ABCDEFGHIJKLMNOPQRSTUVWXYZAAABACADAEAFAGAHAIAJAKALAMANAOAPAQARASATAUAVAWAXAYAZBABBBCBDBEBFBGBHBIBJBKBLBM
1
予測市場・アイデア市場の情報性
2015/07/17 S.Ono
2
Marinovic, Ottaviani, & Sorensen (2011) Modeling Idea Markets: Between Beauty Contests and Prediction Markets.
3
in Williams, L.V. (ed.) "Prediction Markets: Theory and Applications", Routledge.
4
5
参考:
読了:Marinovic, Ottaviani, & Sorensen (2011) 予測市場と美人投票のあいだで
6
7
セッティング
8
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。
9
y = \theta + \eta
10
x_i = \theta + \epsilon_i
11
\eta, \epsilon_i は互いに独立に
12
\eta \sim N(0, 1/\alpha)
13
\epsilon_i \sim N(0, 1/\beta)
14
2)
\theta の事前分布を実数直線上の一様分布とする。
15
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。
16
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。
17
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。
18
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]
19
u_i (\theta, a_{-i}, a_i) = -\delta(a_i - \theta)^2 - (1-\delta)(a_i - \bar{a}_n)^2
20
4)
次の指標を市場の情報性と呼ぶ。
21
\gamma = 1 / \var(\theta | \bar{a}_n)
22
23
問題
24
各エージェントが報酬の期待値を最大化する予測
25
a_i = \phi y + (1-\phi) x_i
26
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?
27
28
答え (アミカケを変更可能)
29
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
30
\beta2
個人シグナルの精度
31
\delta1
報酬の重み (0: 純粋なアイデア市場, 1:純粋な予測市場)
32
n100
市場の参加者数
33
34
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)
35
\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)
36
37
シミュレーションで確認すると
38
39
40
41
42
43
44
45
46
47
48
市場
49
1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950
50
合意予測 \bar{a}_n
51
-0.84-0.350.230.070.48-0.670.420.10-0.22-0.140.580.28-0.520.17-0.160.50-0.12-0.09-0.610.450.060.67-0.03-0.240.330.320.22-0.540.28-0.150.03-0.30-0.29-0.11-0.690.150.330.29-0.280.170.530.080.36-0.22-0.30-0.38-0.62-0.37-0.83-0.48
52
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
53
1/(合意予測のMSE)6.495-0.84-0.350.230.070.48-0.670.420.10-0.22-0.140.580.28-0.520.17-0.160.50-0.12-0.09-0.610.450.060.67-0.03-0.240.330.320.22-0.540.28-0.150.03-0.30-0.29-0.11-0.690.150.330.29-0.280.170.530.080.36-0.22-0.30-0.38-0.62-0.37-0.83-0.48
54
55
シミュレーションに使うパラメータ
共通シグナル y
56
\theta0-1.80-0.880.370.051.16-1.481.020.23-0.53-0.431.170.76-1.190.40-0.321.25-0.26-0.20-1.251.060.121.66-0.11-0.520.640.600.44-1.240.63-0.370.04-0.64-0.53-0.21-1.620.350.870.81-0.790.411.200.060.88-0.46-0.63-0.84-1.18-0.87-1.81-1.05
57
i予測値 a_i
58
