Bull_B Posted October 9, 2011 Share Posted October 9, 2011 Something bothered me over the weekend... In finance, the efficient-market hypothesis (EMH) asserts that financial markets are "informationally efficient". We have Betfair as our Wall Street and we may assume that as we make the Betfair quote all together by laying and backing a selection. Although Betfair does have a slight overround ( Quote Link to comment Share on other sites More sharing options...
moggis Posted October 9, 2011 Share Posted October 9, 2011 Re: Is the market always right? thanks for an interesting question-I look forward to others' answers. To get things going,I would like to point out that it is actually quite usual for a bookie to have a 12X price that is bigger than betfairs price but I dont think it follows that this means the bookies price is value... So far as betfair prices on all markets are concerned I can tell you that I am 99% certain that there are some spectacularly wrong prices available. Indeed I expect 80% of my profit from soccer(not inc antepost) to come from betfair!(not inc tips I get from services) Quote Link to comment Share on other sites More sharing options...
Bull_B Posted October 10, 2011 Author Share Posted October 10, 2011 Re: Is the market always right? Thanks for the interesting reply! In my experience your point especially holds in the high quoted odds, lets say >40 and some way off prices are to be found there. However you have to keep in mind that although this may misrepresent true probability in relative terms, the absolute chance of an event happening is still very small ( Quote Link to comment Share on other sites More sharing options...
Mulkis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? IMHO Betfair market generally is much more efficient than financial markets. BTW efficient market hyphothesis is very much under scrunity these days... Quote Link to comment Share on other sites More sharing options...
moggis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? IMHO Betfair market generally is much more efficient than financial markets. BTW efficient market hyphothesis is very much under scrunity these days... Does that mean that you are saying that its easier to make money from financial markets than from betfair!? Quote Link to comment Share on other sites More sharing options...
moggis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Thanks for the interesting reply! In my experience your point especially holds in the high quoted odds, lets say >40 and some way off prices are to be found there. However you have to keep in mind that although this may misrepresent true probability in relative terms, the absolute chance of an event happening is still very small ( I am not quite sure how much would constitute a substantial turnover? All I can say is that I have a target profit of 10k this season(not inc.antepost or tips)and I expect to get 8k of this from betfair using a bank of 3k or less. One of the things that amazes me is HOW ANY price that is clearly value(ok ok I realise people will dispute this but,honestly,its true)on betfair can last for DAYS!!?? especially when you only have to read PL to see that there must be 1000s of people working flat out to find value! (actually,I should explain that 3-4k will likely come from betting in running/hedging positions) Quote Link to comment Share on other sites More sharing options...
Mulkis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Does that mean that you are saying that its easier to make money from financial markets than from betfair!? Yes. At least this is my personal experience. Quote Link to comment Share on other sites More sharing options...
moggis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Yes. At least this is my personal experience. thanks.well,I just have to ask you a couple of things which I hope you will answer. How long did it take you to learn to make money from financial markets? Did someone teach you or did you read books? When it comes to betfair,how long did you try to win from betfair before,presumably,giving up? How long have you followed football(as opposed to betting on it)? Finally,do you make any profit at all from soccer betting,from sports betting? many thanks Quote Link to comment Share on other sites More sharing options...
Mulkis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Ok, I'll try to answer your questions Moggis and I'll try to make long story short. How long did it take you to learn to make money from financial markets? - 6 months. Did someone teach you or did you read books? -Books. When it comes to betfair,how long did you try to win from betfair before,presumably,giving up? -Almost 2 years already. Splendid start (vocations in Caribean for 2 persons from my winnings) then markets changed and suddenly I've found myself in small red. Then I stopped and started serious backtesting. Tried various strategies but nothing more than 5% RoR (return on risk) long term (5 years). I am still playing around with some strategies "in-play", but need some more time to make any conclusions. How long have you followed football(as opposed to betting on it)? -I've found soccer very difficult (both betting and trading). Finally,do you make any profit at all from soccer betting,from sports betting? -Carribean vacations were from soccer betting. But now I'am mostly on tennis. And it is more like mixed strategy of trading and betting. It shows quite promising results but I need more time for conclusions (backtesting is not an option for this strategy has significant trading in-play element). Hope I've answered your questions. Sorry for so short answers, please do not consider it somehow arogant or anything. I am sure many folks on this forum have much more exciting stories to tell:) Quote Link to comment Share on other sites More sharing options...
