Ornstein–Uhlenbeck process for horse race betting: A micro–macro analysis of herding and informed bettors

IF 3.1 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY
Tomoya Sugawara, Shintaro Mori
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引用次数: 0

Abstract

We model the time evolution of single-win odds in Japanese horse racing as a stochastic process, deriving an Ornstein–Uhlenbeck (O–U) process by analyzing the probability dynamics of vote shares and the empirical time series of odds movements. Our framework incorporates two types of bettors: herders, who adjust their bets based on current odds, and informed better (fundamentalist), who wager based on a horse’s true winning probability. Using data from 3450 Japan Racing Association races in 2008, we identify a microscopic probability rule governing individual bets and a mean-reverting macroscopic pattern in odds convergence. This structure parallels financial markets, where traders’ decisions are influenced by market fluctuations, and the interplay between herding and fundamentalist strategies shapes price dynamics. These results highlight the broader applicability of our approach to non-equilibrium financial and betting markets, where mean-reverting dynamics emerge from simple behavioral interactions.
赛马投注的奥恩斯坦-乌伦贝克过程:对放牧和知情投注者的微观-宏观分析
本文将日本赛马单赢赔率的时间演化建模为随机过程,通过分析投票份额的概率动态和赔率运动的经验时间序列,推导出Ornstein-Uhlenbeck (O-U)过程。我们的框架包含两种类型的投注者:牧民,他们根据当前的赔率调整他们的赌注,以及消息灵通的人(原教旨主义者),他们根据一匹马的真正获胜概率下注。利用2008年日本赛马协会3450场比赛的数据,我们确定了一个微观的概率规则来控制个人投注和赔率收敛的均值回归宏观模式。这种结构与金融市场相似,在金融市场中,交易者的决策受到市场波动的影响,羊群和基本面策略之间的相互作用决定了价格动态。这些结果突出了我们的方法对非均衡金融和博彩市场的更广泛适用性,在这些市场中,均值回归动力学来自简单的行为相互作用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.20
自引率
9.10%
发文量
852
审稿时长
6.6 months
期刊介绍: Physica A: Statistical Mechanics and its Applications Recognized by the European Physical Society Physica A publishes research in the field of statistical mechanics and its applications. Statistical mechanics sets out to explain the behaviour of macroscopic systems by studying the statistical properties of their microscopic constituents. Applications of the techniques of statistical mechanics are widespread, and include: applications to physical systems such as solids, liquids and gases; applications to chemical and biological systems (colloids, interfaces, complex fluids, polymers and biopolymers, cell physics); and other interdisciplinary applications to for instance biological, economical and sociological systems.
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