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Information Efficiency in Financial and Betting Markets
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  • 33 tables
  • Page extent: 412 pages
  • Size: 216 x 138 mm
  • Weight: 0.806 kg

Library of Congress

  • Dewey number: 332/.01/154
  • Dewey version: 22
  • LC Classification: HG4523 .V35 2005
  • LC Subject headings:
    • Capital market--Mathematical models
    • Gambling--Mathematical models
    • Efficient market theory--Mathematical models
    • Information theory in economics

Library of Congress Record


 (ISBN-13: 9780521816038 | ISBN-10: 0521816033)

The degree to which markets incorporate information is one of the most important questions facing economists today. This book provides a fascinating study of the existence and extent of information efficiency in financial markets, with a special focus on betting markets. Betting markets are selected for study because they incorporate features highly appropriate to a study of information efficiency, in particular the fact that each bet has a well-defined end point at which its value becomes certain. Using international examples, this book reviews and analyses the issue of information efficiency in both financial and betting markets. Part I is an extensive survey of the existing literature, while Part II presents a range of readings by leading academics. Insights gained from the book will interest students of financial economics, financial market analysts, mathematicians and statisticians, and all those with a special interest in finance or gambling.

• A most extensive survey of the literature on information efficiency • Focuses on betting markets as well as financial markets • Wide disciplinary appeal - finance, economics, public policy and mathematics


List of figures; List of tables; List of contributors; Introduction; Part I: The Concept of Information Efficiency: 1. Information efficiency in financial markets Leighton Vaughan Williams; 2. Weak form information efficiency in betting markets Leighton Vaughan Williams; 3. Semi-strong and strong form information efficiency in betting markets Leighton Vaughan Williams; Part II. Selected Readings: 4. An assessment of quasi-arbitrage opportunities in two fixed-odds horse-race betting markets Michael A. Smith, David Paton and Leighton Vaughan Williams; 5. The presence of favourites and biases in bookmakers' odds William Collier and John Peirson; 6. Searching for semi-strong form inefficiency in the UK racetrack betting market Ming-Chien Sung, Johnnie E. V. Johnson and Alistair C. Bruce; 7. Models, markets, polls and pundits: a case study of information efficiency Leighton Vaughan Williams; 8. Longshot bias: insights from the betting market on men's professional tennis David Forrest and Ian McHale; 9. Biases and insider trading in exotic bets on thoroughbreds Les Coleman and Martin McGrath; 10. On the improbability of information efficient parimutuel betting markets in the presence of heterogeneous beliefs William Hurley and Lawrence McDonough; 11. Modelling gambling demand in a laboratory casino: discovering the importance of individual-specific effects W. David Walls and Patrick J. Harvey; 12. Market efficiency of the 50–30–20–10 horse-racing spread betting market Paul M. Twomey; 13. Insider trading and bias in a market for state-contingent claims Adi Schnytzer and Yuval Shilony; 14. Rationality and efficiency in lotto games Victor A. Matheson and Kent R. Grote; 15. Efficiency of the odds on English professional football matches David Forrest and Robert Simmons; 16. Modelling distance preference in flat racing via average velocity David Edelman; 17. Testing for market efficiency in gambling markets: some observations and new statistical tests based on a bootstrap method Ivan A. Paya, David A. Peel, David Law and John Peirson; 18. Information (in)efficiency in prediction markets Erik Snowberg, Justin Wolfers and Eric Zitzewitz; Index.


Leighton Vaughan Williams, Michael A. Smith, David Paton, William Collier, John Peirson, Ming-Chien Sung, Johnnie E. V. Johnson, Alistair C. Bruce, David Forrest, Ian McHale, Les Coleman, Martin McGrath, William Hurley, Lawrence McDonough, W. David Walls, Patrick J. Harvey, Paul M. Twomey, Adi Schnytzer, Yuval Shilony, Victor A. Matheson, Kent R. Grote, Robert Simmons, David Edelman, Ivan A. Paya, David A. Peel, David Law, Erik Snowberg, Justin Wolfers, Eric Zitzewitz

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