nach oben

Journal of Business Economics

Erschienen in:

01.04.2015 | Original Paper

A macroeconomic forecasting market

verfasst von: Florian Teschner, Christof Weinhardt

Erschienen in: Journal of Business Economics | Ausgabe 3/2015

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

Macro-economic forecasts are used extensively in industry and government even though the historical accuracy and reliability is disputed. Modern information systems facilitate participatory, crowd-sourced processes that harness the collective intelligence. One instantiation of such wisdom of the crowds are prediction markets which have proven to successfully forecast the outcome of elections, sport events and product sales. Consequently we specifically design a prediction market for macro-economic variables in Germany. The proposed market design differs significantly from previous ones. It solves some of the known problems such as low liquidity and partition-dependence framing effects. The market acts as a mechanism not only to aggregate dispersed information but also to aggregate individual forecasts. It does so by incentivizing participation and rewards early, precise forecasts. Moreover, the market-platform is yet alone in aggregating these forecasts continuously and for a long time horizon. Analyzing the market-generated forecasts, we find that forecast accuracy improves constantly over time and that generated forecasts performed well in comparison to the Bloomberg-survey forecasts. From an individual perspective, market participants interact in a repeated decision-making environment closely resembling decision-making in financial markets. We analyze the impact of cognition, risk-aversion and confidence on trading activity and success.

Vorheriger Artikel Me, myself, and my university: a multilevel analysis of individual and institutional determinants of academic performance

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Journal of Business Economics

From January 2013, the Zeitschrift für Betriebswirtschaft (ZfB) is published in English under the title Journal of Business Economics (JBE). The Journal of Business Economics (JBE) aims at encouraging theoretical and applied research in the field of business economics and business administration, promoting the exchange of ideas between science and practice.

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

www.eix-market.de or www.eix.handelsblatt.com.

Abramowicz MB (2004) Information markets, administrative decision making, and predictive cost-benefit analysis. Univ Chicago Law Rev 71:933–1020

Allen F, Gale D (1992) Stock-Price Manipulation. Rev Financ Stud 5(3):503–529CrossRef

Ang JS, Schwarz T (1984) Risk aversion and information structure: an experimental study of price variability in the securities markets. J Financ 40(3):825–844

Armstrong JS (2008), ‘Combining Forecasts’, principles of forecasting: a handbook for researchers and practitioners, J. Scott Armstrong, ed., Norwell, MA: Kluwer Academic Publishers, 2001

Arrow KJ, Forsythe R, Gorham M, Hahn R, Hanson R, Ledyard JO, Levmore S, Litan R, Milgrom P, Nelson FD, Neumann GR, Ottaviani M, Schelling TC, Shiller RJ, Smith VL, Snowberg E, Sunstein CR, Tetlock PC, Tetlock PE, Varian HR, Wolfers J, Zitzewitz E (2008) Economics: the promise of prediction markets. Science 320(5878):877–878CrossRef

Barber BM, Odean T (2000) Trading is hazardous to your wealth: the common stock investment performance of individual investors. J Financ 55:773–806CrossRef

Barber BM, Odean T (2001) Boys will be boys: gender, overconfidence, and common stock investment. Quart J Econ 116(1):261–292CrossRef

Barber BM, Lee Y-T, Liu Y-J, Odean T (2009) Just how much do individual investors lose by trading? Rev Financ Stud 22(2):609–632CrossRef

Bennouri M, Gimpel H, Robert J (2011) Measuring the impact of information aggregation mechanisms: an experimental investigation. J Econ Behav Organ 78(3):302–318CrossRef

Berg JE, Rietz TA (2006) The iowa electronic markets: stylized facts and open issues. In: Hahn RW, Tetlock PC (eds) Information markets: a new way of making decisions. AEI Press, Washington, pp 142–169

Berg J, Forsythe R, Nelson F, Rietz TA (2000) ‘Results from a dozen years of election futures market research’, working paper

Berg JE, Nelson FD, Rietz TA (2008) Prediction market accuracy in the long run. Int J Forecast 24(2):285–300CrossRef

Berlemann M, Nelson F (2005) ‘Forecasting inflation via experimental stock markets some results from pilot markets’, ifo working papers (Ifo working papers No. 10)

