A STATISTICAL ARBITRAGE TRADE BASED ON BETTING PRICE VOLATILITY

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Published: Dec 18, 2012
DOI: https://doi.org/10.5750/jpm.v4i1.470

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Alistair Brown
Department of Financial and Management Studies SOAS, University of London

Abstract

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.

Article Details

Issue
Vol. 4 No. 1 (2010)
Section
Articles

References

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