Detecting Important Events Using Prediction Markets, Text Mining, and Volatility Modeling

1. Detecting Important Events using Prediction Markets, Text Mining, and Volatility Modeling George Tziralis Panos Ipeirotis
2. markets and efﬁciency • strong: prices reﬂect all information, public and private • semi-strong: prices reﬂect all publicly available information • weak: past prices cannot be used for market prediction
3. prediction markets? • Perhaps, the relationship between price and information is no more clear than in prediction markets (Pennock et al. 2002) • let’s start from the weak form of efﬁciency • is it possible to predict future prices using only past ones?
4. playground • InTrade • political contracts • US nominee elections 08 • 800 – 1000 time series instances for each contract

Panos Ipeirotis