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ANC Workshop: Jinli Hu, Chair: Nikos Gekas

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What
  • ANC Workshop Talk
When Jun 17, 2014
from 11:00 AM to 12:00 PM
Where IF 4.31/4.33
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Multi-period trading prediction markets with connections to machine learning

Abstract: We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice of modelling approach enables us to show that the whole market approaches a global objective, despite the fact that the market is designed such that each agent only cares about its own goal. In addition, the market dynamic provides a sensible algorithm for optimising the global objective. An intimate connection between machine learning and our markets is thus established, such that we could 1) analyse a market by applying machine learning methods to the global objective; and 2) solve machine learning problems by setting up and running certain markets.

More info: I would like to make this talk as a practice talk for ICML (which lasts 15 mins), so please allow me to split the talk into two parts, 15 mins for each. I will try to give a complete presentation in the first part, and then add extra bits in the second half.