Introduces a logit jump-diffusion kernel with risk-neutral drift for modeling and hedging belief dynamics in prediction markets, plus calibration and derivative instruments.
Prediction markets.Journal of Economic Per- spectives, 18(2):107–126, 2004
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The paper develops a market-quality measurement framework for institutional liquidity in prediction markets and uses synthetic simulations to show that liquidity improvements do not benefit all traders equally, with larger welfare losses for slower traders during information shocks.
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Toward Black Scholes for Prediction Markets: A Unified Kernel and Market Maker's Handbook
Introduces a logit jump-diffusion kernel with risk-neutral drift for modeling and hedging belief dynamics in prediction markets, plus calibration and derivative instruments.
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What Happens When Institutional Liquidity Enters Prediction Markets: Identification, Measurement, and a Synthetic Proof of Concept
The paper develops a market-quality measurement framework for institutional liquidity in prediction markets and uses synthetic simulations to show that liquidity improvements do not benefit all traders equally, with larger welfare losses for slower traders during information shocks.