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Unpublished Paper
Gone in 60 seconds: the absorption of news in a high-frequency betting market
(2008)
  • Babatunde Buraimo, University of Central Lancashire
  • David Peel
  • Rob Simmons
Abstract

This paper tests for efficiency in a betting market that offers high-frequency data, the Betfair betting exchange for wagering on outcomes of English Premier League soccer matches. We find clear evidence of rapid adjustment of prices to large disturbances (news). Full adjustment takes place within a one minute interval after the news. This suggests that this particular wagering market is not just efficient at pre-match prices but is also efficient in the face of events within games.

Publication Date
2008
Citation Information
Babatunde Buraimo, David Peel and Rob Simmons. "Gone in 60 seconds: the absorption of news in a high-frequency betting market" (2008)
Available at: http://works.bepress.com/babatunde_buraimo/17/