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by shoo
2180 days ago
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readers may also be interested in Benter's paper "Computer Based Horse Race Handicapping and Wagering Systems: A Report" -- https://www.gwern.net/docs/statistics/decision/1994-benter.p... > This paper examines the elements necessary for a practical and successful computerized horse race handicapping and wagering system. Data requirements, handicapping model development, wagering strategy, and feasibility are addressed. A logit-based technique and a corresponding heuristic measure of improvement are described for combining a fundamental handicapping model with the public's implied probability estimates. The author reports significant positive results in five years of actual implementation of such a system. This result can be interpreted as evidence of inefficiency in pari-mutuel racetrack wagering. This paper aims to emphasize those aspects of computer handicapping which the author has found most important in practical application of such a system Arguably the paper describes the state of the art from three decades ago, applied to betting on Hong Kong horse races, not market price movements. |
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Sports betting is essentially the same thing as proprietary trading in financial markets. The paper gives a good summary of a technique that was very successful in its day.
There is very little publicly available material on quantitative techniques that are useful for proprietary trading. Lo and Mackinlay's "non-random walk down wall st" was good, but that's 20 years old.
The mathematical literature on gambling is a lot more accessible. It's also probably easier to consistently make at least small money gambling, because the barriers to entry are lower.