政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/51472

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/51472

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政大機構典藏 > 資訊學院 > 資訊科學系 > 學位論文 > Item 140.119/51472

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/51472

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:	2011-10-05 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
顯示於類別:	[資訊科學系] 學位論文

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