Discovering a Profitable Trading Strategy in an Apparently Efficient Market: Exploiting the Actions of Less Informed Traders in Speculative Markets
研究英国赛马博彩市场这一看似有效的市场，发现周末存在错误定价，利用条件Logit模型识别高概率结果，采用凯利投资策略可获得显著正回报。
Abstract: This study explores the extent of mispricing in a market for state contingent claims that is commonly believed to be efficient, the UK horserace betting market. We develop conditional logit models for weekend and weekday markets and show that prices are inefficient at weekends when the presence of a larger proportion of less informed bettors results in mispricing. A Kelly investment strategy focused on high probability outcomes in such markets yields considerable positive returns. We identify the need for research exploring the implications for information suppliers and users, regulators and operators in wider financial markets.