Law of iterated logarithm derived from betting strategy.
problem Deriving the law of the iterated logarithm.
method Using a betting strategy's wealth guarantee.
result Law of the iterated logarithm established.
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arXiv research
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.
168,742 papers · 148 categories
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48 results for “online betting”
Paper shows how online betting algorithms' regret can be used to create tight confidence sequences.
problem Estimating the expectation of random variables from samples and creating time-uniform confidence sequences.
method Converts the regret guarantee of universal portfolio algorithms into time-uniform concentration inequalities and confidence sequences.
result Numerically obtained confidence sequences are never vacuous and satisfy the law of iterated logarithm.
Testing-by-betting strategies almost surely go bankrupt under null hypotheses.
problem Understanding the behavior of betting strategies under null hypotheses.
method Analyzed the asymptotics of betting strategies under null distributions, focusing on the almost sure divergence of sums.
result Testing-by-betting strategies go bankrupt with probability one under any non-degenerate null distribution.
A new approach for test-time adaptation detects and reacts to distribution shifts.
problem Improving test-time accuracy under distribution shifts.
method Online self-training with a detection tool based on entropy values and betting martingales.
result The classifier's entropy values match those of the source domain, building invariance to distribution shifts.
BBE simulates sports betting exchanges for data generation.
problem Creating synthetic data for betting strategy testing.
method Agent-based model (ABM) for sports betting exchange simulation.
result Simulation runs up to 1000 times faster with GPU.
A new family of conformal test martingales based on Legendre polynomials for online exchangeability testing.
problem Detecting variance, skewness, and higher-order deviations from uniformity in online data.
method A family of conformal test martingales based on shifted Legendre polynomials.
result The Variational Legendre Jumper reduces exponential scaling to linear time with minimal loss in power.
BBE simulates betting exchanges to generate synthetic data for AI research.
problem Lack of real data for AI/ML in betting exchanges.
method Agent-based simulation model of a sports-betting exchange.
result Generates large, high-resolution synthetic data for AI/ML.
Study confirms mispricing in sportsbooks but finds data issues affect results.
problem Mispricing and inefficiency in online sportsbooks.
method Replication using Wikipedia buzz factor metric and backtesting.
result Data quality issues affect betting results; only one strategy remains profitable.
Modelling Information Incorporation in Markets, with Application to Detecting and Explaining Eventscs.AI
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…
Sequential tests for two-sample and independence testing using betting strategies.
problem Testing sequential data for two-sample and independence without kernel selection issues.
method Prediction-based betting strategies that adaptively determine distribution and joint distribution.
result Prediction-based tests outperform kernel-based approaches in high-dimensional or structured data settings.
Study compares financial and gambling markets, finding similarities and potential applications.
problem Lack of comprehensive study on gambling markets compared to financial markets.
method Comprehensive comparison of five aspects: platform, product, procedure, participant, and strategy.
result Well-established financial strategies can be applied to gambling markets, particularly in peer-to-peer betting exchanges.
Right Decisions from Wrong Predictions: A Mechanism Design Alternative to Individual Calibrationstat.ML
Proposes a compensation mechanism for improving individual forecast confidence.
problem Difficult to assess the quality of individual probabilistic forecasts and their utilities.
method Compensation mechanism based on fair bets and online learning.
result The proposed mechanism cannot be exploited and ensures forecasted utility matches actual utility.
Scores political leanings in Web3 betting markets.
problem Understanding political motivations in decentralized prediction markets.
method Constructing PBLS from Polymarket data, analyzing 15k addresses, 4k events, 8k markets.
result Validated PBLS through internal and external comparisons, revealing political and profit motives.
This paper describes a new parameter-free online learning algorithm for changing environments. In comparing against algorithms with the same time complexity as ours, we obtain a strongly adaptive regret bound that is a factor of at least better, where is the time horizon. Empirical results show tha…
A key challenge in online learning is that classical algorithms can be slow to adapt to changing environments. Recent studies have proposed "meta" algorithms that convert any online learning algorithm to one that is adaptive to changing environments, where the adaptivity is analyzed in a quantity called the strongly-ad…
Understanding Gambling Behavior and Risk Attitudes Using Cryptocurrency-based Casino Blockchain Dataphysics.soc-ph
Study analyzes gambling behavior and risk attitudes using blockchain data.
problem Lack of real-life gambling data for validating predictions and experimental findings.
method Collects and analyzes betting data from a decentralized application on the Ethereum Blockchain.
result Empirical examples of gambling systems and insights into risk preferences.
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 …
Paper tightens PAC-Bayes bounds using coin-betting for better estimates.
problem Estimating mean of random elements with possibly S-dependent parameters.
method Refined PAC-Bayes proof strategy based on coin-betting framework.
result Derives tighter concentration inequalities for all sample sizes.
Model-X test detects conditional independence in streaming data.
problem Detecting conditional independence in data streams with arbitrary dependency.
method Sequential testing inspired by model-X and testing by betting.
result Significantly reduces type-I error rate and enhances data efficiency.
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…
Ornstein-Uhlenbeck Process for Horse Race Betting: A Micro-Macro Analysis of Herding and Informed Bettorsphysics.soc-ph
Modeling horse race betting odds with Ornstein-Uhlenbeck process.
problem Analyzing how herding and informed bettors affect odds movements.
method Deriving an Ornstein-Uhlenbeck process from vote shares and odds movements data.
result Identified microscopic and macroscopic patterns in odds convergence.
