An analysis of the in-play betting market for ODIs

Manfield, William J. (2007). An analysis of the in-play betting market for ODIs Honours Thesis, School of Economics, The University of Queensland.

       
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Author Manfield, William J.
Thesis Title An analysis of the in-play betting market for ODIs
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 2007
Thesis type Honours Thesis
Total pages 123
Language eng
Subjects 14 Economics
Formatted abstract This study documents several inefficiencies in the in-play Betfair market for cricket one-day internationals (ODIs). Drawing upon common finance techniques we develop a non-parametric model that seeks to identify mis-priced assets in this specific sports betting market. To take advantage of these inefficiencies we employ various trading strategies in an attempt to earn consistent profits. From an analysis of the data we find limited evidence of underreaction in market prices around significant news events, reporting statistically significant results at the 10% level and economic significance of around 3%-5% for some trades. With the assistance of the nonparametric model we develop more advanced trading rules and strategies. A simple trading strategy that identifies discrepancies between quoted odds and implied probabilities is successful in providing some evidence of market inefficiency with various trades reporting statistical significance at the 5% level and economic significance between 5%-10%. A more complex strategy employs the use of a trailing stop loss, and provides further evidence of possible market inefficiencies by reporting economic significance of between 10%-30%.

 
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Created: Tue, 30 Nov 2010, 10:49:22 EST by Muhammad Noman Ali on behalf of The University of Queensland Library