Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/174522 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
LEM Working Paper Series No. 2016/13
Verlag: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
Zusammenfassung: 
The approximate agents' wealth and price invariant densities of the prediction market model presented in Kets et al.(2014) is derived using the Fokker-Planck equation of the associated continuous-time jump process. We show that the approximation obtained from the evolution of log-wealth difference can be reliably exploited to compute all the quantities of interest in all the acceptable parameter space. When the risk aversion of the trader is high enough, we are able to derive an explicit closed-form solution for the price distribution which is asymptotically correct.
Schlagwörter: 
Prediction Markets
Heterogeneous Beliefs
Fractional Kelly Rule
Invariant Distribution
Diffusive Approximation
Fokker Planck Equation
JEL: 
C60
D53
G11
G12
Dokumentart: 
Working Paper

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