[Game Theory Reading] Reading: (Wed, 1 July, 1:15pm) Measuring market composition through the favourite-longshot bias

[Dengji Zhao]

Dear all,

In this Wednesday's game theory reading group, AIC PhD candidate Valerio
Restocchi will talk about his research on measuring market composition.

Time/Venue: 1 July, 1:15pm - 2:00pm / B32 3073

Online participation: http://goo.gl/bTKsje

Title:
Measuring market composition through the favourite-longshot bias

Abstract:

The favourite-longshot bias is a recurring anomaly affecting time-limited
markets, in which those events characterised by high (low) probability of
realisation are, on average, underpriced (overpriced). I will talk about
the model we developed for explaining this anomaly, showing how skewing
prices and therefore causing the favourite-longshot bias is the best
strategy for the market maker if the market is populated by heterogeneous
agents. I will also show how this model can be used as a tool for getting
new insights about time-limited markets, especially about market
composition and efficiency.


To access all previous talks:
https://sites.google.com/site/sotonecsreadinggroups/resources

Best,
Dengji
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