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…
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…
A standard introduction to online learning might place Online Gradient Descent at its center and then proceed to develop generalizations and extensions like Online Mirror Descent and second-order methods. Here we explore the alternative approach of putting Exponential Weights (EW) first. We show that many standard meth…
This paper optimizes sports betting strategies using neural networks and portfolio theory.
problem Optimizing betting strategies in sports gambling.
method Combining neural network models with portfolio optimization, integrating Von Neumann-Morgenstern Expected Utility Theory and the Kelly Criterion.
result Achieved 135.8% relative profit during the English Premier League season.
Adaptive conformal inference without data exchangeability assumptions.
problem Real-world scenarios often violate the data exchangeability assumption for conformal prediction.
method Parameter-free online convex optimization for adaptive conformal inference.
result Controls long-term miscoverage frequency at a nominal level empirically.
Paper approximates Kelly betting for wealth growth.
problem Optimizing wealth growth in Kelly betting.
method Taylor-based approximation for quadratic programming.
result Closed-form approximate solution with interesting properties.
New betting strategy reduces regret to ln(ln n) with protection against adversarial data.
problem Tackles the problem of minimizing regret in betting against adversarial and stochastic data.
method Combines insights from Robbins and Cover, using a mixture strategy.
result Exhibits a regret of O(ln(ln n)) on almost all paths, with O(log n) regret on the complement.
Gamblers lose in long bets despite casino claims, study shows.
problem Gamblers losing in seemingly fair gambling scenarios.
method Theoretical and experimental analysis of two-armed Futurity slot machines.
result Casinos have a win rate greater than 50% in long bets, making them unfair.
Optimal Bookmakingq-fin.MF
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…
The betting CI outperforms classical methods in constructing confidence intervals for bounded means.
problem Constructing nonasymptotic confidence intervals for bounded means.
method A betting-based approach to define and time-uniform variants of confidence intervals (CSs).
result The betting CI matches the fundamental limits, outperforming existing empirical Bernstein CIs.
Enhanced ICM ensemble detects concept drift better with novel betting functions.
problem Addressing Concept Drift in machine learning models.
method Refined ICM approach with improved betting functions and base estimators.
result The ensemble approach outperforms previous methods on benchmark datasets.
Extends Kelly Criterion to more complex betting scenarios.
problem Maximizing long-term growth in complex betting models.
method Generalizes Kelly Criterion to Lévy processes and high-frequency limits.
result Improved strategies for high-frequency betting.
Study proposes new methods to convert betting odds into accurate probabilities for sports forecasting.
problem Convert betting odds to accurate outcome probabilities for sports forecasting and market efficiency analysis.
method Proposes two methods: Odds-Only-Equal-Profitability-Confidence (OO-EPC) and Favourite-Longshot-Bias-Adjusted Generalised Linear Model (FL-GLM).
result Proposed methods outperform existing methods in empirical tests and real-world applications.
PEAK tests means of multiple data streams with sequential betting.
problem Testing means of multiple data streams with nonparametric methods.
method Sequential, nonparametric testing using a betting scheme.
result PEAK provides up to 85% reduction in samples for stopping.
A quantum memory model for Kelly betting with amplified or attenuated outcomes.
problem Optimizing Kelly betting strategies with quantum memory elements.
method Semi-classical model using quantum memory to encode payoff, modeled as random lasing dynamics.
result Best strategy is to invest all capital in coherent state amplitude for optimal performance.
The study shows how probability weighting can lead to betting in a risk-averse economy.
problem Understanding how probability weighting affects economic behavior and risk aversion.
method Examining a von Neumann-Morgenstern economy with an RDU agent to model probability weighting effects.
result Probability weighting can lead to endogenous betting in an economy with common beliefs.
Investigates sports betting strategies using modern portfolio theory and Kelly criterion.
problem Mitigating risk in sports betting investments.
method Modern portfolio theory and Kelly criterion, with modifications for practical risk control.
result Adaptive fractional Kelly method is suitable across various sports settings.
This work examines the effects of allowing borrowing in betting-based hypothesis testing.
problem The impact of allowing borrowing in betting-based hypothesis testing.
method Examined the consequences of allowing borrowing in each round, adjusting the rejection threshold accordingly.
result There is no extra price to pay for the possibility of borrowing if a path-dependent threshold is used.
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…
A new method combines multiple bounds and betting strategies for selective prediction, improving risk coverage in data-scarce settings.
problem Selective prediction with risk control in data-scarce domains.
method Combines concentration inequalities, multiple-testing corrections, and betting-based confidence sequences.
result Transfer-Informed Betting achieves tighter bounds and better coverage in data-scarce settings.
Kelly Criterion revisited: optimal betsphysics.soc-ph
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
problem Testing conditional independence
method Testing-by-betting on an adaptively optimized Kernel Conditional Independence statistic
result Significantly reduces Type I error inflation while preserving high power
Paper improves CI and CS for bounded means using betting and mixtures.
problem Estimating means of bounded random variables.
method Composite nonnegative martingales, testing by betting, method of mixtures.
result Empirically outperforms existing CI and CS methods.
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 …
BET on Independencemath.ST
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…
Betting Against (Bad) Betaq-fin.PM
Proposes a new factor to improve BAB strategies by recognizing bad-beta assets.
problem Investors often misprice assets based on beta, ignoring bad-beta.
method Double-sorting on beta and bad-beta to create a new factor.
result The Betting Against Bad Beta factor improves BAB strategies.
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 …