ABCDEFGHIJKLMNOPQRSTUVWXYZAAABACADAEAFAGAHAIAJAKALAMANAOAPAQARASATAUAVAWAXAYAZBABBBCBDBEBFBGBHBIBJBKBLBM
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予測市場・アイデア市場の情報性
2015/07/17 S.Ono
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Marinovic, Ottaviani, & Sorensen (2011) Modeling Idea Markets: Between Beauty Contests and Prediction Markets.
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in Williams, L.V. (ed.) "Prediction Markets: Theory and Applications", Routledge.
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参考:
読了:Marinovic, Ottaviani, & Sorensen (2011) 予測市場と美人投票のあいだで
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セッティング
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1)
エージェント i に \theta についての次の2つのシグナルが渡されている。
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y = \theta + \eta
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x_i = \theta + \epsilon_i
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\eta, \epsilon_i は互いに独立に
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\eta \sim N(0, 1/\alpha)
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\epsilon_i \sim N(0, 1/\beta)
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2)
\theta の事前分布を実数直線上の一様分布とする。
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2)
n人のエージェントに同時かつ独立に \theta を予測させる。
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エージェント i による予測を a_i, エージェント i 以外のすべてのエージェントの予測のベクトルを a_{-i} とする。
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全てのエージェントによる予測の平均 $\bar{a}_n$ を「合意予測」と呼ぶ。
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3)
各エージェントに次の報酬を支払う。[←と約束する、という意味であろう]
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u_i (\theta, a_{-i}, a_i) = -\delta(a_i - \theta)^2 - (1-\delta)(a_i - \bar{a}_n)^2
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4)
次の指標を市場の情報性と呼ぶ。
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\gamma = 1 / \var(\theta | \bar{a}_n)
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問題
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各エージェントが報酬の期待値を最大化する予測
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a_i = \phi y + (1-\phi) x_i
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を報告するとき、予測の重み \phi はどうなる? そのときの市場の情報性 \gamma は?
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答え (アミカケを変更可能)
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パラメータ\alpha1.6
共通シグナルの精度。高ければ情報性も高くなるとは限らないんだなこれが
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\beta2
個人シグナルの精度
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\delta1
報酬の重み (0: 純粋なアイデア市場, 1:純粋な予測市場)
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n100
市場の参加者数
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均衡解\phi0.444
参加者の予測に占める共通シグナルの割合 (純粋なアイデア市場では1となる)
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\gamma8.000
市場の情報性 (純粋なアイデア市場では共通シグナルの精度に等しい)
