A Statistical Arbitrage Trade Based on Betting Price Volatility

In this note, I derive a probability measure for betting prices on an exchange reaching a target level prior to the market closing. This allows a bettor to take a long (short) position on a bet, and calculate the probability that the short (long) price will yield a profit before the market closes. In effect, this facilitates the statistical arbitrage of betting price volatility.

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Year of publication:	2010
Authors:	Brown, Alasdair
Published in:	Journal of Prediction Markets. - University of Buckingham Press, ISSN 1750-6751. - Vol. 4.2010, 1, p. 7-15
Publisher:	University of Buckingham Press

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008800397