TY - GEN
T1 - Strategies in dynamic pari-mutual markets
AU - Bu, Tian-Ming
AU - Deng, Xiaotie
AU - Lin, Qianya
AU - Qi, Qi
PY - 2008
Y1 - 2008
N2 - We present a strategic model for pari-mutual markets by traders using a cumulative utility function. Under this model, we derive guidelines for the traders on how much to buy or sell. Those guidelines can be implemented with three action combinations, called strategies. We prove that those strategies are payoff equivalent for both the involved trader and the others in the current transaction. However, in the long run, their payoffs can be quite different. We show that the buy-only strategy(BOS) achieves the highest market capitalization for the current transaction. In addition, simulation results also prove that BOS always yields the fastest growth of market capitalization even when multiple stages are taken into consideration. Simulation results also show that BOS is a better revelation of the traders' personal beliefs, though it exhibits a higher risk in traders' payoffs. © 2008 Springer Berlin Heidelberg.
AB - We present a strategic model for pari-mutual markets by traders using a cumulative utility function. Under this model, we derive guidelines for the traders on how much to buy or sell. Those guidelines can be implemented with three action combinations, called strategies. We prove that those strategies are payoff equivalent for both the involved trader and the others in the current transaction. However, in the long run, their payoffs can be quite different. We show that the buy-only strategy(BOS) achieves the highest market capitalization for the current transaction. In addition, simulation results also prove that BOS always yields the fastest growth of market capitalization even when multiple stages are taken into consideration. Simulation results also show that BOS is a better revelation of the traders' personal beliefs, though it exhibits a higher risk in traders' payoffs. © 2008 Springer Berlin Heidelberg.
UR - https://www.scopus.com/pages/publications/58849088898
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-58849088898&origin=recordpage
U2 - 10.1007/978-3-540-92185-1_22
DO - 10.1007/978-3-540-92185-1_22
M3 - RGC 32 - Refereed conference paper (with host publication)
SN - 3540921842
SN - 9783540921844
VL - 5385 LNCS
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 138
EP - 153
BT - Internet and Network Economics
PB - Springer Verlag
T2 - 4th International Workshop on Internet and Network Economics, WINE 2008
Y2 - 17 December 2008 through 20 December 2008
ER -