Archive

Efficiency of Markets

Authors: Schnytzer, Adi and Shilony, Yuval

Source: The Journal of Gambling Business and Economics, Volume 1, Number 1, February 2007 , pp. 13-29(17)

The purpose of this paper is to determine empirically whether or not there is systematic price rigging in three Australian betting markets: Horse, harness and greyhound racing. We present a simple model which shows the conditions under which it is optimal for insiders to rig prices by deliberate underperformance in some races. We then show how an empirical analysis of the relationship between win and place probabilities in conjunction with observed patterns of betting behavior, may be used to establish the presence of price rigging. It is shown that there is no significant systematic price rigging in these markets.

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Author: Coleman, Les

Source: The Journal of Gambling Business and Economics, Volume 1, Number 1, February 2007, pp. 31-55

This paper quantifies the extent and changes in insider trading in the Melbourne racetrack betting market using a unique, long term dataset. Wagering markets share many of the characteristics of other financial markets, and are simple, with good data and a designated endpoint. Thus they are an excellent natural laboratory to study what is probably happening in qualitatively similar conventional markets. Results of this paper provide statistically significant support for hypotheses supporting the existence and increase in level of insider trading, and suggest that around two percent of betting is by insiders.

Authors: Deschamps, Bruno; Gergaud, Olivier

Source: The Journal of Prediction Markets, Volume 1, Number 1, February 2007 , pp. 61-73(13)

We analyze the efficiency of English football betting markets between 2002 and 2006. We find evidence of a positive favourite-longshot bias for both home odds and away odds. Draw odds are instead characterized by a negative longshot bias. We also identify a draw bias in the sense that betting at draw odds yields a higher return than betting at home or away odds. Finally, we investigate betting strategies that exploit the variance of odds between bookmakers.