Published March 30, 2025 | Version CC-BY-NC-ND 4.0
Journal article Open

Efficient Market Dynamics: Unraveling Informational Efficiency in UK Horse Racing Betting Markets Through Betfair's Time Series Analysis

Authors/Creators

  • 1. Microsoft, Redmond (Washington), USA.

Description

Abstract: 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 points to a market where knowledge is quickly assimilated and reflected in prices. Thisis 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.

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Additional details

Identifiers

DOI
10.54105/ijssl.C1116.04030325
EISSN
2583-0643

Dates

Accepted
2025-03-15
Manuscript received on 23 February 2024 | First Revised Manuscript received on 04 March 2024 | Second Revised Manuscript received on 26 February 2025 | Manuscript Accepted on 15 March 2025 | Manuscript published on 30 March 2025.

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