Writings on mathematical statistics, latent process-models, Monte Carlo methods, and financial statistics.
Timing prediction markets are based on question like 'Will Event A occur before time T?'; they're especially interesting in geopolitics. I have spent the last six months elaborating a reduced-form model of these timing markets. More sophisticated techniques are able to achieve reasonable calibration across the entire predictive distribution.
Prediction markets of the type 'Will Kahmeini be ousted before 2025?' don't try to forecast the outcome of an event, but its timing. I present the first model of such prediction market prices, based on methods developed for defaultable corporate bonds.
Who will win the next election? Prediction markets turn such questions into tradable contracts, whose market prices reveal collective beliefs about uncertain events. I evaluate the state-of-the-art model of such markets, which models these contracts as derivatives on latent processes. Turns out it's not great!
Remember the game Mastermind, where you have to guess a secret color combination? I explain how we can use information theory to play it optimally. Play around with the interactive game!