1-0.59-0.430.58-0.240.81-0.270.39-0.59-0.03-0.190.300.09-0.260.06-0.140.83-0.240.25-0.800.530.350.580.65-0.530.370.510.17-0.480.91-0.19-0.24-0.60-0.06-0.06-0.610.200.800.560.030.260.550.980.34-0.620.000.02-0.63-1.10-0.36-0.76
59
2-1.24-1.121.07-0.210.92-0.640.280.20-0.23-0.240.220.16-0.380.720.130.87-0.30-0.36-0.460.630.781.000.87-0.310.55-0.220.17-0.300.510.130.230.56-0.270.290.320.320.49-0.270.31-0.400.78-0.210.76-0.01-0.45-1.12-1.63-1.42-0.31-0.44
60
3-0.58-1.02-0.19-0.270.36-0.720.440.00-0.19-0.421.170.02-0.54-0.37-0.220.60-0.49-0.55-0.60-0.330.191.150.00-0.260.070.350.30-0.090.590.17-0.15-0.560.250.13-0.280.64-0.170.32-0.630.44-0.240.040.030.610.01-0.03-0.31-0.16-0.24-1.33
61
40.010.04-0.33-0.36-0.16-0.880.071.35-0.83-0.490.160.53-0.74-0.100.381.010.32-0.50-0.080.460.320.80-0.210.100.580.350.03-0.17-0.74-1.180.15-0.19-0.550.15-0.440.310.610.580.060.300.250.690.510.33-0.53-0.67-0.89-0.51-1.01-0.18
62
5-0.40-0.360.02-0.720.94-1.04-0.280.05-0.91-0.250.190.29-0.850.11-0.400.44-0.13-0.98-0.560.38-1.321.340.25-0.010.34-0.030.15-0.97-0.38-0.45-0.190.240.30-0.87-0.490.370.180.350.150.850.320.240.18-0.300.10-1.05-1.190.06-0.62-0.42
63
6-1.36-0.220.260.370.62-0.650.20-0.53-0.06-0.130.620.57-0.410.28-0.090.320.22-0.29-1.330.31-0.130.650.27-0.08-0.030.28-0.24-0.200.460.800.35-0.220.210.04-0.480.600.590.27-0.960.170.130.490.99-0.33-0.040.00-0.44-0.27-1.01-0.49
64
7-1.41-0.150.020.580.87-0.660.660.440.27-0.460.540.28-0.570.99-0.480.11-0.28-0.37-0.120.720.731.500.40-0.510.170.590.27-0.32-0.280.34-0.45-0.320.12-0.16-0.520.270.250.49-0.130.810.28-0.280.24-0.67-0.41-0.11-0.88-0.98-0.75-0.92
65
8-0.510.020.670.350.77-0.070.670.48-0.140.020.11-0.09-0.77-0.120.600.49-0.140.16-0.671.170.270.57-0.72-0.040.200.620.120.060.52-0.40-0.58-0.84-0.470.38-1.220.220.520.35-0.12-0.350.90-0.160.92-0.75-0.28-0.41-1.14-0.62-1.29-0.40
66
9-0.40-0.780.230.210.75-0.390.110.24-0.560.230.320.47-0.390.570.260.84-0.410.03-1.190.68-0.340.75-0.42-0.49-0.460.340.36-0.560.930.06-0.10-1.070.51-0.38-0.870.850.070.13-0.460.730.300.130.300.00-0.37-0.63-0.44-0.90-0.32-0.35
67
10-0.90-0.72-0.090.750.22-1.000.42-0.47-0.120.320.830.34-0.140.170.020.41-0.15-0.28-0.530.670.170.21-0.24-0.140.630.930.59-0.80-0.360.090.19-0.18-0.19-0.72-0.420.780.430.51-0.07-0.171.010.110.76-0.81-0.04-0.26-0.730.07-0.44-0.48
68
11-1.53-0.570.23-0.120.62-0.530.22-0.03-0.21-0.390.130.43-0.160.65-0.381.20-0.030.28-0.590.390.031.22-0.76-0.180.360.680.76-0.37-0.23-0.430.67-0.65-0.41-0.13-0.540.230.310.78-0.580.550.57-0.22-1.07-0.650.05-0.40-0.29-0.76-0.83-0.98
69
