Optimal bookmaking

DOI10.1016/J.EJOR.2021.03.005MaRDI QIDQ2239899zbMATH OpenOpenAlexFDO

Authors Matthew Lorig, Zhou Zhou, Bin Zou

Publication date 5 November 2021

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.01056

zbMATH Keywords

Poisson processsports bettingstochastic controlstochastic programmingutility maximization

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10) Optimal stochastic control (93E20)

Abstract: We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of bets placed by gamblers. The bookmaker seeks a price process that maximizes his expected (utility of) terminal wealth. We obtain explicit solutions or characterizations to the bookmaker's optimal bookmaking problem in various interesting models.

Recommendations

• The minimax bookie: the two-horse case
• The minimax bookie
• The construction of a simple book
• On sticky bookmaking as a learning device in horse-racing betting markets
• scientific article; zbMATH DE number 269848

Cites work

• A gamma process based in-play prediction model for National Basketball Association games
• A Stochastic Theory of the Firm
• An application of incomplete pairwise comparison matrices for ranking top tennis players
• Applied stochastic control of jump diffusions.
• Beyond crowd judgments: data-driven estimation of market value in association football
• Controlled Markov processes and viscosity solutions
• Credit portfolio selection with decaying contagion intensities
• Dynamic portfolio optimization with a defaultable security and regime-switching
• Dynamic pricing in the presence of inventory considerations: research overview, current practices, and future directions
• Forecasting the winner of a tennis match.
• High-frequency trading in a limit order book
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Liquidation in limit order books with controlled intensity
• Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons
• Optimal execution with limit and market orders
• Optimal investment and risk control policies for an insurer: expected utility maximization
• Optimal investment in credit derivatives portfolio under contagion risk
• Optimal portfolio liquidation with limit orders
• OR analysis of sporting rules -- a survey
• Risk-neutral pricing and hedging of in-play football bets
• Survey of Measurable Selection Theorems

Cited in

(11)

• The construction of a simple book
• Evaluating betting odds and free coupons using desirability
• A cumulative prospect theory explanation of gamblers cashing-out
• The minimax bookie
• Optimal Strategies for Sports Betting Pools
• The minimax bookie: the two-horse case
• Dynamic learning and market making in spread betting markets with informed bettors
• Risk-neutral pricing and hedging of in-play football bets
• Bettors' reaction to match dynamics: evidence from in-game betting
• Strategic trading with information acquisition and long-memory stochastic liquidity
• Modeling the complexity of basketball games using marked mutually exciting point processes

This page was built for publication: Optimal bookmaking

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2239899)