Elements of information theory
Elements of information theory
Combinatorial Information Market Design
Information Systems Frontiers
Pricing combinatorial markets for tournaments
STOC '08 Proceedings of the fortieth annual ACM symposium on Theory of computing
The effects of market-making on price dynamics
Proceedings of the 7th international joint conference on Autonomous agents and multiagent systems - Volume 2
Information aggregation in dynamic markets with strategic traders
Proceedings of the 10th ACM conference on Electronic commerce
A unified framework for dynamic pari-mutuel information market design
Proceedings of the 10th ACM conference on Electronic commerce
Automated market-making in the large: the gates hillman prediction market
Proceedings of the 11th ACM conference on Electronic commerce
When do markets with simple agents fail?
Proceedings of the 9th International Conference on Autonomous Agents and Multiagent Systems: volume 1 - Volume 1
Automated market-making in the large: the gates hillman prediction market
Proceedings of the 11th ACM conference on Electronic commerce
An optimization-based framework for automated market-making
Proceedings of the 12th ACM conference on Electronic commerce
A Multi-agent Prediction Market Based on Boolean Network Evolution
WI-IAT '11 Proceedings of the 2011 IEEE/WIC/ACM International Conferences on Web Intelligence and Intelligent Agent Technology - Volume 02
Liquidity-sensitive automated market makers via homogeneous risk measures
WINE'11 Proceedings of the 7th international conference on Internet and Network Economics
Proceedings of the 13th ACM Conference on Electronic Commerce
Proceedings of the 13th ACM Conference on Electronic Commerce
A multi-agent prediction market based on partially observable stochastic game
Proceedings of the 13th International Conference on Electronic Commerce
Efficient Market Making via Convex Optimization, and a Connection to Online Learning
ACM Transactions on Economics and Computation - Special Issue on Algorithmic Game Theory
An axiomatic characterization of adaptive-liquidity market makers
Proceedings of the fourteenth ACM conference on Electronic commerce
Cost function market makers for measurable spaces
Proceedings of the fourteenth ACM conference on Electronic commerce
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Current automated market makers over binary events suffer from two problems that make them impractical. First, they are unable to adapt to liquidity, so trades cause prices to move the same amount in both thick and thin markets. Second, under normal circumstances, the market maker runs at a deficit. In this paper, we construct a market maker that is both sensitive to liquidity and can run at a profit. Our market maker has bounded loss for any initial level of liquidity and, as the initial level of liquidity approaches zero, worst-case loss approaches zero. For any level of initial liquidity we can establish a boundary in market state space such that, if the market terminates within that boundary, the market maker books a profit regardless of the realized outcome. Furthermore, we provide guidance as to how our market maker can be implemented over very large event spaces through a novel cost-function-based sampling method