CMStatistics 2021: Start Registration
View Submission - CFE
Title: Utility based auction mechanism and model selection Authors:  Robert Navratil - Charles University, Faculty of Mathematics and Physics (Czech Republic) [presenting]
Jan Vecer - Charles University, MFF (Czech Republic)
Abstract: A novel closing auction mechanism is presented based on model prediction in the form of a distributional opinion about a random variable $X$. Different model opinions can be traded on a hypothetical market that trades their differences. Using a utility maximization technique, we describe such a market for any general random variable $X$ and any utility function $U$. We specify the optimal behavior of agents and the total market that aggregates all available opinions and show that a correct distributional opinion realizes profit in expectation against any other opinion. Analytical solutions are available for random variables from the exponential family. We determine the distribution corresponding to the aggregated view of all available opinions. Finally, we show that the matching algorithm naturally generates a closing auction similar to NASDAQ's opening and closing cross.