12-1.18-0.57-0.390.490.26-0.440.510.39-0.11-0.071.260.320.09-0.230.241.210.150.16-1.040.630.450.280.09-0.480.710.531.10-0.180.390.39-0.11-0.76-0.17-0.22-0.070.130.060.53-0.790.660.420.510.27-0.16-0.13-0.570.09-0.34-0.71-0.73
70
13-0.390.180.10-0.020.32-1.100.060.94-0.090.310.670.62-0.470.100.851.100.23-0.94-0.68-0.25-0.120.64-0.16-0.090.700.221.24-0.700.120.310.12-0.460.11-0.03-0.440.10-0.380.640.440.460.650.430.090.00-1.08-0.80-0.55-0.41-0.44-1.00
71
14-0.91-1.15-0.050.410.48-0.370.61-0.06-0.19-0.240.55-0.25-0.05-0.05-0.060.55-0.05-0.33-0.930.04-0.370.59-0.27-0.220.900.120.17-0.750.57-0.20-0.17-0.61-0.44-0.06-0.120.560.730.72-0.940.160.710.20-0.080.00-0.65-0.34-0.220.52-1.660.21
72
150.16-0.360.630.280.93-0.780.700.26-0.44-0.300.240.52-1.30-0.03-0.470.451.26-0.12-0.890.760.290.93-0.11-0.090.790.340.05-1.04-0.600.48-0.09-0.79-0.310.35-0.780.680.220.52-0.350.780.280.08-0.31-0.44-0.41-0.50-0.52-0.22-0.99-0.13
73
16-1.07-0.270.440.68-0.45-1.050.290.030.38-0.891.21-0.01-0.700.100.110.36-0.17-0.53-0.050.800.070.460.330.29-0.28-0.020.54-0.92-0.15-0.690.29-0.08-0.040.26-0.59-0.34-0.12-0.420.220.480.860.530.640.080.18-0.680.030.420.03-0.19
74
17-0.800.110.440.490.41-0.920.820.330.42-0.510.880.95-0.950.48-0.420.29-0.33-0.100.150.190.590.690.15-0.501.05-0.12-0.12-1.05-0.10-0.370.39-0.60-0.01-0.37-0.610.24-0.010.570.13-0.150.691.040.36-0.47-0.51-0.53-0.96-0.07-0.450.38
75
18-0.88-0.38-0.080.10-0.34-0.010.61-0.06-0.18-1.100.83-0.310.010.64-0.46-0.110.000.15-1.560.660.060.690.46-0.940.210.240.19-0.05-0.14-0.69-0.34-0.21-0.360.23-1.000.69-0.150.04-0.30-0.120.77-0.820.40-0.370.34-0.47-0.45-0.27-1.29-0.37
76
19-0.36-0.260.240.430.16-0.490.05-0.27-0.230.370.95-0.03-0.510.08-0.551.12-0.760.08-0.770.390.870.300.00-0.700.63-0.28-0.17-0.540.010.190.24-0.83-0.42-0.03-1.14-0.210.560.39-0.550.100.310.200.020.40-0.40-0.25-0.61-0.78-0.47-0.60
77
20-1.540.090.950.090.60-0.710.08-0.17-0.400.450.700.46-0.390.040.760.020.36-0.76-0.580.370.040.50-0.120.74-0.180.250.54-0.98-0.25-0.20-0.21-0.36-0.68-0.36-0.27-0.31-0.08-0.230.300.620.390.550.80-0.510.00-0.76-0.23-0.37-0.780.00
78
21-0.78-0.72-0.380.101.63-0.911.210.05-0.23-0.060.58-0.02-0.120.26-0.061.16-0.01-0.84-0.880.20-0.530.08-0.370.080.55-0.201.04-0.85-0.470.000.74-0.25-0.29-0.33-0.22-0.03-0.140.14-0.360.370.72-0.731.20-0.89-0.06-0.56-1.18-0.42-1.09-0.12
79
22-0.82-1.140.86-0.280.32-1.140.600.28-0.260.020.010.26-0.090.45-0.080.61-0.63-0.31-0.691.48-0.380.811.02-0.091.220.260.12-1.280.67-0.10-0.210.17-0.46-0.64-1.000.99-0.24-0.42-0.63-0.250.950.821.23-0.36-0.150.02-0.86-1.17-0.15-0.35