Berlemann M, Dimitrova K, Nenovsky N (2005) ‘Assessing market expectations on exchange rates and inflation: a pilot forecasting system for Bulgaria’, working paper

Brabham DC (2008) ‘Crowdsourcing as a model for problem solving convergence’. The international journal of research into new media technologies, Sage publications, 2008, 14, 75

Brenner M, Eldor R, Hauser S (1999) ‘The price of options illiquidity’, technical report, New York University, Leonard N. Stern School of Business

Camerer CF, Lowenstein G (2003), Behavioral Economics: Past, Present, Future’Advances in Behavioral Economics’, Princeton University Press, pp. 3–51

Campbell DW, Sareen J, Stein MB, Kravetsky LB, Paulus MP, Hassard ST, Reiss JP (2009) Happy but not so approachable: the social judgments of individuals with generalized social phobia. Depress Anxiety 26(5):419–424CrossRef

Clements M, Hendry D (2002) ‘An overview of economic forecasting’, A companion to economic forecasting, 1–18

Cowgill B, Zitzewitz E (2013) Corporate prediction markets: evidence from Google, Ford, and Koch industries. Working paper

Cowgill B, Wolfers J, Zitzewitz E (2009) Using prediction markets to track information flows: Evidence from google. In S. Das, M. Ostrovsky, D. Pennock, and B. Szymanksi (Eds.), Auctions, Market Mechanisms and Their Applications, Volume 14 of Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering, pp. 3–3. Berlin: Springer

Croushore D, Stark T (2001) A real-time data set for macroeconomists. Journal of econometrics 105(1):111–130CrossRef

Deck C, Lin S, Porter D (2013) Affecting policy by manipulating prediction markets: experimental evidence. J Econ Behav Organ 85:48–62CrossRef

Erikson RS, Wlezien C (2008) Are political markets really superior to polls as election predictors?. Public Opinion Quart 72(2):190–215CrossRef

Fama EF (1970) Efficient capital markets: a review of theory and empirical work. J Financ 25(2):383–417CrossRef

Fama EF (1991) Efficient capital markets: ii. J Financ 46(5):1575–1617CrossRef

Fellner G, Maciejovsky B (2007) Risk attitude and market behavior: evidence from experimental asset markets. J Econ Psychol 28(3):338–350CrossRef

Fildes R, Stekler H (2002) The state of macroeconomic forecasting. J Macroecon 24(4):435–468CrossRef

Forsythe R, Nelson F, Neumann GR, Wright J (1992) Anatomy of an experimental political stock market. Am Econ Rev 82(5):1142–1161

Forsythe R, Rietz TA, Ross TW (1999) Wishes, expectations and actions: a survey on price formation in election stock markets. J Econ Behav Organ 39:83–110CrossRef

Frederick S (2005) Cognitive reflection and decision making. J Econ Perspect 19(4):25–42CrossRef

Gadanecz B, Moessner R, Upper C (2007) ‘Economic derivatives’, BIS quarterly review, 68

Gillen BJ, Plott CR, Shum M (2012) Information aggregation mechanisms in the field: Sales forecasting inside intel. Working paper

Gjerstad S, Hall M (2005), ‘Risk aversion, beliefs, and prediction market equilibrium’, Economic Science Laboratory, University of Arizona

Goel S, Reeves DM, Watts DJ, Pennock DM (2010, June). Prediction without markets. In Proceedings of the 11th ACM conference on Electronic commerce (pp. 357-366). ACM

Graefe A (2010) Are prediction markets more accurate than simple surveys? Foresight. Int J Appl Forecast Issue 19:39–43

Gurkaynak R, Wolfers J (2006) ‘Macroeconomic Derivatives: an initial analysis of market-based macro forecasts, uncertainty, and risk’, technical report, National Bureau of Economic Research, Inc, No. 11929

Güth W, Krahnen JP, Rieck C (1997) Financial markets with asymmetric information: a pilot study focusing on insider advantages. J Econ Psychol 18(2–3):235–257CrossRef

Hanson R (2003) Combinatorial information market design. Inf Sys Front 5(1):107–119CrossRef

