 The impact of insider trading on forecasting in a bookmakers' horse betting marketAdi Schnytzer, Martien Lamers and Vasiliki Makropoulou International Journal of Forecasting, 2010, vol. 26, issue 3, 537-542 Abstract: This paper uses a new variable, which is based on estimates of insider trading, to forecast the outcomes of horse races. We base our analysis on the work of Schnytzer, Lamers, and Makropoulou (2008), who showed that insider trading in the 1997-1998 Australian racetrack betting market represented between 20% and 30% of all trading in this market. They showed that the presence of insiders leads opening prices to deviate from the true winning probabilities. Under these circumstances, forecasts of race outcomes should take into account an estimate of the extent of insider trading for each horse. We show that the added value of this new variable for profitable betting is sufficient to reduce the losses when only prices are taken into account. Since the only variables taken into account by either Schnytzer et al. (2008) or this paper are price data, this is tantamount to a demonstration that the market is, in practice, weak-form efficient. Keywords: Econometric; models; Financial; models; Sports; forecasting; Insider; trading (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:26:y::i:3:p:537-542 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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