80
23-0.91-0.73-0.160.010.02-0.640.49-0.32-0.45-0.420.72-0.06-0.120.260.330.13-0.53-0.14-0.35-0.110.330.830.140.510.79-0.130.44-0.37-0.74-0.051.42-0.71-1.110.02-0.510.550.81-0.22-0.450.420.68-0.520.05-0.49-1.44-0.74-0.640.03-1.21-0.60
81
24-1.31-0.800.84-0.100.22-0.160.130.500.490.070.230.63-0.60-0.20-0.200.68-0.530.14-0.190.78-0.371.06-0.43-0.720.37-0.14-0.10-0.580.26-0.06-0.340.04-0.82-0.120.03-0.700.080.080.320.240.480.600.320.10-0.75-0.12-0.510.00-1.36-0.63
82
250.06-0.380.160.370.37-1.01-0.370.15-0.220.330.890.04-0.170.070.040.140.40-0.37-0.830.28-0.180.61-0.12-0.040.380.190.48-0.38-0.01-0.33-0.20-0.68-0.160.68-0.850.410.46-0.12-0.790.220.03-0.300.71-0.60-0.32-0.24-0.45-0.63-0.55-0.15
83
26-0.70-0.220.10-0.110.88-0.420.860.51-0.460.300.01-0.03-0.15-0.32-0.600.240.420.67-1.010.330.480.43-0.17-1.150.170.130.15-0.440.42-0.46-0.11-0.05-0.190.07-1.190.240.60-0.03-0.820.550.560.21-0.10-0.160.42-0.640.00-0.26-0.890.05
84
27-1.13-0.54-0.25-0.220.97-0.930.100.37-0.050.021.01-0.13-0.440.12-0.200.86-0.56-0.39-0.800.890.940.580.70-1.130.040.88-0.15-0.61-0.160.20-0.46-0.20-0.44-0.47-1.51-0.520.690.62-0.43-0.240.50-0.880.040.02-0.96-0.21-0.65-0.30-0.57-0.87
85
28-1.14-0.670.180.090.21-0.511.06-0.29-0.15-0.040.050.430.07-0.040.020.39-0.14-0.55-0.760.590.020.630.13-0.150.210.00-0.26-0.550.39-0.680.52-0.22-0.630.54-0.800.500.36-0.250.170.340.36-0.04-0.11-0.25-0.54-0.22-0.67-0.15-0.80-0.42
86
29-0.67-0.880.250.890.53-0.660.87-0.21-0.300.050.610.87-0.030.50-0.24-0.120.09-0.06-0.660.490.130.74-0.18-0.180.730.880.79-0.830.26-0.60-0.010.170.010.26-1.260.270.52-0.13-0.710.491.19-0.040.15-0.230.010.18-0.690.36-0.43-0.06
87
30-0.96-0.800.690.190.38-0.560.830.19-0.49-0.350.47-0.17-0.400.250.260.780.27-0.43-0.740.490.450.500.120.00-0.050.71-0.33-0.180.850.12-0.41-0.79-0.110.00-1.180.170.270.97-0.23-0.561.180.310.41-0.300.01-0.03-1.25-0.67-1.15-0.59
88
31-0.85-0.290.620.471.13-0.060.18-0.22-0.590.060.490.11-0.860.680.000.500.38-0.51-0.900.10-0.030.07-0.48-0.860.15-0.120.20-1.020.35-0.03-0.040.27-0.010.44-0.681.290.30-0.270.02-0.270.29-0.611.070.23-0.45-0.09-1.010.38-0.78-0.01
89
32-1.18-0.42-0.33-0.240.27-1.140.940.39-0.89-0.470.910.03-0.580.030.050.61-0.06-0.05-1.390.280.570.730.38-0.300.300.320.10-0.520.13-0.60-0.25-0.01-0.18-0.46-0.360.62-0.05-0.24-0.50-0.190.400.041.01-0.27-0.100.21-0.74-0.05-1.06-0.23
90