Maudit Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Hi! Very nice topic, one in which I am highly interested (both as a bettor and as someone with an economics background)). I am only a recreational bettor, with little experience, waging small amounts for "fun" (and earning my living from a "mainstream" job). As I have relatively little time to devote to following sports and finding value bets, I have eventually developed a "strategy" along the lines suggested by Bull_B: a. I find some "interesting" matches, usually from ("trusted") tipsters' suggestions, in this or another betting forum. b. I quickly check the bookmakers' odds at some website. c. If one of the bookmakers I use offers a suggested bet at odds substantially (whatever this means)higher than the market average, then I place a flat stake (flat stakes allow for simplicity); otherwise, I skip the match. Obviously, the strategy asks, first, to identify a few trustworthy tipsters. But more to the topic of this thread, it relies on the comparison between the offered odds and the average odds in the market, with the latter assumed to be representing the current state of knowledge about a betting event, according to the EMH. Overall, one can say that I use the EMH to check back on various betting suggestions. Practically, I am quite happy with step © of this strategy, since it has allowed me to save considerable time (relative to the past, when I had to search for more and more information, before deciding to follow a tip) and since it has been returning profits. The downside, it has made betting a very dull affair. A few remarks (and questions): 1. I do not limit myself to Betfair for a proxy to the true betting odds. The bookmakers' odds also depend on (and thus, reflect) the bettors' activity, so, they must also be taken into account. Ideally, one would need a weighted average; but it is nor possible to identify correct weights, so, a flat average looks second best. No? :unsure 2. In principle, the EMH would apply even in a market with few ("rational", in an economics jargon sense) bettors. But I would hesitate to apply the above strategy to small markets, in which the odds can move very fast (and in a highly correlated manner across bookmakers), following relatively small bets. For obscure leagues, step (a) becomes more important than ©. Indeed, there are markets in which even 100€ can move a line significantly. 3. Similarly, the EMH has made me avoid highly competitive betting markets, such as the English PL or the German 1.BL , on the match day. Accordingly, in such markets, any value will quickly disappear. (The American prof leagues are probably the worst in this respect.) 4. Combining 2 and 3, it looks like there are very few markets left. Indeed, the EMH, in full force, would make speculative betting (as opposed to betting for risk hedging purposes) completely pointless. Well, I wouldn't like to be so doctrinaire (and consequently, give up on betting), I only use the EMH, first, to limit my ambition and, second, to check back on betting tips. After all, as Mulkis correctly said, the EMH is very much under scrutiny these days. 5. A puzzle I have concerns the strong movement of the odds during (the morning of the) match day, in many important leagues, despite the absence of any significant new information (such as the injury of a key player). Eventually, I was told that it has to do with the timing of the money entering the betting market: big bettors (with better-quality information, I suppose) need to wait until the match day, when the betting limits are raised. Still, how can betting value survive so late? (Even the prof tipsters, who sell the information, can try to extract is valuet...) :unsure 6. Building on 5, another strategy would be to identify significant trends (ie, odds movements) early on the match day; and to jump quickly on them). Well, this requires quite a bit of attention (and early morning working habits), I have not done it... 7. It would be interesting to make a program that quickly identifies extreme odds (in terms of their difference from the market average) and tries to exploit them. Do you know of any such effort? Eventually, it would be funny to see how such programs can upset a market... :p (I am more serious about it than my mood suggests.) There are more things to say (especially, to raise some questions relating to Behavioral Finance), but this message is getting too long. Looking forward to further input to this discussion. Ciao, M. ;) PS: No "in play" betting experience for me, no much time for it... Quote Link to comment Share on other sites More sharing options...
