Scoring Probability Forecasts by a User’s Bets Against a Market Consensus

References

• Aucamp DC (1993) On the extensive number of plays to achieve superior performance with the geometric mean strategy. Management Sci. 39(9):1163–1172.Link, Google Scholar
• Bertrand M, Mullainathan S (2001) Do people mean what they say? Implications for subjective survey data. Amer. Econom. Rev. 91(2):67–72.Crossref, Google Scholar
• Bickel JE (2007) Some comparisons among quadratic, spherical, and logarithmic scoring rules. Decision Anal. 4(2):49–65.Link, Google Scholar
• Bickel EJ, Smith ZJ (2020) Additive scoring rules for discrete sample spaces. Decision Anal. 17(2):115–133.Link, Google Scholar
• Blume L, Easley D (2006) If you’re so smart, why aren’t you rich? Belief selection in complete and incomplete markets. Econometrica 74(4):929–966.Crossref, Google Scholar
• Carvalho A (2015) Tailored proper scoring rules elicit decision weights. Judgment Decision Making 10(1):86–96.Google Scholar
• Carvalho A (2016) An overview of applications of proper scoring rules. Decision Anal. 13(4):223–242.Link, Google Scholar
• Dana J, Atanasov P, Tetlock P, Mellers B (2019) Are markets more accurate than polls? The surprising informational value of “just asking”. Judgment Decision Making 14(2):135–147.Google Scholar
• Grant A, Johnstone DJ, Kwon OKK (2019) A probability scoring rule for simultaneous events. Decision Anal. 16(4):301–313.Link, Google Scholar
• Hanson R (2007) Logarithmic market scoring rules for modula combinatorial information aggregation. J. Prediction Markets 1(1):3–15.Crossref, Google Scholar
• Hastie T, Tibshirani R, Friedman J (2009) The Elements of Statistical Learning: Data Mining, Inference and Prediction (Springer, New York).Crossref, Google Scholar
• Johnstone DJ (2007) The parimutuel Kelly probability scoring rule. Decision Anal. 4(2):66–75.Link, Google Scholar
• Johnstone DJ (2012) Log optimal economic evaluation of probability forecasts (with discussion). J. Royal Statist. Soc. Ser. A 175(3):661–689.Crossref, Google Scholar
• Johnstone DJ, Jose VR, Winkler RL (2011) Tailored scoring rules for probabilities. Decision Anal. 8(4):256–268.Link, Google Scholar
• Jones S, Johnstone D, Wilson R (2017) Predicting corporate bankruptcy: An evaluation of alternative statistical models. J. Bus. Finance Accounting 44(1–2):3–34.Crossref, Google Scholar
• Jose VR, Nau RF, Winkler RL (2008) Scoring rules, generalized entropy, and utility maximization. Oper. Res. 56(5):1146–1157.Link, Google Scholar
• Kadane JB (2011) Partial-Kelly strategies and expected utility: Small-edge asymptotics. Decision Anal. 8(1):4–9.Link, Google Scholar
• Kilgour D, Gerchak Y (2004) Elicitation of probabilities using competitive scoring rules. Decision Anal. 1(2):108–113.Link, Google Scholar
• Li Y (1993) Growth-security investment strategy for long and short runs. Management Sci. 39(8):915–924.Link, Google Scholar
• MacLean LC, Ziemba WT (1999) Growth vs. security tradeoffs in dynamic investment analysis. Ann. Oper. Res. 85:193–225.Crossref, Google Scholar
• MacLean LC, Thorp E, Ziemba WT (2010) Long-term capital growth: The good and bad properties of the Kelly criterion. Quant. Finance 10(7):681–687.Crossref, Google Scholar
• MacLean LC, Ziemba WT, Blazenko G (1992) Growth vs. security in dynamic investment analysis. Management Sci. 38(11):1562–1585.Link, Google Scholar
• MacLean LC, Ziemba WT, Li Y (2005) Time to wealth goals in capital accumulation and the optimal trade-off of growth vs. security. Quant. Finance 5:343–357.Crossref, Google Scholar
• MacLean LC, Sanegre R, Zao Y, Ziemba WT (2004) Capital growth with security. J. Econom. Dynam. Control 28(5):937–954.Crossref, Google Scholar
• Madigan D, Raftery AE (1994) Model selection and accounting for model uncertainty in graphical models using Occam’s window. J. Amer. Statist. Assoc. 89(428):1535–1546.Crossref, Google Scholar
• Merkle EC, Steyvers M (2013) Choosing a strictly proper scoring rule. Decision Anal. 10(4):292–304.Link, Google Scholar
• Ottaviani M, Sorensen P (2015) Price reaction to information with heterogeneous beliefs and wealth effects: Underreaction, momentum, and reversal. Amer. Econom. Rev. 105(1):1–34.Crossref, Google Scholar
• Ranjan R, Gneiting T (2010) Combining probability forecasts. J. Royal Statist. Soc. Ser. B 72(1):71–91.Crossref, Google Scholar
• Sandroni A (2000) Do markets favor agents able to make accurate predictions? Econometrica 68(6):1303–1342.Crossref, Google Scholar
• Selton R (2007) Axiomatic characterization of the quadratic scoring rule. Experiment. Econom. 1:43–62.Crossref, Google Scholar
• Tetlock PE, Mellers BA, Scoblic JP (2017) Bringing probability judgments into policy debates via forecasting tournaments. Sci. 355(6324):481–483.Crossref, Google Scholar
• Traczynski J (2017) Firm default prediction: A Bayesian model-averaging approach. J. Financial Quant. Anal. 52(3):1211–1245.Crossref, Google Scholar
• Winkler RL (1996) Scoring rules and the evaluation of probabilities. Test 5:1–60.Crossref, Google Scholar
• Winkler RL, Jose VRR (2010) Scoring rules. Cochran JJ, ed. Wiley Encyclopedia of Operations Research and Management Sciences (Wiley, New York), 4733–4744.Google Scholar
• Winkler RL, Grushka-Cockayne Y, Lichtendahl KC, Jose VRR (2019) Probability forecasts and their combination: A research perspective. Decision Anal. 16(4):239–260.Link, Google Scholar