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シミュレーションで確認すると
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市場
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1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950
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合意予測 \bar{a}_n
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0.550.060.28-0.450.000.150.34-0.170.650.46-0.310.04-0.080.180.04-0.160.210.090.14-0.050.42-0.10-0.090.210.41-0.14-0.060.03-0.04-0.080.07-0.400.01-1.18-0.410.14-0.060.320.100.55-0.080.10-0.070.11-0.22-0.020.15-0.10-0.040.30
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市場の精度 (※\gammaとはちょっと違う)
合意予測の誤差 \bar{a}_n - \theta
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1/(合意予測のMSE)11.2630.550.060.28-0.450.000.150.34-0.170.650.46-0.310.04-0.080.180.04-0.160.210.090.14-0.050.42-0.10-0.090.210.41-0.14-0.060.03-0.04-0.080.07-0.400.01-1.18-0.410.14-0.060.320.100.55-0.080.10-0.070.11-0.22-0.020.15-0.10-0.040.30
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シミュレーションに使うパラメータ
共通シグナル y
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\theta01.320.070.69-1.170.140.430.78-0.381.291.14-0.520.08-0.200.39-0.04-0.290.590.230.38-0.160.86-0.21-0.390.640.97-0.37-0.110.16-0.16-0.210.18-0.970.10-2.61-0.970.31-0.060.720.391.29-0.100.21-0.150.15-0.49-0.150.38-0.23-0.010.66
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i予測値 a_i
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11.00-0.400.450.250.30-0.060.360.201.190.35-0.760.260.05-0.910.39-1.22-0.030.16-0.26-0.521.00-0.43-0.170.40-0.130.420.63-0.28-0.160.510.28-0.57-0.14-1.00-0.19-0.16-0.530.041.330.740.680.40-0.160.34-0.500.48-0.070.05-0.31-0.06
59
20.39-0.380.25-0.520.330.640.00-0.100.500.43-0.34-0.070.13-0.490.41-0.790.770.16-0.220.700.030.010.16-0.380.13-0.10-0.210.100.350.200.40-0.36-0.03-1.290.130.28-0.570.240.620.500.380.390.050.33-0.02-0.540.480.40-0.450.52
60
30.750.000.73-0.130.42-0.110.910.470.770.87-0.020.00-0.400.33-0.16-0.99-0.070.650.49-0.17-0.310.12-0.540.24-0.460.20-0.23-0.620.58-0.560.24-0.170.17-1.06-0.770.27-0.171.250.760.75-0.09-0.39-0.21-0.220.140.130.05-0.30-0.15-0.58
61
40.250.410.110.030.08-0.240.15-0.250.640.340.010.42-0.38-0.21-0.08-0.300.580.320.360.340.30-0.09-0.550.090.830.42-0.15-0.120.10-0.14-0.430.200.42-1.850.12-0.440.280.28-0.310.750.250.430.020.300.130.330.67-0.620.300.39
62
50.090.150.270.26-0.070.130.19-0.930.151.460.480.280.16-0.42-0.330.81-0.10-0.15-0.07-0.291.20-0.360.160.160.840.36-0.43-0.510.05-0.93-0.21-0.06-0.55-0.88-0.650.080.640.610.150.57-0.83-0.54-0.300.57-0.61-0.160.28-0.36-0.030.53
63
61.23-0.050.60-0.15-0.37-0.43-0.02-0.210.440.77-0.020.25-0.260.150.06-0.080.070.03-0.200.15-0.07-0.48-0.450.500.770.08-0.50-0.92-0.06-0.770.07-0.07-0.42-1.610.210.81-0.590.56-0.110.330.760.38-0.27-0.21-0.38-0.520.69-0.58-0.500.07
64
