The market for English Premier League (EPL) odds

Guanhao Feng (), Polson Nicholas () and Xu Jianeng
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Polson Nicholas: Booth School of Business, University of Chicago, 5807 S Woodlawn Avenue, Chicago, IL 60637, USA
Xu Jianeng: Department of Statistics, University of Chicago, 5747 S Ellis Avenue, Chicago, IL 60637, USA

Journal of Quantitative Analysis in Sports, 2016, vol. 12, issue 4, 167-178

Abstract: This paper employs a Skellam process to represent real-time betting odds for English Premier League (EPL) soccer games. Given a matrix of market odds on all possible score outcomes, we estimate the expected scoring rates for each team. The expected scoring rates then define the implied volatility of an EPL game. As events in the game evolve, we re-estimate the expected scoring rates and our implied volatility measure to provide a dynamic representation of the market’s expectation of the game outcome. Using a dataset of 1520 EPL games from 2012–2016, we show how our model calibrates well to the game outcome. We illustrate our methodology on real-time market odds data for a game between Everton and West Ham in the 2015–2016 season. We show how the implied volatility for the outcome evolves as goals, red cards, and corner kicks occur. Finally, we conclude with directions for future research.

Keywords: English Premier League; market expectations; market odds; Skellam process; sports betting (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1515/jqas-2016-0039

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