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Detecting Important Events
using Prediction Markets, Text
Mining, and Volatility Modeling
     George Tziralis  Panos Ipeirotis
markets and efficiency

• strong: prices reflect all information, public and
  private
• semi-strong: prices reflect all publicly available
  information
• weak: past prices cannot be used for market
  prediction
prediction markets?

• Perhaps, the relationship between price and
   information is no more clear than in prediction
   markets (Pennock et al. 2002)
• let’s start from the weak form of efficiency
• is it possible to predict future prices using only
   past ones?
playground

• InTrade
• political contracts
• US nominee elections 08
• 800 - 1000 time series instances for each
  contract
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop
Tziralis & Ipeirotis at 3rd Prediction Markets Workshop

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Tziralis & Ipeirotis at 3rd Prediction Markets Workshop

  • 1. Detecting Important Events using Prediction Markets, Text Mining, and Volatility Modeling George Tziralis Panos Ipeirotis
  • 2. markets and efficiency • strong: prices reflect all information, public and private • semi-strong: prices reflect all publicly available information • weak: past prices cannot be used for market prediction
  • 3. prediction markets? • Perhaps, the relationship between price and information is no more clear than in prediction markets (Pennock et al. 2002) • let’s start from the weak form of efficiency • is it possible to predict future prices using only past ones?
  • 4. playground • InTrade • political contracts • US nominee elections 08 • 800 - 1000 time series instances for each contract