 Yes, one-day international cricket ‘in-play’ trading strategies can be profitable!Hugh Norton, Steve Gray and Robert Faff Journal of Banking & Finance, 2015, vol. 61, issue S2, S164-S176 Abstract: In this study, we employ a Monte Carlo simulation technique for estimating the conditional probability of victory at any stage in the first or second innings of a one-day international (ODI) cricket match. This model is then used to test market efficiency in the Betfair ‘in-play’ market for large sample of ODI matches. We find strong evidence of overreaction in the first innings. A trading strategy of betting on the batting team after the fall of a wicket produces a significant profit of 20%. We also find some evidence of underreaction in the second innings although it is less economically and statistically significant than the first innings overreaction. We also implement trades when the discrepancy between the probability of victory implied by current market odds differs substantially from the odds estimated by our Monte Carlo simulation model. We document a number of trading strategies that yield large statistically significant positive returns in both the first and second innings. Keywords: In-play betting markets; Trading strategies; ODI cricket; Web-scraping; Monte Carlo simulation (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:jbfina:v:61:y:2015:i:s2:p:s164-s176 DOI: 10.1016/j.jbankfin.2015.08.031 Access Statistics for this article Journal of Banking & Finance is currently edited by Ike Mathur More articles in Journal of Banking & Finance from Elsevier |
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