Mulkis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Hi! <...> 7. It would be interesting to make a program that quickly identifies extreme odds (in terms of their difference from the market average) and tries to exploit them. Do you know of any such effort? ... Moudit, please check it out: www.oddsportal.com BTW I've made some quite serious backtest on "moving odds". In fact it confirmed EMH. Quote Link to comment Share on other sites More sharing options...
Maudit Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Moudit' date=' please check it out: www.oddsportal.com BTW I've made some quite serious backtest on "moving odds". In fact it confirmed EMH. Mulkis, thanks for the suggestion! I kind of knew the site, but I guess that I must pay more attention to their "dropping odds" list. In any case, at the moment, I have two problems with such lists: a. Many of the reported odds movements concern bets and odds that I would hesitate to consider (and to apply the EMH); for example, a 15% drop, from 9.65 to 8.17, for the bet "Russia - Andorra: under 1.5 goals". Some "cleaning" is needed for the information to be useful. b. Much of the information comes too late, when the highest odds available have also dropped too much. I guess, I must put some effort to figure out some efficient way of identifying early which dropping odds are useful. ------------------------------ Your backtest on "moving odds" confirmed the EMH? Does this mean that "dropping odds" send a significant signal to make a bet? This can be quite automatic... ------------------------------ Btw, an interesting site (to which I must pay more attention myself) is http://www.soccer-rating.com/strange_odds.php The site uses past odds to rank teams, assuming (according to the EMH) that these odds give a proper indication of the teams' actual strength (or strength as perceived by the betting public - this is a rather philosophical point). And it identifies odds that deviate from the ones implied by the ranking. Especially, if higher-than-expected odds (ie, for undervalued teams) start dropping, then the recommendation is clear. ------------------------------- Thanks for reading! M. Quote Link to comment Share on other sites More sharing options...
Mulkis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Your backtest on "moving odds" confirmed the EMH? Does this mean that "dropping odds" send a significant signal to make a bet? This can be quite automatic... M. In a nutshell my backtest show that dropping (or rising) odds indicate that market is pricing in some additional information that is available for the public but not adequately represented in a methodology bookmakers use for setting starting odds. Consequently closing odds are more accurate than opening odds. One getting slightly better odds than closing odds will be profitable in a long run. But this profit will be really small (max 4%) and I doubt it is worth an effort. Only odds on favorites were tested. "Underdogs" odds set by bookmakers are initially very far away from real probabilities and I wouldnt consider them as any indicator for EMH. Quote Link to comment Share on other sites More sharing options...
AJ Posted October 10, 2011 Share Posted October 10, 2011 IMHO Betfair market generally is much more efficient than financial markets. BTW efficient market hyphothesis is very much under scrunity these days... I'd suggest the exact opposite due to much smaller levels of liquidity, the liquid market the more chance of it being efficent Sent from my WM8650 using PL Forum Quote Link to comment Share on other sites More sharing options...
moggis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Ok, I'll try to answer your questions Moggis and I'll try to make long story short. How long did it take you to learn to make money from financial markets? - 6 months. Did someone teach you or did you read books? -Books. When it comes to betfair,how long did you try to win from betfair before,presumably,giving up? -Almost 2 years already. Splendid start (vocations in Caribean for 2 persons from my winnings) then markets changed and suddenly I've found myself in small red. Then I stopped and started serious backtesting. Tried various strategies but nothing more than 5% RoR (return on risk) long term (5 years). I am still playing around with some strategies "in-play", but need some more time to make any conclusions. How long have you followed football(as opposed to betting on it)? -I've found soccer very difficult (both betting and trading). Finally,do you make any profit at all from soccer betting,from sports betting? -Carribean vacations were from soccer betting. But now I'am mostly on tennis. And it is more like mixed strategy of trading and betting. It shows quite promising results but I need more time for conclusions (backtesting is not an option for this strategy has significant trading in-play element). Hope I've answered your questions. Sorry for so short answers, please do not consider it somehow arogant or anything. I am sure many folks on this forum have much more exciting stories to tell:) Thanks very much,it may be that others have more exciting stories to tell but they probably dont beleive that its easier to make money from financial markets than betfair so your story is of more interest. I suspect that it is simply a case of you having more talent for financial markets than for football. I take it you are aware that football is generally believed to be the hardest sport to profit from?OK,I suppose that suggests the markets are very efficient but I beleive its because many many people just dont have a talent for betting on football or,rather,never realise certain fundamental things about football betting. I hope you will be around in april as I would like to give you a brief test about some of this seasons prices.Of course you dont have to but it would show to me at least the reason why you think betfair is more efficient than financial markets,if you should fail that is! I have already profited from a few prices on betfair that I am sure were too big.. Quote Link to comment Share on other sites More sharing options...
