想看原文的板友，原文在下半部。上半部是重点叙述跟感想。若是 我有误读或叙述不完善的部份，还请提出指正。 原本我想贴原文再条列一两个重点就好，可是先前中华队跟中信鲸 队打热身赛中华队打者状况比想像中的还要低迷，竟然只以2:1获胜 ，害我输掉近两万P币。为了赚P币继续赌博，我只好多打一点字了。 部份媒体对未来事件期货交易站intrade(www.intrade.com)赞誉有 加，因为intrade的有过显着的预测成果。最让人印象深刻的例子是 在2004年的大选，intrade认为布希有50%以上机会能够获胜的州，布 希全部拿下，胜选机会被认为不到50%的州最後也都由凯瑞拿下，预测 命中率高达百分之百。到2006年期中大选时，当各个政论结目来宾认为 共和党能够守住参院时，intrade的玩家则已经预测到最後民主党的胜利 了。看起来群众的集体智慧比少数专家还精准。 (内文批评到预测市场对2006年参院结果预测失误，那是指另一个平台 Tradesports) 不过intrade也是有过极为明显的失误，如今年2/15加州初选，出口 民调释出Clinton女士以3%左右的幅度领先时，intrade的玩家认为Obama 有60%的机会赢得加州。更丢脸的失误则是New Hampshire，Clinton女士 表现超出民调的预期，以2%的差距逆转获胜；但在结果揭晓前，intrade 的玩家竟认为Obama有99%的机会赢得该州初选。 本文认为intrade会出现这样的误差原因有两个，首先是奖励诱因不足， 再来是，样本不足，且意见来源的同质性过高。 intrade上的交易量比起股市动辄数兆的金钱流量比起来明显过低，不少 交易金额都只是上千美元的规模。因此人们不会非常积极的吸收资讯并 在投资市场上做反应。Intrade市场常出现的现象是股价不是对市场反应 过慢就是过度反应。最明显的例子是Obama在Wisconsin获得出乎意料之外 的大胜，intrade上认为Obama最後会赢得提名的机率维持在65、70的水准 好几天後才上涨到目前的85。如果牵涉的金额够大，投资者不会放掉Obama 赢得Wisconsin初选这个重大转捩点，趁Obama股还便宜时即早买进来大 赚一笔。过度反应的例子，前面提到的玩家认为Obama有99%的机会拿下 New Hampshire非常明显。 另一个同时过度反应跟反应过慢的例子是intrade对Rhode Island民主党初选 的预测。这项预测对19号Wisconsin的结果反应快速，认为Obama 在该州胜选 机率上涨到80%。然而玩家却没考虑到Rhode Island位在Clinton女士强势 的东北角，选民结构上有不少蓝领劳工，Clinton在那里有一定的优势，20号 左右的市场行情显然是过度反应。然而前两天新闻指出Rhode Island有相当 数量教育程度高、无党派立场的新选民打算参与初选投票，新民调也显示 Clinton女士在该处只领先9%，Obama的行情跌到22.5%不仅是过度反应， 在这些新资讯释出时行情也不见上涨，显然反应又过慢了。 市场规模小更大的问题是，特定候选人的狂热支持者用相对少量的资金 就可以让整个预测市场失真。比方说共和党参选人Ron Paul虽然民调支 持率不高，可是在网路上却有不少狂热支持者喊着媒体跟民调对Paul有 偏见，Paul最後必定会赢得共和党提名。intrade上Ron Paul被预 测会赢得提名的机率也在这些狂热者的影响一度高达10%。然而任何了解政治 现实的人都明白Paul不管在哪一个时间点赢得提名的机率都远远小於10%。 只要市场够大，类似的狂热支持者要扭曲市场便需要更多的资金，预测被 扭曲的机会便将大幅降低。 如果intrade继续成长，牵涉到的资金流量更大，对事件的反应也会更快速 更真实。目前intrade的规模已比2004年来得大，光是这两个月的初选进行 下来，牵涉到的资金已比2004年来的多。 再来是意见来源的同质性过高，本文认为预测市场要成功，参与预测的 玩家除了整个样本要够大，另外投资玩家跟能够决定事件结果的参与者 在组成结构越接近，预测也会更形准确。比方说麦可杰克森的性骚扰案， 投资玩家的结构跟能决定判决结果的12位培审团成员肯定有很大的不同， 因此期货市场上的赔率要精准的反应判决结果是不可能的。 参与期货市场的玩家多半是有钱有闲，知识水准相对较高的族群。当这些 背景相近，数量不多的玩家在对各州的选情做预测时，这些很有可能不是 当地人的投资者很难根据地方上舆论或候选人动员情况的掌握来做预测； 只能根据同样的报导、同样的民调、同样的部落格资讯来做判断。当 报导、部落格、民调对选情判断错误时，预测市场也只能跟着犯错。 不过至少对於选情的预测，专家学者除非神通广大，知道某候选人阵营极 将放震撼选情的大决(话说回来，知道内情的人也通常不会上媒体透露这 些内线讯息)，专家学者也只能凭据着同样的报导、部落格、跟民调做判断 。既然判断的依据相同，拿真钱下去赌的多数玩家总比少数有立场的专家 可靠点。 至於intrade上类似哈马斯什麽时候会承认以色列，什麽时候以色列、巴基 斯坦会搞和平谈判，这些项目都不必太认真对待；除非玩这两项交易的 都是哈马斯跟以色列方面的高级决策者。 目前台湾有政治大学跟中央研究院在做类似的预场市场，显示学界对研究 预测市场对政治事件的预估也相当有兴趣。虽然引进的相关专家很热血 的上媒体表示，预测市场对选情判断的准确度比传统民调高上75%；不过 很遗憾的类似的东西移殖过来恐怕无法同样神准。 除了参与人数少以外，最关键的是或许由於法令限制，这两家学术机构 玩得是虚拟货币，而非玩真钱。虽然在注册帐号限制上或许可以限制 一人一帐号，不过若是特定阵营要影响预测结果，只要动员群众上来就 可以轻易扭曲，反正是玩虚拟货币，根本不痛不养。 台湾学界如果要办好预测市场，没克服不能用真钱的问题是很难的。 眼下最好的解决方式我建议在ptt办，用p币玩。p币对ptt乡民的份 量肯定还远比两家学术单位预测市场的参与者对该处用的虚拟货币还要 重很多。ptt的乡民数量已比去年同时间大幅成长，十几万的乡民以预 测市场的样本来讲不算小了，虽然可能背景都是大专生，分歧度不足； 再加上p币要靠打字来赚，像我这样的虚拟赌博狂热者也会 因为错押中华队p币破产在萤幕前整整哭了10分钟；同时ptt的博羿市场也 颇为活跃，预测市场开在这里有兴趣的乡民一定也不少；更理想的是p币虽然 不是真钱，不具交易价值，乡民仍然对p币相当热情，这些条件综合起来，台 湾学界要办好预测市场ptt是最後的希望。 === 对台湾学界引进预测市场的讨论，我已经试着尽量不牵涉到现实政治 ，如果板主认为不妥，我会修文删掉这部份。 