Exploring Decision Makers’ Use of Price Information in a Speculative Market
以赛马博彩市场为例，构建条件logit模型分析价格和价格变动中的信息是否被参与者有效利用，发现收盘价未能完全反映市场价格信息，尤其是较难察觉的部分。
We explore the extent to which the decisions of participants in a speculative market effectively account for information contained in prices and price movements. The horse race betting market is an ideal environment to explore these issues. A conditional logit model is constructed to determine winning probabilities based on bookmakers’ closing prices and the time-indexed movement of prices to the market close. We incorporate a technique for extracting predictors from price (odds) curves using orthogonal polynomials. The results indicate that closing prices do not fully incorporate market price information, particularly information that is less readily discernable by market participants.