Long-range correlations in an online betting exchange for a football tournament

Details Long-range correlations in an online betting exchange for a football tournament Long-range correlations in an online betting exchange for a football tournament

Oct 2010

adsabs.harvard.edu/cgi-bin/nph-data_query?bibcode=2010njph...12j5001h&link_type=abstract

New Journal of Physics, Volume 12, Issue 10, pp. 105001 (2010).

Physics

1

Scientific paper

We analyze the changes in the market odds of football matches in an online betting exchange, Betfair.com. We identify the statistical differences between the returns that occur when the game play is under way, which we argue are driven by match events, and the returns that occur during half-time, which we ascribe to a trader-driven noise. Furthermore, using detrended fluctuation analysis we identify anti-persistence (Hurst exponent H<0.5) in odds returns and long memory (H>0.5) in the volatilities, which we attribute to the trader-driven noise. The time series of trading volume are found to be short-memory processes.

Affiliated with

Also associated with

No associations

Rating

Long-range correlations in an online betting exchange for a football tournament does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Long-range correlations in an online betting exchange for a football tournament, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Long-range correlations in an online betting exchange for a football tournament will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-1311660