70.280.010.07-0.460.160.250.12-0.100.630.75-0.23-0.19-0.340.06-0.350.130.650.030.10-0.120.56-0.360.040.510.550.070.37-0.10-0.030.12-0.03-1.190.32-1.19-0.89-0.280.410.570.01-0.12-0.110.28-0.460.39-0.79-0.170.100.06-0.090.23
65
80.51-0.220.06-0.530.100.560.500.420.390.91-0.300.290.09-0.010.010.08-0.68-0.280.02-0.420.540.260.180.830.60-0.390.53-0.08-0.21-0.650.01-0.62-0.42-1.090.14-0.17-0.900.07-0.310.540.16-0.01-0.110.09-0.730.08-0.80-0.52-0.131.11
66
90.98-0.140.210.040.240.480.73-0.050.360.64-0.17-0.01-0.160.05-0.13-0.520.470.130.32-0.260.70-0.55-0.420.410.46-0.760.830.12-0.13-0.55-0.07-0.12-0.26-0.46-0.11-0.970.130.610.210.50-0.060.62-0.020.330.00-0.41-0.060.270.39-0.11
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100.49-0.05-0.170.020.240.250.00-0.400.580.30-0.430.590.00-0.310.42-1.08-0.440.200.23-0.330.450.670.510.100.51-0.13-0.45-0.03-0.10-0.031.04-0.290.61-1.46-0.510.26-0.090.890.090.810.270.27-0.780.160.080.38-0.50-0.220.42-0.17
68
110.510.400.13-0.780.310.320.28-0.241.211.280.00-0.20-0.77-0.590.32-0.320.42-0.150.830.030.460.64-0.090.070.190.200.72-0.030.43-0.560.26-0.36-0.10-1.58-0.66-0.180.30-0.100.640.52-0.440.040.230.04-0.54-0.390.830.300.100.04
69
120.440.510.28-0.160.30-0.040.86-0.270.930.57-0.350.640.050.64-0.20-0.690.40-0.580.10-0.130.93-0.17-0.120.510.90-0.25-0.340.130.220.44-0.11-0.170.17-1.38-0.53-0.19-0.500.27-0.070.190.370.03-0.65-0.16-0.17-1.000.340.380.130.62
70
130.07-0.250.26-0.65-0.320.100.46-0.580.530.17-0.980.08-0.30-0.150.09-0.240.380.20-0.440.110.360.020.180.440.56-0.52-0.20-0.290.11-0.25-0.14-0.77-0.22-0.89-0.030.150.310.97-0.460.71-0.080.42-0.240.61-0.320.010.570.20-0.160.15
71
140.33-0.29-0.41-0.33-0.28-0.050.950.460.050.85-0.710.74-0.230.750.200.160.610.030.360.800.280.260.500.680.84-0.240.130.090.33-0.50-0.04-0.56-0.38-1.43-0.730.11-0.470.59-0.45-0.36-0.09-0.910.04-0.600.730.200.16-0.590.550.12
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150.840.010.00-0.680.770.340.98-0.360.430.55-0.28-0.03-0.470.190.830.110.12-0.140.23-0.150.99-0.280.10-0.470.230.110.280.48-0.310.210.19-0.31-0.24-1.26-0.730.140.481.06-0.570.30-0.310.83-0.130.24-1.17-0.070.09-0.27-0.15-0.39
73
160.730.420.38-1.16-0.360.360.24-0.380.400.84-0.410.56-0.500.26-0.150.370.78-0.04-0.59-0.58-0.16-0.180.080.160.520.00-0.420.38-0.57-0.230.25-0.890.67-1.01-0.290.010.56-0.37-0.280.710.370.40-0.420.440.27-0.350.250.590.171.18
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170.310.200.570.250.490.190.210.260.540.30-0.370.580.11-0.70-0.190.370.910.840.000.610.19-0.110.210.200.530.16-0.57-0.62-0.460.42-0.02-0.510.42-1.040.050.700.050.29-0.110.76-0.140.710.17-0.320.11-0.040.060.250.05-0.37
75
180.550.000.88-0.41-0.330.380.700.030.930.75-0.030.90-0.320.18-0.43-0.52-0.08-0.16-0.390.230.41-0.220.06-0.060.07-0.120.700.59-0.51-0.070.130.250.34-1.62-0.390.340.321.250.500.69-0.370.160.050.140.120.230.03-0.63-0.970.87
76