Hanson R (2006) ‘Foul play in information markets’. In: Hahn RW, Tetlock PC (ed.) Information markets: a new way of making decisions. pp. 126–141. Washington D.C.: AEI Press. Incollection George Foul Play in Information Markets

Hanson R, Oprea R (2007) A Manipulator Can Aid Prediction Market Accuracy. Economica 76:304–314CrossRef

Hanson R, Oprea R, Porter D (2006) Information Aggregation and Manipulation in an Experimental Market. J Econ Behav Organ 60(4):449–459CrossRef

Hayek FA (1945) The use of knowledge in society. Am Econ Rev 35(4):519–530

Holt CA, Laury SK (2000) Risk aversion and incentive effects. Am Econ Rev 92:1644–1655CrossRef

Jian L, Sami R (2012) Aggregation and manipulation in prediction markets: effects of trading mechanism and information distribution. Manage Sci 58(1):123–140CrossRef

Kirchler E, Maciejovsky B (2002) Simultaneous over- and underconfidence: evidence from experimental asset markets. J Risk Uncertain 25(1):65–85CrossRef

Kittur A, Kraut RE (2008) Harnessing the wisdom of crowds in wikipedia: quality through coordination. Proceedings of the 2008 ACM conference on Computer supported cooperative work (CSCW ‘08). ACM, New York, pp 37–46CrossRef

Ledyard J, Hanson R, Ishikida T (2009) An experimental test of combinatorial information markets. J Econ Behav Organ 69(2):182–189CrossRef

Leitch G, Tanner J (1991) Economic forecast evaluation: profits versus the conventional error measures. Am Econ Rev 81(3):580–590

Lo AW (2007) ‘Efficient markets hypothesis’. The new Palgrave: a dictionary of economics 2

Luckner S, Schroeder J, Slamka C (2008), ‘On the forecast accuracy of sports prediction markets’. In: Gimpel H, Jennings NR, Kersten G, Ockenfels A, Weinhardt C (eds) “Negotiation, auctions and market engineering” 1, 227–234

Manski CF (2006) Interpreting the predictions of prediction markets. Econ Lett 91:425–429CrossRef

Mbemap M (2004) Economic derivatives and the art and science of investment. J Deriv Account 1:5–8

McNees SK (1992), ‘How large are economic forecast errors?’, New England Economic review(Jul), 25–42

Milgrom P, Stokey N (1982) ‘Information, trade, and common knowledge’. Journal of Economic Theory 26(1)

Neumann D (2004) ‘Market Engineering: A structured design process for electronic markets’, PhD thesis, Karlsruhe

Oliven K, Rietz TA (2004) Suckers are born but markets are made: individual rationality, arbitrage, and market efficiency on an electronic futures market. Manage Sci 50(3):336–351CrossRef

Oller L-E, Barot B (2000) The accuracy of European growth and inflation forecasts. Int J Forecast 16(3):293–315CrossRef

Osterloh S (2008) Accuracy and properties of german business cycle forecasts. Appl Econ Quart 54(1):27–57 (formerly: Konjunkturpolitik)CrossRef

Prakash, Loungani (2001) How accurate are private sector forecasts? Cross-country evidence from consensus forecasts of output growth. Int J Forecast 17(3):419–432CrossRef

Roll R (1984) Orange juice and weather. Am Econ Rev 74(5):861–880

Roth EA (2009) What have we learned from market design? Innovation policy and the economy, Vol 9. University of Chicago Press, 79–112

Rothschild D (2009) Forecasting Elections Comparing Prediction Markets, Polls, and Their Biases. Public Opin Quart 73(5):895–916CrossRef

Schuh S (2001) ‘An evaluation of recent macroeconomic forecast errors’, New England Economic Review, 35–56

Servan-Schreiber E, Wolfers J, Pennock DM, Galebach B (2004) Prediction markets: does money matter? Electron Markets 14(3):243–251CrossRef

Seuken S, Parkes DC, Horvitz E, Jain K, Czerwinski M, Tan D (2012) ‘Market user interface design’. In Proceedings of the 13th ACM Conference on Electronic Commerce (pp. 898–915). ACM

Shiller RJ (1993), Macro markets: creating institutions for managing society’s largest economic risks/Robert J. Shiller, Clarendon, Oxford

