Efficient Market Dynamics: Unraveling Informational Efficiency in UK Horse Racing Betting Markets Through Betfair's Time Series Analysis
<|reference_start|>Efficient Market Dynamics: Unraveling Informational Efficiency in UK Horse Racing Betting Markets Through Betfair's Time Series Analysis: Using Betfair's time series data, an analysis of the United Kingdom (UK) horse racing market reveals an interesting paradox: a market with short tails, rapidly decaying autocorrelations, and no long-term memory. There seems to be a remarkably high level of informational efficiency in betting exchange returns, in contrast to financial assets that are characterized by heavy tails and volatility clustering. The generalized Gaussian unconditional distribution with a light tail point to a market where knowledge is quickly assimilated and reflected in prices. This is further supported by the extremely quick fading of autocorrelations and the absence of gain-loss asymmetry. Therefore, in addition to measuring long-range memory, the Hurst exponent also shows mean reversion, a sign that markets respond quickly to fresh information.<|reference_end|>
@article{tondapu2024efficient,
    title={Efficient Market Dynamics: Unraveling Informational Efficiency in UK
  Horse Racing Betting Markets Through Betfair's Time Series Analysis},
    author={Narayan Tondapu},
    journal={arXiv preprint arXiv:2402.02623},
    year={2024},
    archivePrefix={arXiv},
    eprint={2402.02623},
    primaryClass={cs.CE cs.AI}
}