{"title":"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","authors":"Tomoya Sugawara, Shintaro Mori","doi":"10.1016/j.physa.2025.130982","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"679 ","pages":"Article 130982"},"PeriodicalIF":3.1000,"publicationDate":"2025-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Ornstein–Uhlenbeck process for horse race betting: A micro–macro analysis of herding and informed bettors\",\"authors\":\"Tomoya Sugawara, Shintaro Mori\",\"doi\":\"10.1016/j.physa.2025.130982\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>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.</div></div>\",\"PeriodicalId\":20152,\"journal\":{\"name\":\"Physica A: Statistical Mechanics and its Applications\",\"volume\":\"679 \",\"pages\":\"Article 130982\"},\"PeriodicalIF\":3.1000,\"publicationDate\":\"2025-09-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Physica A: Statistical Mechanics and its Applications\",\"FirstCategoryId\":\"101\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S037843712500634X\",\"RegionNum\":3,\"RegionCategory\":\"物理与天体物理\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"PHYSICS, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Physica A: Statistical Mechanics and its Applications","FirstCategoryId":"101","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S037843712500634X","RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"PHYSICS, MULTIDISCIPLINARY","Score":null,"Total":0}
Ornstein–Uhlenbeck process for horse race betting: A micro–macro analysis of herding and informed bettors
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.
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.