Why Prediction Markets Fail http://bigpicture.typepad.com/comments/2008/01/prediction-mark.html Friday, January 11, 2008 | 07:50 AM in Markets | Politics | Psychology/Sentiment Over the years, I have been critical of prediction and futures markets. In particular, the specific ways certain parties misuse them (i.e., politics). However, I am a big believer that markets can generate valuable economic and investing data that can be quite helpful when handled appropriately. In my own work, we rely on the 10 year interest rate as part of our overall economic modeling. On the equity side, we use various trend component for indices in addition to volume, money flow, short interest and institutional ownership for sectors and specific companies. In each of these cases, we are relying on markets that are deep, diverse and trading in dollar volumes measured in trillions. This is part of my criticism about future markets: They are thin, trading volumes are anemic, the dollar amounts at risk are pitifully small. Thus, these markets are subject to failure at times. Indeed, the excuse making for the failure of the futures market began almost as soon as the New Hampshire primary ended (see Why the Online Prediction Markets Blew New Hampshire, Prediction markets are forecasting tools of convenience that feed on advanced indicators, etc.) None of these really looked at what makes futures markets work, how they can fail, and what their strengths and weaknesses are. This morning, I want to delve into some the problems these markets can have, why they fail, and what value they do offer. First, Let's start by reviewing some of the more spectacular prediction market failures: ‧ Iowa Primary 2004 (Howard Dean vs everyone else) http://bigpicture.typepad.com/comments/2004/01/iowa_and_predec.html ‧ 2006 GOP Senate Retention http://bigpicture.typepad.com/comments/2006/10/odds_of_gop_ret.html ‧ New Hampshire Primary 2008 (Obama vs Hillary) http://bigpicture.typepad.com/comments/2008/01/confusing-cause.html In the area of politics, I am in agreement with Dan Gross, who wrote "these are less futures markets than immediate-past markets." In other words, bettors essentially aggregate polling data that is already out -- rather than forecasting the unknown future. When it comes to politics, its not as if the Iowa electronic market or Intrade gamblers have any special insight or inside knowledge. They don't "know" anything -- as individuals or collectively -- that the rest of the public (insiders included) don't already know. They're all reading the same newspapers, blogs, polls, etc., and responding to whatever broad narrative happens to be coming out that day or week. They respond just as any other focus group would, off of the same information the electorate has. I sometimes think of the political futures markets as a focus group unto themselves. Here's where things get really interesting: When the group is something less representative of the target market, they get it wrong with alarming frequency. Indeed, the closer the traders are as a group to the target decision makers/voters, the better their track record. Consider smaller "electorates" beyond the political events mentioned above. Think of the Michael Jackson Trial, or the Morgan Stanley CEO Purcell resignation betting -- these much smaller groups of 12 jurors, or a handful of MS directors don't lend themselves very well to focus groups or polling. Hence, the lower success rate. Back to political futures: I suspect the traders at Intrade in 2006 missed the GOP Senate loss, because as a group, they themselves skewed