Are the betting information’s from large EU football teams which are publicly quoted stocks be used to build a profitable trading strategy? The case of European football teams
Files
Wathelet_19181700_2023.pdf
UCLouvain restricted access - Adobe PDF
- 3.61 MB
Details
- Supervisors
- Faculty
- Degree label
- Abstract
- This master thesis aims to test the usefulness of the information contained in sports betting odds, in the construction of profitable trading strategies. The 4 trading strategies tested in this paper are based on the research of Palomino & al. (2009) and Stadtmann (2006) for transforming betting odds into expectations. The first 3, called basic trading strategies are built on the basis of the literature. The first one is the naive trading strategy of Palomino & al. (2009), the second one is the normal trading strategy which trades on all possible game outcomes (win, draw, lose) and the last one is the short trading strategy which trades only on losses. However, they were only profitable in the absence of transaction costs. The 4th trading strategy is therefore constructed with the aim of minimizing the transaction costs that weigh on the performance of trading strategies. To do this, we use an AR(1)-TGARCH(1,1) model to find out to which match results the share prices of the 10 teams react most and trade only on these results. However, the 4th does not show completely satisfactory results, because although the performance of this new strategy is better than the naive and normal strategies, it still underperforms the short strategy.