Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098007 | Journal of Economic Dynamics and Control | 2017 | 30 Pages |
Abstract
Live soccer betting markets differ from other binary options markets in that all fundamental information is observable, the options mature in less than two hours and the markets are highly liquid. This study presents a new method for the identification of hidden information in market prices. The method is based on two independent Poisson distributions and on a numerical algorithm for the aggregation of all market price information into one rational number. The method is applied to an empirical dataset of real time market prices in 29,413 soccer games. The results indicate that the method selects the most profitable markets and allows for a significant improvement in average investment returns.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Vera Hofer, Johannes Leitner,