A study verifying the simulation of market trading with Dynamic Pari-Mutuel mechanism using Python
Ramasamy Loganathan, Venkatesh
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https://hdl.handle.net/2142/49668
Description
Title
A study verifying the simulation of market trading with Dynamic Pari-Mutuel mechanism using Python
Author(s)
Ramasamy Loganathan, Venkatesh
Issue Date
2014-05-30T17:03:50Z
Director of Research (if dissertation) or Advisor (if thesis)
Sreenivas, Ramavarapu S.
Department of Study
Industrial&Enterprise Sys Eng
Discipline
Industrial Engineering
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Keyword(s)
Wagering
Dynamic Pari-Mutuel Mechanism
Random Walk Path
Abstract
Wagering is common in various arenas that include but not limited to horse racing, casinos, financial markets and stock trading. Several market mechanisms are used in these markets to predict the outcome based on the available information and make an educated decision in an investment involving huge risks. One such market mechanism is the Dynamic Pari-Mutuel market mechanism developed by Pennock.
In this study I describe a python based implementation of the mathematical models used in Dynamic Pari-Mutuel mechanism. The simulation that simulates the market transactions is then validated by verifying if the price generated for each purchase transaction follows a random walk path. This work would be a gate-way leading to opportunities to study various complicated market scenarios by extending the existing capabilities of the simulation.
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