2304 可変区間型予測証券を用いた社内予測市場システムの被験者実験による性能評価(OS2-3 スケジューリングIII)

概要

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This research aims at developing an intra-firm prediction market system as a tool for a quantitative forecasting problem, such as project lead-time estimation, demand forecasting, etc. The system uses the variable-interval prediction security (VIPS) as the prediction security to be traded in the market, and it possesses a computerized market maker that evaluates each unit of VIPS with a Gaussian price density and updates the price density function through a LMSR-like updating logic in an intermittent updating frequency according to the transactions in the market. Laboratory experiments on a virtual demand forecasting problem are conducted to study how the prediction market system functions with only a small number of participants. The system provides satisfactory results as compared to a statistical method, provided that the parameter controlling the sensitivity of the updating logic is appropriately tuned.
2009-03-09