33-0.42-0.980.10-0.280.91-0.64-0.200.61-0.360.590.700.93-0.880.49-0.651.11-0.40-0.01-0.531.24-0.520.310.82-0.130.130.270.880.170.50-0.140.28-0.850.050.12-1.20-0.090.420.44-0.150.341.04-0.220.510.25-0.17-0.260.08-0.04-1.20-0.47
91
34-0.32-0.040.360.180.08-0.590.250.06-0.26-0.030.93-0.01-0.040.200.130.68-0.040.73-0.38-0.100.800.62-0.480.11-0.020.140.69-0.830.270.00-0.09-0.42-0.04-0.28-0.23-0.380.07-0.10-0.010.401.04-0.050.52-0.43-0.75-0.99-1.05-0.66-1.39-0.11
92
35-0.53-0.260.500.390.59-0.75-0.150.02-0.83-0.070.470.81-0.63-0.430.110.670.200.07-0.57-0.030.220.260.16-0.781.020.510.54-0.910.830.59-0.07-0.300.30-0.48-0.790.181.120.890.52-0.050.260.260.54-0.23-0.78-0.57-0.540.73-1.05-1.21
93
36-0.75-0.490.410.251.09-0.52-0.250.91-0.160.340.12-0.28-0.75-0.040.000.35-0.53-0.10-0.770.950.49-0.170.330.491.040.010.520.220.27-0.32-0.350.36-0.100.50-0.99-0.350.950.56-0.80-0.060.360.540.450.030.08-0.34-0.56-0.05-0.13-0.39
94
37-0.78-0.800.27-0.270.47-0.801.330.50-0.130.210.070.67-0.610.28-0.98-0.34-0.370.47-0.480.24-0.401.150.32-0.470.230.630.14-1.280.29-0.71-0.30-0.34-0.89-0.21-0.32-0.150.300.27-0.170.751.07-0.010.63-0.250.030.13-0.34-0.35-1.08-0.10
95
38-0.91-0.02-0.210.540.57-1.250.940.63-0.120.690.270.42-0.360.66-0.430.130.250.69-0.240.05-0.150.300.19-0.16-0.560.11-0.20-0.28-0.08-0.40-0.12-0.10-0.25-0.07-0.82-0.020.12-0.650.66-0.060.21-0.640.11-0.42-0.59-0.29-0.51-0.50-0.72-1.14
96
39-0.310.290.360.371.02-0.570.610.65-0.04-0.610.600.54-0.800.60-0.580.51-0.06-0.69-1.250.740.300.74-0.360.080.000.97-0.04-0.630.680.07-0.64-0.690.06-0.29-0.750.480.39-0.15-0.40-0.270.89-0.350.03-0.70-0.26-0.91-0.63-0.69-1.02-0.06
97
40-0.82-0.460.78-0.30-0.20-0.910.21-0.15-0.830.120.140.55-0.410.23-0.11-0.35-0.83-0.24-0.750.430.010.870.04-0.120.31-0.190.73-0.840.37-0.560.10-0.62-0.80-0.36-1.090.490.270.280.74-0.151.230.200.79-0.700.29-0.68-0.39-0.22-0.490.27
98
41-0.46-0.730.080.720.17-1.240.76-0.45-0.36-0.320.180.68-0.050.88-0.390.490.240.46-0.940.12-0.16-0.06-0.450.17-0.070.370.270.240.34-0.410.54-0.54-0.31-1.09-0.960.120.000.010.510.330.300.590.500.100.17-0.570.16-0.16-0.93-1.20
99
42-0.44-0.70-0.020.30-0.41-1.220.440.38-0.63-0.360.64-0.82-0.48-0.410.231.00-0.67-0.20-0.341.04-0.370.810.81-0.42-0.170.91-0.39-0.80-0.21-0.760.86-0.88-0.540.07-0.98-0.24-0.100.96-0.760.350.140.060.89-0.940.000.13-0.78-0.77-0.95-0.58
100
43-1.01-0.670.691.150.52-1.490.560.07-0.18-0.380.61-0.13-0.40-0.12-0.33-0.190.41-0.77-1.120.880.160.530.14-0.260.02-0.040.23-0.650.60-0.700.42-0.49-0.99-0.58-0.78-0.160.83-0.01-0.28-0.460.97-0.500.19-0.03-0.15-0.15-1.16-0.70-0.83-0.38