# Information Aggregation in Exponential Family Markets

arXiv: https://arxiv.org/abs/1402.5458 · HTML: https://mlsanity.com/paper/1402.5458/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 22 Feb 2014.

## Built on by (most cited first, 1 of 1)

- [Price Interpretability of Prediction Markets: A Convergence Analysis](https://mlsanity.com/paper/2205.08913/) (2022)

## Abstract (arXiv)

We consider the design of prediction market mechanisms known as automated market makers. We show that we can design these mechanisms via the mold of exponential family distributions, a popular and well-studied probability distribution template used in statistics. We give a full development of this relationship and explore a range of benefits. We draw connections between the information aggregation of market prices and the belief aggregation of learning agents that rely on exponential family distributions. We develop a very natural analysis of the market behavior as well as the price equilibrium under the assumption that the traders exhibit risk aversion according to exponential utility. We also consider similar aspects under alternative models, such as when traders are budget constrained.