资源描述：
《Accuracy and Forecast Standard英文资料》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、*AccuracyandForecastStandardErrorofPredictionMarketsJoyceBerg,ForrestNelsonandThomasRietzDepartmentsofAccounting,EconomicsandFinanceHenryB.TippieCollegeofBusinessAdministrationUniversityofIowaWorkingDraftJuly2003*Formanyhelpfulcommentsandsuggestions,wetha
2、nkBobForsythe,GeorgeNeumann,GeneSavin,ToniWhitedandparticipantsintheDepartmentofFinanceSeminarattheUniversityofIowaTippieCollegeofBusiness.AccuracyandForecastStandardErrorofPredictionMarketsAbstract“Predictionmarkets”aredesignedspecificallytoforecastevent
3、s.Thoughsuchmarketshavebeenconducedformorethanadecade,todatethereisnoanalysisoftheirlong-runpredictiveproperties.Weprovidethefirstsystematicevidenceonthelong-runpredictivepowerofthesemarketsbystudyingexpostaccuracyandmeansofmeasuringexanteforecaststandard
4、errors.Expost,predictionmarketsproveaccurateatlongandshortforecastinghorizons,inabsolutetermsandrelativetonaturalalternativeforecasts.Weuseefficientmarketstheoryandsomespecialpropertiesofthemarketstodevelopforecaststandarderrors.Bothtimeseriesandinter-mar
5、ketpricingrelationshipssuggestthatmarketsgenerateefficientrandomwalksinprices.Thus,randomwalkprojectionsgeneratereasonableconfidenceintervals.Theseconfidenceintervalsdifferdramaticallyfrommarginsoferrorquotedinpolls.Wearguethisisreasonablebecausepollsdono
6、tattemptto,norcantheybeexpectedto,measurethedegreeofuncertaintyabouttheeventualelectionoutcomeconditionalontheirownresults.Incontrast,themarketsincorporatethisuncertaintybydesign.AccuracyandForecastStandardErrorofPredictionMarkets“Predictionmarkets”aredes
7、ignedandconductedfortheprimarypurposeofaggregatinginformationsothatmarketpricesforecastfutureevents.Thesemarketsdifferfromtypical,naturallyoccurringmarketsintheirprimaryroleasaforecastingtoolinsteadofaresourceallocationmechanism.Forexample,since1988,facul
8、tyattheHenryB.TippieCollegeofBusinessattheUniversityofIowahavebeenrunningmarketsthroughthe1IowaElectronicMarkets(IEM)projectthataredesignedtopredictelectionoutcomes.Theserepresentthelongestrunningsetofpredictionmark
