ICME Seminar: David Pennock. Information and Complexity in Securities Markets

David Pennock of Yahoo Research

Information and complexity in securities markets

Securities markets (e.g., stocks, options, insurance, ... even sports bets) are known to provide accurate forecasts of future events. Recently, a number of new markets and market games have appeared on the Internet with the goal of predicting everything from political elections to Hollywood box office receipts to the discovery of extraterrestrial life. I will describe empirical

studies of these markets, reporting their behavior in terms of information dynamics and (probabilistic) forecast accuracy, including some theoretical underpinnings. I will discuss some of the relevant computational issues, including combinatorics, computational complexity, automated market makers, Bayes-net structured markets, and compound markets based on propositional logic. I will present work on characterizing the nature and limits

of distributed computation in markets.