away from the rest of the nation. The demographics of Intrade traders are likely higher income, better educated, leaning more GOP than the USA as a whole. Hence, the variation of this focus group away from the larger electorate led to the bad forecasts there. We see this especially in close elections: When they are similar to the voting electorate, they get it right; as they differ, their error rate goes up. This commonality to where they fail is one that's worth exploring further by some suitable academic (Robin? Justin?) A more academic way to analyze these issues is to look at what makes markets work. Lets go to Legg Mason's Michael Mauboussin: "The "wisdom of crowds" is a colloquial way of describing the market as a complex system. The work on wisdom of crowds shows that when certain conditions are met—diversity, aggregation, and incentives — markets tend to be efficient. Conversely, when one or more of those conditions are violated, markets can and do become inefficient (i.e., price is no longer an unbiased reflection of value). For a host of social psychological and sociological reasons, diversity is the most likely condition to be violated. Here, too, market observers have recognized the importance of diversity. But what’s essential to recognize is the relationship between diversity breakdowns and asset price performance is nonlinear. Diversity can be on the decline as the asset price rises, which makes the market fragile. Like a rubber band that’s stretched, the tension builds and the inevitable snapback is often painful." Hence, we see more potential sources of market failure as these conditions are violated: 1) An insufficient amount of incentives; 2) A lack of diversity of ideas; We've discussed both of these, albeit in less than academic terms: The small thinly traded markets means the money at risk is rather small -- measured in $1000s, not trillions of dollars. Hence, the incentive is minimal -- or perhaps non-monetary. Maybe this attracts a somewhat more politically passionate -- and less objective -- group of traders. That can lead to a lack of intellectual diversity. As Mauboussin discussed, that is the most likely source of market failure. And as we review above, this is particularly acute when it comes to smaller groups not paralleling the demographics and or politics of Futures markets' traders. ~~~ In some ways, Futures markets are similar to many Wall Street economists: at times, they merely extrapolate the current trend forward. Hence, they can be right for most of a run -- an economic expansion or stock bull market, etc. However, this process leads them to completely miss major turning point, or an unexpected shift or event. I suspect this factor also played into the New Hampshire 2008 failure... -- ■所有荷兰人如果每周一天不吃肉，就可达到荷兰政府希望家家户户一年所减少的二氧化 碳排放量目标。 ■南美洲约有四亿公顷的黄豆作物是种给牛吃的；如果是提供给人类食用，则只需两千五 百万公顷就可以满足全世界所需。 「不吃肉、骑脚踏车、少消费，就可协助遏止全球暖化。」 by Dr. Rajendra Pachauri --

※ 发信站: 批踢踢实业坊(ptt.cc) ◆ From: 122.127.66.154 ※ 编辑: swallow73 来自: 122.127.66.154 (03/02 13:03) ※ 编辑: swallow73 来自: 122.127.66.154 (03/02 13:29) ※ oodh:转录至看板 politics 03/02 13:20 ※ 编辑: swallow73 来自: 122.127.66.154 (03/02 13:42) ※ 编辑: swallow73 来自: 122.127.66.154 (03/02 14:33)