Prediction Market Open Problems

Open problems cataloged and discussed at the Prediction Market Powwow Aug 2011 ( http://doc.bmndr.co/pmpw2011 )

Other open problems

• Excess volatility: http://doc.bmndr.co/excessvol
• Predictalot analysis: compare with vegas odds, actual outcomes; look for meaningful correlations
• Predictalot sampling algorithms: compare importance sampling, metropolis-hastings, Lirong’s FPRAS algo
• Open questions from the AGT chapter
• Market maker with confidence bounds. For example, the market maker believes that the probability for event AB is between 0.1 and 0.5 with, say, 95% probability
• Cost function / market maker that can be sampled/approximated
• Combinatorial DPM + sampling
• Combining market maker and order book in combo PM
• Algos for bounding traders’ worst-case loss in combo PM (for budgeting)
• Hot hand hypothesis testing