Brown, A, Reade, JJ and Vaughan Williams, L ORCID: https://orcid.org/0000-0002-9639-9217, 2018. When are prediction market prices most informative? International Journal of Forecasting. ISSN 0169-2070
Preview |
Text
11277_Vaughan-Williams.pdf - Post-print Download (317kB) | Preview |
Abstract
Prediction markets are a popular platform for eliciting incentivised crowd predictions. In this paper, we examine variation in the information contained in prediction market prices by studying Intrade prices on U.S. elections around the release of opinion polls. We find that poll releases stimulate an immediate uptick in trading activity. However, much of this activity involves relatively inexperienced traders and, as a result, price efficiency declines in the immediate aftermath of a poll release. It is not until more experienced traders enter the market in the following hours that price efficiency recovers. More generally, this suggests that information releases do not necessarily improve prediction market forecasts, but may instead attract noise traders who temporarily reduce price efficiency.
Item Type: | Journal article |
---|---|
Publication Title: | International Journal of Forecasting |
Creators: | Brown, A., Reade, J.J. and Vaughan Williams, L. |
Publisher: | Elsevier |
Date: | 9 August 2018 |
ISSN: | 0169-2070 |
Identifiers: | Number Type 10.1016/j.ijforecast.2018.05.005 DOI |
Divisions: | Schools > Nottingham Business School |
Record created by: | Linda Sullivan |
Date Added: | 05 Jun 2018 13:04 |
Last Modified: | 15 Aug 2018 08:18 |
URI: | https://irep.ntu.ac.uk/id/eprint/33820 |
Actions (login required)
Edit View |
Statistics
Views
Views per month over past year
Downloads
Downloads per month over past year