{"title":"从投注衍生品市场的低效率中获利:以2012年欧足联欧洲杯为例","authors":"Dominic Cortis, Steven D. Hales, F. Bezzina","doi":"10.5750/JGBE.V7I1.597","DOIUrl":null,"url":null,"abstract":"This paper investigates whether it is possible to profit from market inefficiencies on betting exchanges during short tournaments. We describe how a Monte Carlo simulation method, with an inbuilt noise parameter applied on '1X2' markets, can be used to determine odds for derivative markets. In cases of mismatch between model and market odds, a modified Kelly strategy is proposed to determine the percentage of own funds placed against the market. When this proposal is applied to the UEFA European Nations association football tournament 2012, two important findings emerge: (a) a profit of circa 12% of allocated funds was generated, and (b) the profit is not contingent on the noise parameter, thus indicating the possibility of arbitrage between different betting markets. The proposed method can be extended to other sports provided the competition consists of a group stage held over a short period of time.","PeriodicalId":109210,"journal":{"name":"The Journal of Gambling Business and Economics","volume":"65 2 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":"{\"title\":\"PROFITING ON INEFFICIENCIES IN BETTING DERIVATIVE MARKETS: THE CASE OF UEFA EURO 2012\",\"authors\":\"Dominic Cortis, Steven D. Hales, F. Bezzina\",\"doi\":\"10.5750/JGBE.V7I1.597\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper investigates whether it is possible to profit from market inefficiencies on betting exchanges during short tournaments. We describe how a Monte Carlo simulation method, with an inbuilt noise parameter applied on '1X2' markets, can be used to determine odds for derivative markets. In cases of mismatch between model and market odds, a modified Kelly strategy is proposed to determine the percentage of own funds placed against the market. When this proposal is applied to the UEFA European Nations association football tournament 2012, two important findings emerge: (a) a profit of circa 12% of allocated funds was generated, and (b) the profit is not contingent on the noise parameter, thus indicating the possibility of arbitrage between different betting markets. The proposed method can be extended to other sports provided the competition consists of a group stage held over a short period of time.\",\"PeriodicalId\":109210,\"journal\":{\"name\":\"The Journal of Gambling Business and Economics\",\"volume\":\"65 2 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-05-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The Journal of Gambling Business and Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.5750/JGBE.V7I1.597\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Journal of Gambling Business and Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5750/JGBE.V7I1.597","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
PROFITING ON INEFFICIENCIES IN BETTING DERIVATIVE MARKETS: THE CASE OF UEFA EURO 2012
This paper investigates whether it is possible to profit from market inefficiencies on betting exchanges during short tournaments. We describe how a Monte Carlo simulation method, with an inbuilt noise parameter applied on '1X2' markets, can be used to determine odds for derivative markets. In cases of mismatch between model and market odds, a modified Kelly strategy is proposed to determine the percentage of own funds placed against the market. When this proposal is applied to the UEFA European Nations association football tournament 2012, two important findings emerge: (a) a profit of circa 12% of allocated funds was generated, and (b) the profit is not contingent on the noise parameter, thus indicating the possibility of arbitrage between different betting markets. The proposed method can be extended to other sports provided the competition consists of a group stage held over a short period of time.
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