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Marcelo Rinesi's avatar

The argument for multiple markets with different rules as a way to help triangulate information inputs seems amenable to formalization (e.g. improving model identifiability in some sort of hierarchical Bayesian model with market-specific likelihood functions; perhaps even using data at the transaction level and per-trader utility function type as a latent variable, that sort of thing). Is there prior and/or ongoing work in this direction?

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Rajiv Sethi's avatar

No work that I know of, but the idea is interesting

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Lionel Page's avatar

Love the police work.

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Rajiv Sethi's avatar

The sleuthing is mostly Domer (at the link), I added some financial analysis, but thanks!

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