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STATUS:CONFIRMED
LAST-MODIFIED:19691231T180000
URL:
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CLASS:PUBLIC
UID:348712@northwestern.edu
SUMMARY:Price Dynamics in Political Prediction Markets
DESCRIPTION:Presented by Saikat Ray Majumder\, Kellogg School of Management. Prediction markets\, in which contract prices are used to forecast future events\, are increasingly applied to various domains ranging from political contests to scientific breakthroughs. However\, the dynamics of such markets are not well understood. Here\, we study the return dynamics of the oldest\, most data-rich prediction markets\, the Iowa Electronic Presidential Election ``Winner-takes-all'' markets. As with other financial markets\, we find uncorrelated returns\, power-law decaying volatility correlations and\, usually\, power-law decaying distributions of returns. However\, unlike other financial markets\, we find diverging volatilities as the contract settlement date approaches. We propose a dynamic binary option model that captures all features of the empirical data and can potentially provide a tool with which one may extract true information events from a price time series. Paper co-authored by Luis Amaral\, Daniel Diermeier and Tom Reitz(U of Iowa).     Refreshments will be provided.   
DTSTART:20080312T120000
DTEND:20080312T130000
CREATED:20080307T000000
DTSTAMP:20080307T000000
SEQUENCE:0
LOCATION:Evanston
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