کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
997721 | 1481460 | 2010 | 6 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: The impact of insider trading on forecasting in a bookmakers’ horse betting market The impact of insider trading on forecasting in a bookmakers’ horse betting market](/preview/png/997721.png)
This paper uses a new variable, which is based on estimates of insider trading, to forecast the outcomes of horse races. We base our analysis on the work of Schnytzer, Lamers, and Makropoulou (2008), who showed that insider trading in the 1997–1998 Australian racetrack betting market represented between 20% and 30% of all trading in this market. They showed that the presence of insiders leads opening prices to deviate from the true winning probabilities. Under these circumstances, forecasts of race outcomes should take into account an estimate of the extent of insider trading for each horse. We show that the added value of this new variable for profitable betting is sufficient to reduce the losses when only prices are taken into account. Since the only variables taken into account by either Schnytzer et al. (2008) or this paper are price data, this is tantamount to a demonstration that the market is, in practice, weak-form efficient.
Journal: International Journal of Forecasting - Volume 26, Issue 3, July–September 2010, Pages 537–542