A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Modeling horse race betting odds with Ornstein-Uhlenbeck process.
Study proposes new methods to convert betting odds into accurate probabilities for sports forecasting.
In the UK betting market, bookmakers often offer a free coupon to new customers. These free coupons allow the customer to place extra bets, at lower risk, in combination with the usual betting odds. We are interested in whether a customer can exploit these free coupons in order to make a sure gain, and if so, how the c…
Tennis is a popular sport worldwide, boasting millions of fans and numerous national and international tournaments. Like many sports, tennis has benefitted from the popularity of rigorous record-keeping of game and player information, as well as the growth of machine learning methods for use in sports analytics. Of par…
The Labouchere gambling system is hypothesized to increase the probability of winning a predetermined arbitrary profit in a gambling system such as a coin flip or a roulette game in which both payouts and odds are 1:1. However, use of the system increases the downside monetary risk in the event of a streak of multiple …
BBE simulates betting exchanges to generate synthetic data for AI research.
Study compares financial and gambling markets, finding similarities and potential applications.
A quantum memory model for Kelly betting with amplified or attenuated outcomes.
We find a remarkable agreement between the statistics of a randomly divided interval and the observed statistical patterns and distributions found in horse racing betting markets. We compare the distribution of implied winning odds, the average true winning probabilities, the implied odds conditional on a win, and the …
Study confirms mispricing in sportsbooks but finds data issues affect results.
What would you do if you were invited to play a game where you were given \$25 and allowed to place bets for 30 minutes on a coin that you were told was biased to come up heads 60% of the time? This is exactly what we did, gathering 61 young, quantitatively trained men and women to play this game. The results, in a nut…
Inefficient markets allow investors to consistently outperform the market. To demonstrate that inefficiencies exist in sports betting markets, we created a betting algorithm that generates above market returns for the NFL, NBA, NCAAF, NCAAB, and WNBA betting markets. To formulate our betting strategy, we collected and …
Law of iterated logarithm derived from betting strategy.
Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this setting, there is a large body of literature which includes arguments that the theory often leads to bets which are "too aggressive" with resp…
BBE simulates sports betting exchanges for data generation.
We propose a novel "tree-averaging" model that utilizes the ensemble of classification and regression trees (CART). Each constituent tree is estimated with a subset of similar data. We treat this grouping of subsets as Bayesian ensemble trees (BET) and model them as an infinite mixture Dirichlet process. We show that B…
This paper optimizes sports betting strategies using neural networks and portfolio theory.
Paper approximates Kelly betting for wealth growth.
New betting strategy reduces regret to ln(ln n) with protection against adversarial data.
Gamblers lose in long bets despite casino claims, study shows.
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of bets placed by gamblers. The bookmaker seeks a price process that maximizes his exp…
Testing-by-betting strategies almost surely go bankrupt under null hypotheses.
Enhanced ICM ensemble detects concept drift better with novel betting functions.
The betting CI outperforms classical methods in constructing confidence intervals for bounded means.
Extends Kelly Criterion to more complex betting scenarios.
Prediction and modelling of competitive sports outcomes has received much recent attention, especially from the Bayesian statistics and machine learning communities. In the real world setting of outcome prediction, the seminal Élő update still remains, after more than 50 years, a valuable baseline which is difficult to…
PEAK tests means of multiple data streams with sequential betting.
Sequential tests for two-sample and independence testing using betting strategies.
The study shows how probability weighting can lead to betting in a risk-averse economy.
Investigates sports betting strategies using modern portfolio theory and Kelly criterion.
This work examines the effects of allowing borrowing in betting-based hypothesis testing.
We develop a model of how information flows into a market, and derive algorithms for automatically detecting and explaining relevant events. We analyze data from twenty-two "political stock markets" (i.e., betting markets on political outcomes) on the Iowa Electronic Market (IEM). We prove that, under certain efficienc…
Cricket betting is a multi-billion dollar market. Therefore, there is a strong incentive for models that can predict the outcomes of games and beat the odds provided by bookers. The aim of this study was to investigate to what degree it is possible to predict the outcome of cricket matches. The target competition was t…
A new method combines multiple bounds and betting strategies for selective prediction, improving risk coverage in data-scarce settings.
Scores political leanings in Web3 betting markets.
Kelly criterion, that maximizes the expectation value of the logarithm of wealth for bookmaker bets, gives an advantage over different class of strategies. We use projective symmetries for a explanation of this fact. Kelly's approach allows for an interesting financial interpretation of the Boltzmann/Shannon entropy. A…
Sequential Kernel-based Conditional Independence Testing via Adaptive Betting
Paper improves CI and CS for bounded means using betting and mixtures.
We revisit the trading invariance hypothesis recently proposed by Kyle and Obizhaeva by empirically investigating a large dataset of bets, or metaorders, provided by ANcerno. The hypothesis predicts that the quantity $I:=\ri/N^{3/2}$, where $\ri$ is the exchanged risk (volatility volume price) and …
We study the problem of nonparametric dependence detection. Many existing methods may suffer severe power loss due to non-uniform consistency, which we illustrate with a paradox. To avoid such power loss, we approach the nonparametric test of independence through the new framework of binary expansion statistics (BEStat…
Proposes a new factor to improve BAB strategies by recognizing bad-beta assets.
Optimal strategies are found for a repeated betting game using diffusion approximation.
We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital process of a betting strategy. In particular with high frequency Markov …
The paper finds the optimal wealth growth rate in betting games.
New algorithm closes empirical gap in PFSGD performance.
We study the problem of optimizing the betting frequency in a dynamic game setting using Kelly's celebrated expected logarithmic growth criterion as the performance metric. The game is defined by a sequence of bets with independent and identically distributed returns X(k). The bettor selects the fraction of wealth K wa…
A risk-neutral valuation framework is developed for pricing and hedging in-play football bets based on modelling scores by independent Poisson processes with constant intensities. The Fundamental Theorems of Asset Pricing are applied to this set-up which enables us to derive novel arbitrage-free valuation formulæ for c…
Study analyzes gambling behavior and risk attitudes using blockchain data.