) [3] Iowa electronic market. http://tippie.uiowa.edu/iem.zh_TW
dc.relation.reference (參考文獻) [4] Yahoo buzz. http://buzz.research.yahoo.com.zh_TW
dc.relation.reference (參考文獻) [5] A.J. Bagnall and I.E. Toft. Zero intelligence plus and gjerstad-dickhaut agents forzh_TW
dc.relation.reference (參考文獻) sealed bid auctions. In Workshop on Trading Agent Design and Analysis, part ofzh_TW
dc.relation.reference (參考文獻) international conference on autonomous agents and multiagent systems (AAMAS-zh_TW
dc.relation.reference (參考文獻) 2004), pages 59{64, 2004.zh_TW
dc.relation.reference (參考文獻) [6] Y. Chen. Markets as an information aggregation mechanism for decision support.zh_TW
dc.relation.reference (參考文獻) PhD thesis, The Pennsylvania State University, 2005.zh_TW
dc.relation.reference (參考文獻) [7] J. Feigenbaum, L. Fortnow, D.M. Pennock, and R. Sami. Computation in a dis-zh_TW
dc.relation.reference (參考文獻) tributed information market. In Proceedings of the 4th ACM conference on Electroniczh_TW
dc.relation.reference (參考文獻) commerce, pages 156{165. ACM, 2003.zh_TW
dc.relation.reference (參考文獻) [8] S. Gjerstad. Risk aversion, beliefs, and prediction market equilibrium. Microeco-zh_TW
dc.relation.reference (參考文獻) nomics, 2005.zh_TW
dc.relation.reference (參考文獻) [9] S. Gjerstad and J. Dickhaut. Price formation in double auctions. E-Commercezh_TW
dc.relation.reference (參考文獻) Agents, pages 106{134, 2001.zh_TW
dc.relation.reference (參考文獻) [10] D.K. Gode and S. Sunder. Allocative e ciency of markets with zero-intelligencezh_TW
dc.relation.reference (參考文獻) traders: Market as a partial substitute for individual rationality. Journal of Politicalzh_TW
dc.relation.reference (參考文獻) Economy, 101(1):119{137, 1993.zh_TW
dc.relation.reference (參考文獻) [11] R.W. Hahn and P.C. Tetlock. Information markets: A new way of making decisions.zh_TW
dc.relation.reference (參考文獻) AEI Press, 2006.zh_TW
dc.relation.reference (參考文獻) [12] C. Hall. Prediction Markets: Issues and Applications. The Journal of Predictionzh_TW
dc.relation.reference (參考文獻) Markets, 4(1):27{58, 2010.zh_TW
dc.relation.reference (參考文獻) [13] R. Hanson. Combinatorial information market design. Information Systems Fron-zh_TW
dc.relation.reference (參考文獻) tiers, 5(1):107{119, 2003.zh_TW
dc.relation.reference (參考文獻) [14] J. Jumadinova and P. Dasgupta. Stochastic Game-based Multi-Agent Predictionzh_TW
dc.relation.reference (參考文獻) Markets. 2010. Techinical Report.zh_TW
dc.relation.reference (參考文獻) [15] C.F. Manski. Interpreting the predictions of prediction markets. Economics Letters,zh_TW
dc.relation.reference (參考文獻) 91(3):425{429, 2006.zh_TW
dc.relation.reference (參考文獻) [16] H. Mizuyama and E. Kamada. A prediction market system for aggregating dis-zh_TW
dc.relation.reference (參考文獻) persed tacit knowledge into a continuous forecasted demand distribution. Advanceszh_TW
dc.relation.reference (參考文獻) in Production Management Systems, pages 197{204, 2007.zh_TW
dc.relation.reference (參考文獻) [17] A. Othman. Zero-intelligence agents in prediction markets. In Proceedings of the 7thzh_TW
dc.relation.reference (參考文獻) international joint conference on Autonomous agents and multiagent systems-Volumezh_TW
dc.relation.reference (參考文獻) 2, pages 879{886. International Foundation for Autonomous Agents and Multiagentzh_TW
dc.relation.reference (參考文獻) Systems, 2008.zh_TW
dc.relation.reference (參考文獻) [18] D.M. Pennock. A dynamic pari-mutuel market for hedging, wagering, and informa-zh_TW
dc.relation.reference (參考文獻) tion aggregation. In Proceedings of the 5th ACM conference on Electronic commerce,zh_TW
dc.relation.reference (參考文獻) pages 170{179. ACM, 2004.zh_TW
dc.relation.reference (參考文獻) [19] D.M. Pennock and R. Sami. Computational aspects of prediction markets. Algorith-zh_TW
dc.relation.reference (參考文獻) mic Game Theory, pages 651{674, 2007.zh_TW
dc.relation.reference (參考文獻) [20] E. Servan-Schreiber, J.Wolfers, D.M. Pennock, and B. Galebach. Prediction markets:zh_TW
dc.relation.reference (參考文獻) Does money matter? Electronic Markets, 14(3):243{251, 2004.zh_TW
dc.relation.reference (參考文獻) [21] J.J. Tseng, C.H. Lin, C.T. Lin, S.C. Wang, and S.P. Li. Statistical properties ofzh_TW
dc.relation.reference (參考文獻) agent-based models in markets with continuous double auction mechanism. Physicazh_TW
dc.relation.reference (參考文獻) A: Statistical Mechanics and its Applications, 389(8):1699{1707, 2010.zh_TW
dc.relation.reference (參考文獻) [22] G. Tziralis and I. Tatsiopoulos. Prediction markets: An extended literature review.zh_TW
dc.relation.reference (參考文獻) The Journal of Prediction Markets, 1(1):75{91, 2007.zh_TW
dc.relation.reference (參考文獻) [23] J. Wolfers and E. Zitzewitz. Prediction markets. Journal of Economic Perspectives,zh_TW
dc.relation.reference (參考文獻) 18(2):107{126, 2004.zh_TW
dc.relation.reference (參考文獻) [24] J. Wolfers and E. Zitzewitz. Five open questions about prediction markets. Thezh_TW
dc.relation.reference (參考文獻) National Bureau of Economic Research Working Paper, 2006.zh_TW
dc.relation.reference (參考文獻) [25] J. Wolfers and E. Zitzewitz. Interpreting prediction market prices as probabilities.zh_TW
dc.relation.reference (參考文獻) The National Bureau of Economic Research Working Paper, 2006.zh_TW