We develop a model of a prediction market with ambiguity and derive testable implications of the presence of Knightian uncertainty. Our model can explain two commonly observed empirical regularities in betting markets: the tendency for longshots to win less often than odds would indicate and the tendency for favorites to win more often. Using historical data from Intrade, we further present empirical evidence that is consistent with the predicted presence of Knightian uncertainty. Our evidence also suggests that, even with information acquisition, the Knightian uncertainty of the world may be not "learnable" to the traders in prediction markets.

中文翻译：

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骑士不确定性的观察意义

我们开发了具有歧义性的预测市场模型，并得出了存在Knightian不确定性的可检验的含义。我们的模型可以解释博彩市场中两个经常观察到的经验规律性：远距离获胜的几率低于赔率所表明的趋势，而偏爱远景的获胜率则更高。使用来自Intrade的历史数据，我们进一步提供了与Knightian不确定性的预测存在相符的经验证据。我们的证据还表明，即使有了信息获取，预测市场中的交易者也可能无法“学习”骑士的世界不确定性。