Mulkis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? I suspect that it is simply a case of you having more talent for financial markets than for football. .. My own explanation is that in financials (equites, CFDs, etc.) risk is more manageble. But in soccer one goal ruins the day and you can do nothing about that. Various hedging techniques simply does not work due to efficiency of the markets (and the fact that all the odds for all related markets in any specific match come from one poisson model). Quote Link to comment Share on other sites More sharing options...
moggis Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Youve hit the nail on the head there! That is,to a large extent,why I much prefer antepost betting. I have made a good living from soccer antepost betting. Quote Link to comment Share on other sites More sharing options...
Bull_B Posted October 10, 2011 Author Share Posted October 10, 2011 Did not expect my post to have such an interesting reply. For me the finding of new strategies is way more fun than the actual betting. Back in college I liked to study stoch charts and do technical analysis (TA) for fun. I never put any money on it as I was a poor SOB back then. The EMH betting markets crossed my mind for several reasons. 1) it appears that the betfair third prty software available uses several TA parameters for trading. This confirms the EMH in the betfair market or the users dont know what they are using. 2) value is a subjective concept and tipster services are black boxes. Historic data is no garantee for future events, exept when betting on matches with the San Marino national team. I never back tested this, what I do now is when just starting betting several years ago I used arbitrsge betting to enlarge my bank over some months. Funny is that I always ended up with all my money at the bookies iso at my betfair account. This may be an indication that backing selections which are better priced than the betfair price may indeed have some value. Quote Link to comment Share on other sites More sharing options...
Sawyer Posted October 10, 2011 Share Posted October 10, 2011 Re: Is the market always right? Is the market always right? No. It depends on sport. For example, in baseball the market is usually wrong :lol Quote Link to comment Share on other sites More sharing options...
v-zero Posted October 12, 2011 Share Posted October 12, 2011 Re: Is the market always right? My own explanation is that in financials (equites' date=' CFDs, etc.) risk is more manageble. But in soccer one goal ruins the day and you can do nothing about that. Various hedging techniques simply does not work due to efficiency of the markets ([b']and the fact that all the odds for all related markets in any specific match come from one poisson model). If that were the case then making money on football would be easy, as a either the match odds, or over/unders odds would have to be wrong. Poisson modelling is not very good, in all honesty, it is only truly useful for creating in-play models. Quote Link to comment Share on other sites More sharing options...
Mulkis Posted October 12, 2011 Share Posted October 12, 2011 Re: Is the market always right? If that were the case then making money on football would be easy' date=' [b']as a either the match odds, or over/unders odds would have to be wrong. Poisson modelling is not very good, in all honesty, it is only truly useful for creating in-play models. It is obvious that over/under markets odds derive from match odds. These markets have the same roots (the same model). I assume its poisson, but it could be something more sophisticated. Anyway, no chances for arbitrage or hedging. Quote Link to comment Share on other sites More sharing options...
v-zero Posted October 12, 2011 Share Posted October 12, 2011 Re: Is the market always right? It is obvious that over/under markets odds derive from match odds. These markets have the same roots (the same model). I assume its poisson' date=' but it could be something more sophisticated. Anyway, no chances for arbitrage or hedging.[/quote'] They probably have their roots in the same model, but it won't be poisson. Quote Link to comment Share on other sites More sharing options...
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