A Utility Framework for Bounded-Loss Market Makers
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Milgrom, Paul & Stokey, Nancy, 1982.
"Information, trade and common knowledge,"
Journal of Economic Theory, Elsevier, vol. 26(1), pages 17-27, February.
- Paul Milgrom & Nancy L.Stokey, 1979. "Information, Trade, and Common Knowledge," Discussion Papers 377R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Jackwerth, Jens Carsten, 2000.
"Recovering Risk Aversion from Option Prices and Realized Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 433-451.
- Jens Carsten Jackwerth., 1996. "Recovering Risk Aversion from Option Prices and Realized Returns," Research Program in Finance Working Papers RPF-265, University of California at Berkeley.
- Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, University Library of Munich, Germany.
- Robin Hanson, 2007. "Logarithmic Market Scoring Rules for Modular Combinatorial Information Aggregation," Journal of Prediction Markets, University of Buckingham Press, vol. 1(1), pages 3-15, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Razvan Tarnaud, 2019. "Convergence within binary market scoring rules," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(4), pages 1017-1050, November.
- Hamed Amini & Maxim Bichuch & Zachary Feinstein, 2023. "Decentralized Prediction Markets and Sports Books," Papers 2307.08768, arXiv.org, revised May 2024.
- Yuqing Kong & Grant Schoenebeck, 2022. "False Consensus, Information Theory, and Prediction Markets," Papers 2206.02993, arXiv.org, revised Nov 2022.
- Dian Yu & Jianjun Gao & Weiping Wu & Zizhuo Wang, 2022. "Price Interpretability of Prediction Markets: A Convergence Analysis," Papers 2205.08913, arXiv.org, revised Nov 2023.
- Siddarth Srinivasan & Ezra Karger & Yiling Chen, 2023. "Self-Resolving Prediction Markets for Unverifiable Outcomes," Papers 2306.04305, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Galanis, S. & Ioannou, C. & Kotronis, S., 2019.
"Information Aggregation Under Ambiguity: Theory and Experimental Evidence,"
Working Papers
20/05, Department of Economics, City University London.
- Spyros Galanis & Christos A. Ioannou & Stelios Kotronis, 2023. "Information Aggregation Under Ambiguity: Theory and Experimental Evidence," Working Papers 2023_04, Durham University Business School.
- Galanis Spyros & Kotronis Stelios, 2021.
"Updating Awareness and Information Aggregation,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 21(2), pages 613-635, June.
- Galanis, S. & Kotronis, S., 2019. "Updating Awareness and Information Aggregation," Working Papers 19/03, Department of Economics, City University London.
- Edoardo Gaffeo, 2013. "Using information markets in grantmaking. An assessment of the issues involved and an application to Italian banking foundations," DEM Discussion Papers 2013/08, Department of Economics and Management.
- Lambert, Nicolas S. & Langford, John & Wortman Vaughan, Jennifer & Chen, Yiling & Reeves, Daniel M. & Shoham, Yoav & Pennock, David M., 2015. "An axiomatic characterization of wagering mechanisms," Journal of Economic Theory, Elsevier, vol. 156(C), pages 389-416.
- John Geanakoplos, 1993. "Common Knowledge," Cowles Foundation Discussion Papers 1062, Cowles Foundation for Research in Economics, Yale University.
- Elchanan Ben-Porath, 2007. "Trade with Heterogeneous Beliefs," Discussion Paper Series dp462, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
- Lones Smith, 2000.
"Private Information and Trade Timing,"
American Economic Review, American Economic Association, vol. 90(4), pages 1012-1018, September.
- Smith, L., 1999. "Private Information and Trade Timing," Papers 99-07, Michigan - Center for Research on Economic & Social Theory.
- Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
- Gur Huberman & Dominika Halka, 2001.
"Systematic Liquidity,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, June.
- Huberman, G. & Halka, D., 1999. "Systematic Liquidity," Papers 99-9, Columbia - Graduate School of Business.
- Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 253-289, May.
- Söderlind, Paul, 2009.
"The C-CAPM without ex post data,"
Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
- Söderlind, Paul, 2005. "C-CAPM without Ex Post Data," SIFR Research Report Series 39, Institute for Financial Research.
- Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
- Paul Söderlind, 2006. "C-CAPM without Ex Post Data," University of St. Gallen Department of Economics working paper series 2006 2006-22, Department of Economics, University of St. Gallen.
- Angrisani Marco & Guarino Antonio & Huck Steffen & Larson Nathan C, 2011.
"No-Trade in the Laboratory,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 11(1), pages 1-58, April.
- Marco Angrisani & Antonio Guarino & Steffen Huck & Nathan Larson, 2008. "No-Trade in the Laboratory," CESifo Working Paper Series 2436, CESifo.
- Marco Angrisani & Antonio Guarino & Steffen Huck & Nathan Larson, 2008. "No-Trade in the Laboratory," WEF Working Papers 0045, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
- Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020. "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 216(2), pages 430-449.
- Massimiliano Affinito & Matteo Piazza, 2021.
"Always Look on the Bright Side? Central Counterparties and Interbank Markets during the Financial Crisis,"
International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 231-283, March.
- Massimiliano Affinito & Matteo Piazza, 2018. "Always look on the bright side? Central counterparties and interbank markets during the financial crisis," Temi di discussione (Economic working papers) 1181, Bank of Italy, Economic Research and International Relations Area.
- Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
- Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011.
"Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
- Luiz Vitiello & Ser-Huang Poon, 2022. "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1665-1684, May.
- Philippe Jehiel, 2022.
"Analogy-Based Expectation Equilibrium and Related Concepts:Theory, Applications, and Beyond,"
Working Papers
halshs-03735680, HAL.
- Philippe Jehiel, 2022. "Analogy-Based Expectation Equilibrium and Related Concepts:Theory, Applications, and Beyond," PSE Working Papers halshs-03735680, HAL.
- Femg, Xunan & Johansson, Anders C., 2019. "News or Noise? The Information Content of Social Media in China," Stockholm School of Economics Asia Working Paper Series 2019-52, Stockholm School of Economics, Stockholm China Economic Research Institute.
- Chang, Eric C. & Ren, Jinjuan & Shi, Qi, 2009. "Effects of the volatility smile on exchange settlement practices: The Hong Kong case," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 98-112, January.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2012-07-08 (Utility Models and Prospect Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1206.5252. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.