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Title: Informational efficiency and price reactions in exchange betting markets Authors:  Luca De Angelis - University of Bologna (Italy) [presenting]
Giovanni Angelini - University of Bologna (Italy)
Abstract: The degree of efficiency of exchange betting markets is investigated. Using event study analysis on high-frequency data, we examine the reaction of prices to events and the arrival of major news. In particular, we measure the post-event jumps of in-play odds and we analyse their dynamic behaviour. We test for informational efficiency in football exchange betting markets in three different directions: (i) we model and forecast the price reaction to news events (i.e. goals, red cards), (ii) we test whether price jumps create systematic bias which can be exploited to set a profitable betting strategy, (iii) we focus on possible over/under-reaction by investigating the main drivers which may create deviations from the expected intensity of jumps. To do so, we consider a dataset comprising prices collected every ten seconds from Betfair Exchange for all the English Premiership matches played in the 5 Seasons from 2009/2010 to 2013/2014.