Pricing, Market Making, Scoring Rules, and Exponential Families
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In this talk we'll explore a number of connections between a range of areas. We will introduce the notion of a prediction market and then we will show how the design of automated market making strategies relates to notion of a scoring rules, which in turn relates to sequential pricing functions. We will also make a connection to several techniques for working with exponential family distributions.
Jake received his undergraduate degree in Mathematics from MIT in 2002 and a Master's degree in Computer Science from TTI-C in 2006. He finished a PhD in Computer Science at UC Berkeley, advised by Professor Peter Bartlett. From the Fall of 2011 to the Summer of 2013 he had been a Simons Postdoctoral Fellow at University of Pennsylvania working with Professor Michael Kearns. He just started as an Assistant Professor in the CSE Division at the University of Michigan.