190.060.080.89-1.291.350.130.55-0.541.110.070.250.18-0.670.72-0.040.36-0.290.67-0.33-0.060.35-0.40-0.060.150.40-0.51-0.310.03-0.020.390.27-0.10-0.22-0.95-0.29-0.710.130.850.22-0.15-0.300.240.03-0.05-0.210.160.720.090.110.59
77
20-0.18-0.260.49-0.78-0.060.250.35-0.290.170.86-0.240.11-0.920.30-0.070.460.17-0.34-0.320.260.420.29-0.860.820.08-0.54-0.190.12-0.06-0.200.54-0.660.23-1.45-0.780.32-0.020.76-0.300.720.390.26-0.520.22-0.56-0.48-0.300.110.200.74
78
210.610.420.17-0.500.510.57-0.41-0.020.420.15-1.300.48-0.39-0.080.170.040.10-0.110.520.410.31-0.33-0.300.110.64-0.49-0.660.53-0.22-0.280.450.08-0.24-0.870.32-0.03-0.04-0.01-0.011.18-0.110.440.59-0.24-0.50-0.20-0.880.030.670.36
79
220.580.020.130.11-0.31-0.48-0.510.160.590.540.13-0.63-0.020.030.04-0.010.270.420.85-0.480.070.350.17-0.73-0.130.130.011.34-0.050.590.48-0.840.34-1.01-0.32-0.53-0.260.00-0.370.38-0.100.50-0.320.24-0.83-0.460.06-0.570.46-0.54
80
230.410.430.40-0.980.120.330.72-0.400.490.34-0.40-0.11-0.190.020.54-0.350.660.140.19-0.140.14-0.17-0.550.13-0.120.110.01-0.04-0.40-0.420.41-0.37-0.79-1.18-0.16-0.44-0.310.330.210.25-0.50-0.510.020.56-0.10-0.120.85-0.010.390.43
81
240.160.400.54-0.48-0.180.030.26-0.920.350.38-1.01-0.190.290.580.39-0.200.400.44-0.57-0.360.580.39-0.121.040.04-0.01-0.26-0.050.10-0.240.12-0.63-0.17-1.06-0.310.190.340.24-0.460.400.54-0.140.090.51-0.24-0.12-0.020.150.230.10
82
250.650.750.05-0.42-0.34-0.100.28-0.481.39-0.03-0.620.30-0.040.52-0.470.350.610.210.020.181.010.07-0.71-0.290.460.08-0.160.050.110.580.71-0.130.19-2.20-0.37-0.18-0.220.290.510.00-0.440.40-0.15-0.89-0.59-0.540.540.15-0.361.01
83
26-0.25-0.590.26-0.620.21-0.340.620.080.470.29-0.44-0.12-0.130.24-0.140.06-0.18-0.57-0.340.120.67-0.170.430.11-0.120.150.460.47-0.36-0.130.37-0.73-0.08-1.460.160.040.580.380.010.76-0.230.02-0.830.53-0.300.440.470.080.010.14
84
270.70-0.82-0.06-0.92-0.090.610.47-0.031.160.820.25-0.54-0.010.480.080.65-0.080.430.28-0.39-0.21-0.020.401.00-0.23-1.58-0.270.260.170.01-0.54-0.64-0.38-0.89-0.050.01-0.100.730.030.73-0.68-0.12-0.570.000.85-0.09-0.13-0.26-0.040.24
85
280.860.490.32-1.320.34-0.650.51-0.620.130.44-1.210.00-0.19-0.18-0.49-0.200.22-0.10-0.36-0.600.420.06-0.180.270.110.15-0.11-0.220.19-0.22-0.11-0.02-0.11-1.00-0.160.090.400.24-0.240.24-0.20-0.72-0.170.71-0.780.48-0.020.33-0.030.11
86
290.94-0.60-0.29-0.43-0.06-0.110.530.330.730.18-0.55-0.10-0.140.260.43-0.030.46-0.110.17-0.770.590.48-0.25-0.310.930.12-0.26-0.610.220.82-0.36-0.08-0.25-1.07-0.72-0.31-0.450.250.080.62-0.17-0.570.81-0.260.400.07-0.15-0.580.190.48
87
300.170.140.99-0.04-0.38-0.07-0.18-0.500.130.68-0.680.290.17-0.110.28-0.430.12-0.55-0.04-0.130.620.560.090.311.38-0.530.66-0.670.24-0.710.36-0.490.21-1.320.000.090.080.46-0.460.690.63-0.03-0.860.48-0.38-1.000.15-0.26-0.620.42
88
311.300.340.130.00-0.26-0.54-0.390.310.23-0.22-0.570.310.14-0.05-0.10-0.560.140.450.32-0.45-0.13-0.71-0.110.010.21-0.120.140.32-0.390.210.64-0.740.39-0.53-1.020.330.450.650.220.390.15-0.06-0.49-0.280.080.25-0.45-0.10-0.04-0.10
