Computer Science – Multiagent Systems
Scientific paper
2012-03-27
Computer Science
Multiagent Systems
20 pages, 8 figures, 2 tables
Scientific paper
We present a novel, game theoretic representation of a multi-agent prediction market using a partially observable stochastic game with information (POSGI). We then describe a correlated equilibrium (CE)-based solution strategy for this game which enables each agent to dynamically calculate the prices at which it should trade a security in the prediction market. We have extended our results to risk averse traders and shown that a Pareto optimal correlated equilibrium strategy can be used to incentively truthful revelations from risk averse agents. Simulation results comparing our CE strategy with five other strategies commonly used in similar markets, with both risk neutral and risk averse agents, show that the CE strategy improves price predictions and provides higher utilities to the agents as compared to other existing strategies.
Dasgupta Prithviraj
Jumadinova Janyl
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