Snowberg E, Wolfers J (2005) ‘Explaining the favorite-longshot bias: is it risk-love, or misperceptions?’, University of Pennsylvania, mimeo

Snowberg E, Wolfers J, Zitzewitz E (2007) Partisan impacts on the economy: evidence from prediction markets and close elections. Q J Econ 122(2):807–829CrossRef

Sonnemann U, Camerer CF, Fox CR, Langer T (2008) ‘Partition-dependent framing effects in lab and field prediction markets’, working paper

Spann M, Skiera B (2004) Einsatzmöglichkeiten virtueller Börsen in der Marktforschung. Zeitschrift für Betriebswirtschaft 74:25–48

Stathel S, Luckner S, Teschner F, Weinhardt C, Reeson A, Whitten S (2009), ‘AKX - An exchange for predicting water dam levels in Australia’, in Proceedings of the 4th International Symposium on Information Technologies in Environmental Engineering, pp. 78-90

Subrahmanyam A (1991) Risk aversion, market liquidity, and price efficiency. Rev Financ Stud 4(3):417–441CrossRef

Surowiecki J (2004) The wisdom of crowds: why the many are smarter than the few and how collective wisdom shapes business, economies, societies and nations. Doubleday, New York

Teschner F, Weinhardt C (2012) Evaluating hidden market design’. auctions, market mechanisms, and their applications. Springer, New York, pp 5–17CrossRef

Teschner F, Mazarakis A, Riordan R, Weinhardt C (2011) “Participation, feedback & incentives in a competitive forecasting community,” Proceedings of the International Conference on Information Systems (ICIS), Shanghai, China, Paper 16, 1–14

Thaler RH, Sunstein CR, Balz JP (2010) ‘Choice architecture’, working paper

Thomason, D. (2012). “Should presidential campaigns spend more money manipulating intrade?” The Atlantic, October 23, 2012

Tversky A, Kahneman D (1974) Judgment under Uncertainty: heuristics and Biases. Science 185(4157):1124–1131CrossRef

Tziralis G, Tatsiopoulos I (2007) Prediction markets: an extended literature review. J Predict Markets 1(1):75–91

Vajna T (1977) Prognosen für die Politik. (Grenzen, Fehler, Möglichkeiten der Wirtschaftsprognosen, Deutscher Instituts-Verlag

Wärneryd KE (1996) Risk attitudes and risky behavior. J Econ Psychol 17(6):749–770CrossRef

Weinhardt C, Gimpel H (2006) Market engineering: an interdisciplinary research challenge. In: Jennings N, Kersten G, Ockenfels A, Weinhardt C (eds) Dagstuhl seminar proceedings 06461 negotiation and market engineering. Internationales Begegnungs- und Forschungszentrum (IBFI), Schloss Dagstuhl, Germany

Weinhardt C, Holtmann C, Neumann D (2003) Market-engineering. Wirtschaftsinformatik 45(6):635–640CrossRef

Weinhardt C, Neumann D, Holtmann C, Ganz W (2006) Germany: computer-aided market engineering. Communications-ACM 49(7):79CrossRef

Wolfers J, Zitzewitz E (2004) Prediction Markets. J Econ Perspect 18(2):107–126CrossRef

Wolfers J, Zitzewitz E (2006a) Five open questions about prediction markets. In: Hahn Robert W, Tetlock Paul C (eds) Information markets: a new way of making decisions. AEI Press, Washington D.C., pp 13–36

Wolfers J, Zitzewitz E (2006b) ‘Interpreting prediction market prices as probabilities’, Technical report, Federal Reserve Bank of San Francisco

Titel: A macroeconomic forecasting market
verfasst von: Florian Teschner
Christof Weinhardt
Publikationsdatum: 01.04.2015
Verlag: Springer Berlin Heidelberg
Erschienen in: Journal of Business Economics / Ausgabe 3/2015
Print ISSN: 0044-2372
Elektronische ISSN: 1861-8928
DOI: https://doi.org/10.1007/s11573-014-0741-5

Springer Professional

Abstract

Bitte loggen Sie sich ein, um Zugang zu Ihrer Lizenz zu erhalten.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Journal of Business Economics

Springer Professional "Wirtschaft"

Premium Partner