89
320.79-0.170.41-0.620.220.05-0.29-0.550.480.880.280.74-0.070.36-0.06-0.52-0.12-0.120.29-0.260.75-0.14-0.100.52-0.28-0.030.15-0.050.050.17-0.16-0.04-0.61-1.44-0.380.13-0.370.540.160.91-0.280.370.280.44-0.51-0.060.820.25-0.40-0.02
90
331.130.20-0.03-0.100.050.19-0.28-0.061.470.08-0.79-0.360.430.150.420.32-0.020.480.28-0.060.10-0.11-0.66-0.110.85-0.510.20-0.19-0.210.330.50-0.760.19-1.54-0.87-0.600.230.240.040.68-0.97-0.19-0.400.68-0.200.03-0.07-0.78-0.400.42
91
34-0.040.070.51-0.060.180.590.75-0.330.200.81-0.31-0.27-0.030.870.060.05-0.550.530.00-0.280.580.250.130.170.650.01-0.39-0.30-0.150.230.05-0.34-0.37-0.98-0.510.77-0.500.650.040.100.57-0.180.080.21-0.53-0.050.13-0.170.18-0.32
92
350.240.350.640.270.070.460.450.020.430.31-0.210.39-0.310.71-0.08-0.650.98-0.060.000.950.07-0.31-0.180.580.570.180.360.100.05-0.430.220.070.92-0.97-0.690.84-1.450.370.190.77-0.67-0.470.390.09-0.070.56-0.050.07-0.480.24
93
360.790.150.250.12-0.33-0.100.09-0.540.810.18-0.76-0.600.28-0.270.14-0.32-0.080.260.350.771.42-0.07-0.881.540.020.20-0.22-0.12-0.33-0.64-0.04-1.090.27-1.03-1.11-0.22-0.010.54-0.370.36-0.450.74-0.250.36-0.51-0.030.45-0.48-0.300.56
94
370.65-0.260.39-0.440.280.280.93-0.531.321.13-0.530.05-0.140.31-0.16-0.43-0.220.09-0.050.53-0.480.21-0.69-0.150.38-0.79-0.33-0.33-0.24-0.10-0.180.15-0.02-1.58-0.290.720.520.47-0.150.840.180.54-0.030.59-0.550.92-0.54-0.240.180.32
95
380.81-0.12-0.08-0.57-0.240.260.20-0.320.870.60-0.27-0.64-0.410.360.080.120.550.110.31-0.130.84-0.240.050.320.47-0.520.140.04-1.04-0.70-0.46-1.15-0.37-1.26-1.020.36-0.680.380.500.78-0.21-0.050.270.570.030.250.590.04-0.200.55
96
390.520.170.050.63-0.64-0.400.71-0.28-0.440.56-0.75-0.01-0.240.46-0.25-1.00-0.02-0.020.39-0.710.860.36-0.020.270.20-0.33-0.51-0.33-0.240.20-0.01-0.400.51-1.25-0.200.45-0.560.320.170.540.15-0.310.120.12-0.050.070.68-0.430.280.54
97
400.130.290.00-0.190.16-0.090.53-0.13-0.160.41-0.400.470.31-0.041.05-0.590.290.40-0.01-0.561.00-0.23-0.430.271.66-0.370.620.42-0.660.110.48-0.130.24-0.32-0.87-0.41-0.620.110.070.530.35-0.090.11-0.08-0.040.570.300.30-0.570.25
98
410.97-0.170.52-0.730.680.350.58-0.381.480.21-0.110.77-0.370.960.15-0.120.22-0.270.910.660.730.130.14-0.400.54-0.200.54-0.390.00-0.430.67-0.740.97-1.09-0.56-0.29-0.180.510.640.620.410.30-0.16-0.18-0.16-0.80-0.37-0.12-0.560.39
99
420.460.280.13-1.260.030.240.43-0.210.410.44-0.04-0.300.14-0.01-0.28-0.13-0.420.080.05-0.190.51-0.370.030.530.710.040.000.29-0.660.430.27-0.010.28-1.88-0.800.04-0.561.020.520.43-0.570.620.110.28-0.92-0.08-0.09-0.11-0.290.54
100
430.13-0.190.54-0.33-0.050.120.29-0.860.931.12-0.63-0.06-0.350.55-0.510.270.660.10-0.16-0.090.31-0.330.120.290.85-0.740.090.210.290.110.47-0.560.29-1.38-0.220.34-0.750.140.320.740.050.53-0.42-0.17-0.18-0.230.46-0.25-0.430.27