IDEAS home Printed from https://ideas.repec.org/a/buc/jpredm/v7y2013i3p61-86.html
   My bibliography  Save this article

Liquidity Provision And Cross Arbitrage In Continuous Double-Auction Prediction Markets

Author

Listed:
  • Werner Antweiler

Abstract

Continuous double-auction prediction markets often exhibit low transaction volume due to substantial bid-ask spreads. This paper explores a novel method of providing artificial liquidity in continuous double-auction prediction markets by introducing an automated market maker that engages in zero-profit cross-arbitrage in multi-contract markets. Empirical analysis of observed bid-ask spreads, liquidity, offer acceptance, and order sizes in the 2008 UBC Election Stock Market provides additional new insights into the micro-structure of prediction markets.

Suggested Citation

  • Werner Antweiler, 2013. "Liquidity Provision And Cross Arbitrage In Continuous Double-Auction Prediction Markets," Journal of Prediction Markets, University of Buckingham Press, vol. 7(3), pages 61-86.
    • Handle: RePEc:buc:jpredm:v:7:y:2013:i:3:p:61-86
    as

    Download full text from publisher

    File URL: http://ubplj.org/index.php/jpm/article/view/824
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    prediction markets; liquidity;

    JEL classification:

    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:buc:jpredm:v:7:y:2013:i:3:p:61-86. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dominic Cortis, University of Malta (email available below). General contact details of provider: http://www.ubpl.co.uk/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.