Open AccessOn risk measures, market making, and exponential families
Author(s) -
Jacob Abernethy,
Rafael Frongillo,
Sindhu Kutty
Publication year - 2015
Publication title -
acm sigecom exchanges
Language(s) - English
Resource type - Journals
ISSN - 1551-9031
DOI - 10.1145/2728732.2728734
Subject(s) - exponential family , financial market , measure (data warehouse) , econometrics , connection (principal bundle) , exponential function , actuarial science , probability measure , mathematics , mathematical economics , computer science , economics , statistics , data mining , finance , mathematical analysis , geometry
In this note we elaborate on an emerging connection between three areas of research: (a) the concept of a risk measure developed within financial mathematics for reasoning about risk attitudes of agents under uncertainty, (b) the design of automated market makers for prediction markets, and (c) the family of probability distributions known as exponential families.
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