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摘要翻译：
最近，人们引入了几种新的平行机制来组织或有索赔的市场。Hanson引入了一个由对数评分规则导出的做市商，后来Chen和Pennock为做市商开发了一个成本函数公式。另一方面，Peters等人的SCPM模型。是基于集合竞价设置的思想，使用凸优化模型。在这项工作中，我们开发了一个统一的框架，将这些看似无关的模型连接起来，用于集中组织或有索赔市场。该框架作为SCPM的推广而发展，将支持许多理想的特性，如正确的评分、真实的投标（在短视的意义上）、高效的计算和最坏情况下损失的保证。事实上，我们的统一框架将允许我们从代表市场组织者的凸优化问题中的经典效用函数中表达各种适当的评分规则，无论是现有的还是新的。另外，我们利用对偶概念证明了市场模型等价于一个采用凸风险测度的风险最小化问题。这将使我们更清楚地了解各种机制所采取的风险态度的差异，特别是加深我们对像汉森的做市商这样的流行机制的直觉。总的来说，我们相信这项工作通过将市场组织者的目标重新定义为一个统一的框架，从而推进了我们对市场组织者在流行的并行机制中优化目标的理解。
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英文标题：
《A Unified Framework for Dynamic Pari-Mutuel Information Market Design》
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作者：
Shipra Agrawal, Erick Delage, Mark Peters, Zizhuo Wang, Yinyu Ye
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
Recently, several new pari-mutuel mechanisms have been introduced to organize markets for contingent claims. Hanson introduced a market maker derived from the logarithmic scoring rule, and later Chen and Pennock developed a cost function formulation for the market maker. On the other hand, the SCPM model of Peters et al. is based on ideas from a call auction setting using a convex optimization model. In this work, we develop a unified framework that bridges these seemingly unrelated models for centrally organizing contingent claim markets. The framework, developed as a generalization of the SCPM, will support many desirable properties such as proper scoring, truthful bidding (in a myopic sense), efficient computation, and guarantees on worst case loss. In fact, our unified framework will allow us to express various proper scoring rules, existing or new, from classical utility functions in a convex optimization problem representing the market organizer. Additionally, we utilize concepts from duality to show that the market model is equivalent to a risk minimization problem where a convex risk measure is employed. This will allow us to more clearly understand the differences in the risk attitudes adopted by various mechanisms, and particularly deepen our intuition about popular mechanisms like Hanson's market-maker. In aggregate, we believe this work advances our understanding of the objectives that the market organizer is optimizing in popular pari-mutuel mechanisms by recasting them into one unified framework.
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PDF链接：
https://arxiv.org/pdf/0902.2429
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