About | Contact Us | Register | Login
ProceedingsSeriesJournalsSearchEAI
Auctions, Market Mechanisms and Their Applications. First International ICST Conference, AMMA 2009, Boston, MA, USA, May 8-9, 2009, Revised Selected Papers

Research Article

A Copula Function Approach to Infer Correlation in Prediction Markets

Download(Requires a free EAI acccount)
538 downloads
Cite
BibTeX Plain Text
  • @INPROCEEDINGS{10.1007/978-3-642-03821-1_3,
        author={Agostino Capponi and Umberto Cherubini},
        title={A Copula Function Approach to Infer Correlation in Prediction Markets},
        proceedings={Auctions, Market Mechanisms and Their Applications. First International ICST Conference, AMMA 2009, Boston, MA, USA, May 8-9, 2009, Revised Selected Papers},
        proceedings_a={AMMA},
        year={2012},
        month={5},
        keywords={},
        doi={10.1007/978-3-642-03821-1_3}
    }
    
  • Agostino Capponi
    Umberto Cherubini
    Year: 2012
    A Copula Function Approach to Infer Correlation in Prediction Markets
    AMMA
    Springer
    DOI: 10.1007/978-3-642-03821-1_3
Agostino Capponi1,*, Umberto Cherubini2,*
  • 1: California Institute of Technology
  • 2: University of Bologna
*Contact email: acapponi@caltech.edu.edu, umberto.cherubini@unibo.it

Abstract

We propose the use of copula methods to recover the dependence structure between prediction markets. Copula methods are flexible tools to measure associations among probabilities because they encompass both linear and non linear relationship among variables. We apply the proposed methodology to three actual prediction markets, the Saddam Security, the market of oil spot prices and the Saddameter. We find that the Saddam Security is nearly independent of the oil market, while being highly correlated to the Saddameter. The results obtained appear to suggest that the Saddam Security prediction market may be noisy or overlooking some political factors which are instead considered by Saddameter and the oil market.

Published
2012-05-16
http://dx.doi.org/10.1007/978-3-642-03821-1_3
Copyright © 2009–2025 ICST
EBSCOProQuestDBLPDOAJPortico
EAI Logo

About EAI

  • Who We Are
  • Leadership
  • Research Areas
  • Partners
  • Media Center

Community

  • Membership
  • Conference
  • Recognition
  • Sponsor Us

Publish with EAI

  • Publishing
  • Journals
  • Proceedings
  • Books
  • EUDL