[AI Seminar] AI Lunch -- 3/22 Room Change -- Christian Kroer

Ellen Vitercik vitercik at cs.cmu.edu
Wed Mar 16 13:23:05 EDT 2016

Dear faculty and students,

We look forward to seeing you this Tuesday, March 22nd, at noon in *NSH
1507* for AI lunch. To learn more about the seminar and lunch, or to
volunteer to give a talk, please visit the AI Lunch webpage
<http://www.cs.cmu.edu/~aiseminar/>. *We are looking for someone to give a
talk on April 5th.*

On Tuesday, Christian Kroer <http://www.cs.cmu.edu/~ckroer/> will give a talk
titled "Arbitrage-free Combinatorial Market Making via Integer Programming."

*Abstract*: We present a new combinatorial market maker that operates
arbitrage-free combinatorial markets specified by integer programs. The
problem of arbitrage-free pricing, while maintaining a bound on the subsidy
provided by the market maker, is #P-hard in the worst-case. However, we
posit that the typical case might be amenable to modern integer programming
(IP) solvers. At the crux of our method is the Frank-Wolfe (conditional
gradient) algorithm which is used to implement a Bregman projection aligned
with the market maker's cost function, using an IP solver as an oracle. We
demonstrate the tractability and improved accuracy of our approach on
real-world prediction market data from combinatorial bets placed on the
2010 NCAA Men's Division I Basketball Tournament, where the outcome space
is of the size 2^63. To our knowledge, this is the first implementation and
empirical evaluation of an arbitrage-free market on this scale.

Ellen and Ariel
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