Event-Related Exchange-Rate Forecasts Combining Information from Betting Quotes and Option Prices
提出一种模型，结合博彩报价中的风险中性事件概率和货币期权价格中的汇率密度，预测选举或公投等事件前后的汇率，并验证了其在英国脱欧公投和美国总统选举中的准确性。
Betting quotes provide valuable information on market-implied probabilities for outcomes of events such as elections or referendums, which may have an impact on exchange rates. We generate exchange-rate forecasts around such events based on a model that combines risk-neutral event probabilities implied from betting quotes with risk-neutral exchange-rate densities extracted from currency option prices. Its application to predict exchange rates around the Brexit referendum and the U.S. presidential elections shows that these forecasts, conditional on the respective outcomes, were accurate, and markets were able to separate their views on the likelihood and the impact of these events.